The Impact of Corporate Risk Management on Monetary Policy Transmission: Some Empirical Evidence

Fender, Ingo

doi:10.2139/ssrn.849065

Cited by 12 publications

(11 citation statements)

References 51 publications

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“…[6] stating that "Positive feedback trading is also exhibited by buyers of portfolio insurance...") and Refs. [7,8]), (iii) market makers bid-ask spread in response to past volatility [9,10], (iv) learning of business networks and human capital build-up [11,12], (v) procyclical financing of firms by banks (boom vs contracting times) [13], (vi) trend following investment strategies, (vii) asymmetric information on hedging strategies [14] (viii) the interplay of mark-to-market accounting and regulatory capital requirements [15,16]. The second class of positive feedback mechanisms is behavioral and emphasizes that positive feedbacks emerge as a result of the propensity of humans to imitate, of their social gregariousness and the resulting herding.…”

Section: Introductionmentioning

confidence: 99%

Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model

Sornette

Woodard

Yan

et al. 2013

Physica A: Statistical Mechanics and its Applications

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The Johansen-Ledoit-Sornette (JLS) model of rational expectation bubbles with finite-time singular crash hazard rates has been developed to describe the dynamics of financial bubbles and crashes. It has been applied successfully to a large variety of financial bubbles in many different markets. Having been developed over a decade ago, the JLS model has been studied, analyzed, used and criticized by several researchers. Much of this discussion is helpful for advancing the research. However, several serious misconceptions seem to be present within this literature both on theoretical and empirical aspects. Several of these problems stem from the fast evolution of the literature on the JLS model and related works. In the hope of removing possible misunderstanding and of catalyzing useful future developments, we summarize these common questions and criticisms concerning the JLS model and synthesize the current state of the art and existing best practice.

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Section: Introductionmentioning

confidence: 99%

Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model

Sornette

Woodard

Yan

et al. 2013

Physica A: Statistical Mechanics and its Applications

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“…Diversos estudios empíricos han apoyado la idea de que hemos asistido en los últimos años a una pérdida de importancia del canal de crédito como mecanismo transmisor de los impulsos monetarios a la economía real. Fender (2000) concluye que el canal del crédito para la economía de Estados Unidos es mucho más amplio en el periodo 1959-1975 que en la etapa posterior. Los resultados obtenidos por Vickery (2008) parecen probar también que ha habido un cambio estructural en la gestión del riesgo de tipos de interés por parte de las empresas en la economía estadounidense, debilitando de manera apreciable el canal de crédito como mecanismo de transmisión de la política monetaria.…”

Section: Impacto De Los Productos Derivados En La Gestión De Políticaunclassified

Los productos financieros derivados y la política monetaria: evidencia para la Reserva Federal (2000-2015)

Barros-Campello

Pateiro-Rodríguez

Salcines-Cristal

2017

Cuadernos de Economía

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Banco Central; Reglas monetarias; Productos derivados Resumen Al tiempo que el uso de los productos financieros derivados se hacía cada vez más frecuente, numerosos trabajos de investigación analizan sus efectos sobre la puesta en práctica de la política monetaria. En el marco teórico de las reglas monetarias de tipos de interés (Taylor rules), a través del método generalizado de los momentos (MGM) contrastamos la influencia de los productos financieros derivados sobre la gestión de la política monetaria por parte de la Reserva Federal entre 2000 y 2015. El análisis realizado nos permite concluir que la volatilidad implícita del mercado de derivados es una variable explicativa del comportamiento del tipo de interés nominal de corto plazo.

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“…Currency risk m anagem ent and the im pact of the foreign exchange rate Fender (2000aFender ( , 2000b shows that the use of financial derivatives to hedge against interest rate movements has a macroeconomic implication. If firms can stabilize their corporate cash flows with regard to interest rate changes, this will affect the impact of monetary impulses on investment spending as well as on economic activity.10 As a result the financial accelerator effects of monetary policy are likely to be reduced and the monetary authorities will lose some of their power.…”

Section: S H O W T H E a M O U N T S A N D P R I C E S O F F O R W A mentioning

confidence: 99%

Liquidity Black Holes: Why Modern Financial Regulation in Developed Countries is Making Short-Term Capital Flows to Developing Countries Even More Volatile

