Does central bank capital matter for monetary policy? /

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Bibliographic Details
Author / Creator:	Adler, Gustavo, 1974- author.
Imprint:	[Washington, D.C.] : International Monetary Fund, ©2012.
Description:	1 online resource (22 pages) : illustrations
Language:	English
Series:	IMF working paper ; WP/12/60 IMF working paper ; WP/12/60.
Subject:	Banks and banking, Central -- Econometric models. Monetary policy -- Econometric models. Bank capital -- Econometric models. Bank capital -- Econometric models. Banks and banking, Central -- Econometric models. Monetary policy -- Econometric models. Electronic books.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12500073

Hidden Bibliographic Details
Other authors / contributors:	Castro, Pedro, author. Tovar Mora, Camilo Ernesto, author. International Monetary Fund. Western Hemisphere Department, issuing body.
Notes:	At head of title: Western Hemisphere Department. Title from PDF title page (IMF Web site, viewed February 28, 2012). "February 2012." Includes bibliographical references.
Summary:	Heavy foreign exchange intervention by central banks of emerging markets have lead to sizable expansions of their balance sheets in recent years--accumulating foreign assets and non-money domestic liabilities (the latter due to sterilization operations). With domestic liabilities being mostly of short-term maturity and denominated in local currency, movements in domestic monetary policy interest rates can have sizable effects on central bank's net worth. In this paper we examine empirically whether balance sheet considerations influence the conduct of monetary policy. Our methodology involves the estimation of interest rate rules for a sample of 41 countries and testing whether deviations from the rule can be explained by a measure of central bank financial strength. Our findings, using linear and nonlinear techniques, suggests that central bank financial strength can be a statistically significant factor explaining large negative interest rate deviations from "optimal" levels.

Table of Contents:

Cover; Contents; I. Introduction; Figures; 1: Dynamics of Main Components of Central Bank Balance Sheets in EMEs; 2: Dynamics of Key Central Bank Balance Sheet Items by Monetary Regime; II. Methodology and Data; A. Central Bank Financial Strength; B. An Indicator of Constraints on Monetary Policy; C. Putting the pieces together; D. Sample and Data; III. Econometric Results; A. Assessing whether CBFS Interferes with the Conduct of Monetary Policy; 3: Baseline Results from OLS and Quantile Regression; B. Robustness Analysis; 4: Results for IT and Developed Countries.
5: Results under Alternative Sample Period6: Sensitivity to Forecast Sample Period; 7: Sensitivity to the Definition of CBFS; 8: Results after Controlling for Exchange Rate Misalignment; 9: Endogeneity Bias and Country Fixed Effects; IV. Conclusion; Appendix; Annex: Main Regression Tables; References.

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