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An Extended Quarterly Projection Model: Credit Cycle, Macrofinancial Linkages and Macroprudential Measures: The Case of the Philippines

2021-10-22 Business & Economics
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Release : 2021-10-22
Genre : Business & Economics
Kind : eBook
Book Rating : 718/5 ( reviews)

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Book Synopsis An Extended Quarterly Projection Model: Credit Cycle, Macrofinancial Linkages and Macroprudential Measures: The Case of the Philippines by : Mr. Philippe D Karam

Download or read book An Extended Quarterly Projection Model: Credit Cycle, Macrofinancial Linkages and Macroprudential Measures: The Case of the Philippines written by Mr. Philippe D Karam. This book was released on 2021-10-22. Available in PDF, EPUB and Kindle. Book excerpt: We extend a modern practical Quarterly Projection Model to study credit cycle dynamics and risks, focusing on macrofinancial linkages and the role of macroprudential policy in achieving economic and financial stability. We tailor the model to the Philippines and evaluate the model’s properties along several dimensions. The model produces plausible dynamics and sensible forecasts. This along with its simplicity makes it useful for policy analysis. In particular, it should help policymakers understand the quantitative implications of responding to changes in domestic financial conditions, along with other shocks, through the joint use of macroprudential and monetary policies.

Managing International Reserves

2006-01-01
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Release : 2006-01-01
Genre :
Kind : eBook
Book Rating : 321/5 ( reviews)

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Book Synopsis Managing International Reserves by : Andrea Richter Hume

Download or read book Managing International Reserves written by Andrea Richter Hume. This book was released on 2006-01-01. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, official foreign exchange reserves of emerging Asian economies have increased rapidly and now exceed standard measures of reserve adequacy in a number of countries. The low level of returns on these reserves has prompted proposals for investing them more actively. This Economic Issue explores the policy issues raised by these proposals with respect to the appropriate risk/return trade-off in the management of official foreign exchange reserves.

An Extended Quarterly Projection Model for the Central Bank of Jordan

2023-08-25 Business & Economics
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Release : 2023-08-25
Genre : Business & Economics
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Book Rating : /5 ( reviews)

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Book Synopsis An Extended Quarterly Projection Model for the Central Bank of Jordan by : Adel Al-Sharkas

Download or read book An Extended Quarterly Projection Model for the Central Bank of Jordan written by Adel Al-Sharkas. This book was released on 2023-08-25. Available in PDF, EPUB and Kindle. Book excerpt: The Central Bank of Jordan (CBJ) has developed a Forecasting and Policy Analysis System (FPAS) to serve as a reliable analytical framework for macroeconomic analysis, forecasting and decision-making under a pegged exchange rate regime. At the heart of the FPAS is the CBJ’s extended Jordan Analysis Model (JAM2.0). The model captures the monetary transmission mechanism and provides a consistent monetary policy framework that uses the exchange rate as an effective nominal anchor. This paper outlines the structure and properties of JAM2.0 and emphasizes the enhanced interplay and tradeoffs among monetary, fiscal, and foreign exchange management policies. Simulation and forecasting exercises demonstrate JAM2.0’s ability to match key stylized facts of the Jordanian economy, produce accurate forecasts of important macroeconomic variables, and explain the critical relationships among policies.

Quarterly Projection Model for the Bank of Ghana

2022-09-02 Business & Economics
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Release : 2022-09-02
Genre : Business & Economics
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Book Synopsis Quarterly Projection Model for the Bank of Ghana by : Philip Abradu-Otoo

Download or read book Quarterly Projection Model for the Bank of Ghana written by Philip Abradu-Otoo. This book was released on 2022-09-02. Available in PDF, EPUB and Kindle. Book excerpt: The paper describes the Quarterly Projection Model (QPM) that underlies the Bank of Ghana Forecasting and Policy Analysis System (FPAS). The New Keynesian semi-structural model incorporates the main features of the Ghanaian economy, transmission channels and policy framework, including an inflation targeting central bank and aggregate demand effects of fiscal policy. The shock propagation mechanisms embedded in the calibrated QPM demonstrate its theoretical consistency, while out-of-sample forecasting accuracy validates its empirical robustness. Another important part of the QPM is endogenous policy credibility, which may aggravate policy trade-offs in the model and make it more realistic for developing economies. Historical track record of real time policy analysis and medium-term forecasting conducted with the QPM – as a component of the broader FPAS analytical organization – establishes its critical role in supporting the Bank’s forward-looking monetary policy framework.

A Semi-Structural Model for Credit Cycle and Policy Analysis – An Application for Luxembourg

2024-07-09
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Release : 2024-07-09
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Book Synopsis A Semi-Structural Model for Credit Cycle and Policy Analysis – An Application for Luxembourg by : Carlos de Resende

Download or read book A Semi-Structural Model for Credit Cycle and Policy Analysis – An Application for Luxembourg written by Carlos de Resende. This book was released on 2024-07-09. Available in PDF, EPUB and Kindle. Book excerpt: The paper explores the nexus between the financial and business cycles in a semi-structural New Keynesian model with a financial accelerator, an active banking sector, and an endogenous macroprudential policy reaction function. We parametrize the model for Luxembourg through a mix of calibration and Bayesian estimation techniques. The model features dynamic properties that align with theoretical priors and empirical evidence and displays sensible data-matching and forecasting capabilities, especially for credit indicators. We find that the credit gap, which remained positive during COVID-19 amid continued favorable financial conditions and policy support, had been closing by mid-2022. Model-based forecasts using data up to 2022Q2 and conditional on the October 2022 WEO projections for the Euro area suggest that Luxembourg's business and credit cycles would deteriorate until late 2024. Based on these insights about the current and projected positions in the credit cycle, the model can guide policymakers on how to adjust the macroprudential policy stance. Policy simulations suggest that the weights given to measures of credit-to-GDP and asset price gaps in the macroprudential policy rule should be well-calibrated to avoid unwarranted volatility in the policy response.

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