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Bank Reserves (bank + reserve)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting75%

Selected Abstracts

Measuring Monetary Policy Shocks in a Small Open Economy

ECONOMIC NOTES, Issue 1 2001
Giuseppe De Arcangelis
This paper presents different specifications of a structural VAR model which are useful to identify monetary policy shocks and their macroeconomic effects for the Italian economy in the 1990s. The analysis is based on a detailed institutional description of the functioning of the domestic market for bank reserves. In this setting, we try to establish if monetary policy shocks are better identified using exchange rates or foreign exchange reserves as a conditioning variable for the small open economy framework. Our analysis confirms the view that the Bank of Italy has been targeting the rate on overnight interbank loans in the 1990s. This is coherent with either proposed modelling choices. Therefore, we interpret shocks to the overnight rate as purely exogenous monetary policy shocks and study how they impact the economy. (J.E.L.: E52, F41, F47). [source]

Bank Mergers, Competition, and Liquidity

JOURNAL OF MONEY, CREDIT AND BANKING, Issue 5 2007
ELENA CARLETTI
credit market competition; bank reserves; internal money market; banking system liquidity; monetary operations We model the impact of bank mergers on loan competition, reserve holdings, and aggregate liquidity. A merger changes the distribution of liquidity shocks and creates an internal money market, leading to financial cost efficiencies and more precise estimates of liquidity needs. The merged banks may increase their reserve holdings through an internalization effect or decrease them because of a diversification effect. The merger also affects loan market competition, which in turn modifies the distribution of bank sizes and aggregate liquidity needs. Mergers among large banks tend to increase aggregate liquidity needs and thus the public provision of liquidity through monetary operations of the central bank. [source]

Optimal auditing in the banking industry

OPTIMAL CONTROL APPLICATIONS AND METHODS, Issue 2 2008
T. Bosch
Abstract As a result of the new regulatory prescripts for banks, known as the Basel II Capital Accord, there has been a heightened interest in the auditing process. Our paper considers this issue with a particular emphasis on the auditing of reserves, assets and capital in both a random and non-random framework. The analysis relies on the stochastic dynamic modeling of banking items such as loans, reserves, Treasuries, outstanding debts, bank capital and government subsidies. In this regard, one of the main novelties of our contribution is the establishment of optimal bank reserves and a rate of depository consumption that is of importance during an (random) audit of the reserve requirements. Here the specific choice of a power utility function is made in order to obtain an analytic solution in a Lévy process setting. Furthermore, we provide explicit formulas for the shareholder default and regulator closure rules, for the case of a Poisson-distributed random audit. A property of these rules is that they define the standard for minimum capital adequacy in an implicit way. In addition, we solve an optimal auditing time problem for the Basel II capital adequacy requirement by making use of Lévy process-based models. This result provides information about the optimal timing of an internal audit when the ambient value of the capital adequacy ratio is taken into account and the bank is able to choose the time at which the audit takes place. Finally, we discuss some of the economic issues arising from the analysis of the stochastic dynamic models of banking items and the optimization procedure related to the auditing process. Copyright © 2007 John Wiley & Sons, Ltd. [source]

UNCONVENTIONAL MONETARY POLICIES: AN APPRAISAL

THE MANCHESTER SCHOOL, Issue 2010
CLAUDIO BORIO
This paper sets out a framework for classifying and thinking about unconventional monetary policies, highlighting how they can be viewed within the overall context of monetary policy implementation. The framework clarifies the differences among the various forms of unconventional monetary policy, provides a systematic characterization of the wide range of central bank responses to the recent crisis, helps to underscore the channels of transmission and identifies some of the main policy challenges. In the process, the paper also addresses a number of contentious analytical issues, notably the role of bank reserves and their inflationary consequences. [source]