Persaud¹

2003

From Capital Surges to Drought

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i n a s s o c ia t io n w i t h t h e U n i t e d N a t i o n s U n i v e r s i t y / W o r ld In s t it u t e f o r D e v e l o p m e n t E c o n o m i c s R e s e a rc h Studies in Development Economics and Policy G e n e r a l E d ito r : A n t h o n y S h o r r o c k s U N U W O R L D I N S T I T U T E F O R D E V E L O P M E N T E C O N O M I C S R E S E A R C H ( U N U / W I D E R ) w a s e s t a b lis h e d b y t h e U n i t e d N a t i o n s U n i v e r s i t y a s its firs tre s e a rc h a n d t r a i n i n g c e n tre a n d s ta rt e d w o r k i n H e ls in k i, F in la n d , i n 1 9 8 5 . T h e p u r p o s e o f t h e in s t it u t e is t o u n d e r t a k e a p p li e d re s e a rc h a n d p o li c y a n a ly s i s o n s t r u c t u r a l c h a n g e s a f f e c t in g d e v e lo p i n g a n d t r a n s i t io n a l e c o n o m ie s , t o p r o v id e a f o r u m f o r t h e a d v o c a c y o f p o lic ie s le a d i n g t o r o b u s t,e q u it a b le a n d e n v i r o n m e n t a l l y s u s t a in a b le g r o w t h , a n d t o p r o m o t e c a p a c it ys t r e n g t h e n i n g a n d t r a i n i n g i n t h e f ie ld o f e c o n o m i c a n d s o c ia l p o li c y -m a k i n g . It s w o r k is c a r rie d o u t b y s ta f f re se a rc h e rs a n d v i s i t i n g s c h o la r s i n H e l s i n k i a n d v i a n e t w o r k s o f c o l la b o r a t i n g s c h o la r s a n d i n s t i t u t i o n s a r o u n d t h e w o r ld . UNU World Institute for D evelopm ent Economics Research (UNU/WIDER) Katajanokanlaituri 6B, F IN -00160 Helsinki, FinlandTitles include: R ic a r d o F f r e n c h -D a v i s a n d S t e p h a n y G r if f it h -J o n e s (editors) F R O M C A P I T A L S U R G E S T O D R O U G H T S e e k in g S t a b il i t y f o r E m e r g i n g E c o n o m i e s A i g u o L u a n d M a n u e l F. M o n t e s (editors) P O V E R T Y , I N C O M E D I S T R I B U T I O N A N D W E L L -B E I N G I N A S I A D U R I N G T H E T R A N S I T I O N R o b e r t J. M c I n t y r e a n d B r u n o D a l l a g o (editors) S M A L L A N D M E D I U M E N T E R P R IS E S I N T R A N S I T I O N A L E C O N O M I E S V l a d i m i r M i k h a l e v (editor) I N E Q U A L I T Y A N D S O C I A L S T R U C T U R E D U R I N G T H E T R A N S I T I O N E. W a y n e N a f z ig e r a n d R a i m o V â y r y n e n (editors) T H E P R E V E N T I O N O F H U M A N I T A R I A N E M E R G E N C I E S L a i x i a n g S u n (editor) O W N E R S H I P A N D G O V E R N A N C E O F E N T E R P R IS E S R e c e n t In n o v a t i v e D e v e l o p m e n t sS tu d ie s i n D e v e lo p m e n t E c o n o m ic s a n d P o lic y S eries S ta n d in g O r d e r ISBN 0 -3 3 3 -9 6 4 2 4 -1 (outside North America only)You c a n receive fu tu re title s i n th is series as th e y are p u b lis h e d b y p la c in g a s ta n d in g order. Please c o n ta c t y o u r b o o k seller or, in case o f difficulty, w rite to u s a t th e a d d re ss b e lo w w ith y o u r n a m e a n d address, th e title o f th e series a ...

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The Impact of Corporate Risk Management on Monetary Policy Transmission: Some Empirical Evidence

Cited by 12 publications

References 51 publications

Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model

Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model

Los productos financieros derivados y la política monetaria: evidencia para la Reserva Federal (2000-2015)

Liquidity Black Holes: Why Modern Financial Regulation in Developed Countries is Making Short-Term Capital Flows to Developing Countries Even More Volatile

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