Monetary Policy after the Great Moderation

Peña, Guillermo

doi:10.2478/jcbtp-2020-0033

Cited by 8 publications

(5 citation statements)

References 27 publications

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“…Okpamen et al (2020) said firms needed to encourage adequate interlocking members who have diverse professional training, high social net worth and experience (experience hypothesis) to positively influence effective management and financial performance of listed firms in Nigeria. Pena (2020) mentioned the interferences among some financial, economic and monetary variables are checked as an indicator of economic performance in the long run and for the monetary policy applied between the Great Moderation (GM) of 1987-2001 and the Global Financial Crisis of 2007-2009. Rakotonirainy et al (2020) stated the horizon of capital prediction shows that banking sector reacts most to a GDP shock.…”

Section: Entrepreneurship and Sustainability Issuesmentioning

confidence: 99%

Enhancing risk management culture for sustainable growth of Asia commercial bank -ACB in Vietnam under mixed effects of macro factors

Hac¹,

Huy²,

Thạch³

et al. 2021

JESI

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For sustainable growth, macro policy makers will need to look at risk management in banking industry and impacts of macro factors on market risk in order to adjust policies and build risk management culture in banking system. What we need to adjust in trade balance, risk free rate and other policies? This is one of reasons for us to conduct this study.This paper measures the Beta CAPM in famous model under impacts of both macro internal and external variables during low inflation time 2015-2020 in the country. The evidence is the fundamental role of risk management in commercial bank has been increasing with new perspectives in management, corporate governance and risk management models. We will estimate effects in risk measurement of one of big listed Vietnam commercial bank, Asia commercial bank (ACB) during the low inflation period 2015-2020 with semiannual data. Through using analysis, synthesis statistics methods, and dialectical materialism method, combined with econometric model with 9 macro variables, we figure out that CPI has a positive correlation with Beta CAPM of ACB, while Risk free rate (Rf) and lending rate have negative correlation with Beta CAPM of the bank. It implies that increase in inflation, together with decrease in Rf and lending rate will increase market risk.Then, one of its major findings is the suggestion of macro and risk management policies for bank and relevant government agencies. Our recommendation can be used for reference and expand researches in many other emerging markets.

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Section: Entrepreneurship and Sustainability Issuesmentioning

confidence: 99%

Enhancing risk management culture for sustainable growth of Asia commercial bank -ACB in Vietnam under mixed effects of macro factors

Hac¹,

Huy²,

Thạch³

et al. 2021

JESI

View full text Add to dashboard Cite

show abstract

“…Next, it is considered that the agents with the lowest income, households 1, are the borrowers instead of consumers type 2, and the last ones are now the depositors. So, equations ( 11) and ( 22) would change into: (27) with the derivative or expected impact being as follows: (28) The impact is negative (…”

Section: Comparative Statics and Covid-19 Effectsmentioning

confidence: 99%

Raising Interest Rates for Improving Income

Peña

2023

Journal of Central Banking Theory and Practice

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This paper illustrates a case where an increase of the interest rates improves the economic activity and reduces income inequality. This theoretical exercise deals with a simple model of disequilibrium with accountant identities of budget constraints. In addition, and following previous models, the effect of the COVID-19 shock is considered, by reflecting asymmetric repercussions that increase income inequality. A simple empirical exercise confirms some of the previous results. The proposed explanation is that, for the euro area, this shock has affected more middle-income households such as the retailers harmed by the compulsory lockdown who have increased their debts.

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“…This means that if a financial institution applies a marginal productivity of financial services equal to the mobile-ratio, it would be the same as the Central Bank marginal productivity and this could be optimum in the long-term. Despite current controversy according to the non-stationarity of reaching a non-zero datum (Nasir and Morgan, 2020), positive non-zero constants as a policy target that could reduce uncertainty (Peña, 2020c).…”

Section: The Optimum Financial Marginal Productivity Neutral To Pure Interestmentioning

confidence: 99%

The key role of quoted spreads in financial services and transactions

Peña¹

2021

Econ Bus Lett

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Banking has driven the development of the world for centuries. An interesting issue to analyze is the optimal spread on financial products reflecting the value added that does not generate economic distortions for consumers in intertemporal decisions. Based on a gravity equation for these services, this paper examines the optimality of a modified Quoted Spread, the recently-proposed mobile-ratio, by assessing whether the pure interest expressed as a gravity equation between interests does not change after applying this spread. Results show that the mobile-ratio is the specification of the spread with no distortions on investment decisions. Regarding fiscal policy, this ratio plays a key role for both the Financial Transaction Tax and the VAT on financial services.

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Monetary Policy after the Great Moderation

Cited by 8 publications

References 27 publications

Enhancing risk management culture for sustainable growth of Asia commercial bank -ACB in Vietnam under mixed effects of macro factors

Enhancing risk management culture for sustainable growth of Asia commercial bank -ACB in Vietnam under mixed effects of macro factors

Raising Interest Rates for Improving Income

The key role of quoted spreads in financial services and transactions

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