TAILIEUCHUNG - FERERAL RESERVE BANK OF NEW YORK RESEARCH PAPER NO.9526

This paper constructs comparable and parsimonious measures of institutions’ expo- sure to market risk by representing their positions as portfolios in a small number of bonds. We start from balance sheet data from the US Reports on Bank Conditions and Income (“call reports”). We show how to construct, for any bank and for each major class of credit market instruments, replicating portfolios of bonds that have ap- proximately the same conditional payoff distribution. We then compare portfolios across positionsaswellasacrossbanks. Our findings suggest that the overall position of the major dealer banks is a portfolio which is long in long-term bonds and short in cash. We also find that. | THE TERM STRUCTURE OF INTEREST RATES AND ITS ROLE IN MONETARY POLICY FOR THE EUROPEAN CENTRAL BANK by Arturo Estrella and Frederic s. Mishkin Federal Reserve Bank of New York Research Paper No. 9526 December 1995 This paper is being circulated for purposes of discussion and comment only. The contents should be regarded as preliminary and not for citation or quotation without permission of the author. The views expressed are those of the author and do not necessarily reflect those of the Federal Reserve Bank of New York or the Federal Reserve System. Single copies are available on request to Public Information Department Federal Reserve Bank of New York New York NY 10045 September 1995 The Term Structure of Interest Rates and its Role in Monetary Policy for the European Central Bank by Arturo Estrella Federal Reserve Bank of New York 33 Liberty Street New York New York 10045 Phone 212-720-5874 Fax 212-720-1582 Frederic s. Mishkin Federal Reserve Bank of New York Graduate School of Business Columbia University and National Bureau of Economic Research 33 Liberty Street New York New York 10045 Phone 212-720-8629 Fax 212-720-2630 JEL Codes E52 C53 Key Words term structure inflation forecasting monetary policy Prepared for the conference What Monetary Policy for the European Central Bank sponsored by the Centre for Economic Policy Research Frankfurt Germany June 9-10 1995 We thank Maria Mendez for excellent research assistance. Any opinions expressed are those of the authors not those of the Federal Reserve Bank of New York or the Federal Reserve System Columbia University or the National Bureau of Economic Research. The data in this paper will be made available free of charge to any researcher who sends us a standard formatted 3 1 2 diskette with a stamped self-addressed Abstract This paper examines the relationship of the term structure of interest rates to monetary policy instruments and to subsequent real activity and inflation in both Europe and the United States. .

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