International Journal of Central Banking

2005 - 2009

Edited by Frank Smets

from International Journal of Central Banking
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Volume 5, issue 3, 2009

Stress Testing Credit Risk: A Survey of Authorities' Aproaches pp. 9-45

Antonella Foglia

Towards a Framework for Quantifying Systemic Stability pp. 47-81

Piergiorgio Alessandri, Prasanna Gai, Sujit Kapadia, Nada Mora and Claus Puhr

Interdependencies between Expected Default Frequency and the Macro Economy pp. 83-110

Per Asberg Sommar and Hovick Shahnazarian

Stress Testing the Enterprise Sector's Bank Debt: A Micro Approach pp. 111-138

Eivind Bernhardsen and Bjorne Dyre Syversten

Crash Testing German Banks pp. 139-175

Klaus Duellmann and Martin Erdelmeier

Macroeconomic efault Modeling and Stress Testing pp. 177-204

Dietske Simons and Ferdinand Rolwes

How to Find Plausible, Severe and Useful Stress Scenarios pp. 205-224

Thomas Breuer, Martin Jandacka, Klaus Rheinberger and Martin Summer

Volume 5, issue 2, 2009

Modeling Bank Senior Unsecured Ratings: A Reasoned Structured Approach to Bank Credit Assessment pp. 1-39

Spyros Pagratis and Marco Stringa

Explaining Monetary Policy in Press Conferences pp. 42-84

Michael Ehrmann and Marcel Fratzscher

The Interest Rate Conditioning Assumption pp. 85-108

Charles Goodhart

Futures Contract Rates as Monetary Policy Forecasts pp. 109-145

Giuseppe Ferrero and Andrea Nobili

Firm-Specific Capital and Welfare pp. 147-179

Tommy Sveen and Lutz Weinke

Instability and Nonlinearity in the Euro-Area Phillips Curve pp. 181-212

Alberto Musso, Livio Stracca and Dick van Dijk

Volume 5, issue 1, 2009

Transparency of Regulation and Cross-Border Bank Mergers Analysis of Interest Rate Differentials across the Monetary Union pp. 39-73

Matthias Köhler

Efficient Asset Allocations in the Banking Sector and Financial Regulation pp. 75-95

Wolf Wagner

Cross-Border Bank Contagion in Europe pp. 97-139

Reint Gropp, Marco Lo Duca and Jukka Vesala

Fiscal Burden Sharing in Cross-Border Banking Crises pp. 141-165

Charles Goodhart and Dirk Schoenmaker

Banking Integration, Bank Stability, and Regulation - Introduction to a Special Issue of the International Journal of Central Banking

Hyun Shin and Reint Gropp

Volume 4, issue 4, 2008

Modeling Short-Term Interest Rate Spreads in the Euro Money Market pp. 1-37

Nuno Cassola and Claudio Morana

Monetary Policy under Uncertainty about the Nature of Asset-Price Shocks pp. 39-83

David L. Haugh

Inflation Targeting and Traget Instability pp. 151-192

Robert Tetlow

Central Bank Policy Rate Guidance and Financial Market Functioning pp. 193-226

Richhild Moessner and William R. Nelson

Volume 4, issue 3, 2008

Monetary Policy in a Monetary Union: What Role for Regional Information? pp. 1-28

Paolo Angelini, Paolo Del Giovane, Stefano Siviero and Daniele Terlizzese

Capital Requirements and Bank Behaviour in the Early 1990: Cross-Country Evidence pp. 29-60

Patrick Van Roy

Inflation Thresholds and Relative Price Variability: Evidence from U.S. Cities pp. 61-76

Alexander Bick and Dieter Nautz

Incomplete Interest Rate Pass-Through and Optimal Monetary Policy pp. 77-118

Teruyoshi Kobayashi

The Role of the Chairman in Setting Monetary Policy: Individualistic vs. Autocratically Collegial MPCs pp. 119-143

Petra Gerlach-Kristen

The Expected Interest Rate Path: Alignment of Expectations vs. Creative Opacity pp. 145-185

Pierre Gosselin, Aileen Lotz and Charles Wyplosz

Volume 4, issue 2, 2008

Inflation Forecasts and the New Keynesian Phillips Curve pp. 1-22

Sophocles N. Brissimis and Nicholas S. Magginas

Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity pp. 23-72

Eric Jondeau and Jean-Guillaume Sahuc

Optimal and Simple Monetary Policy Rules with Zero Floor on the Nominal Interest Rate pp. 73-127

Anton Nakov

Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model pp. 129-173

Nikola Tarashev and Haibin Zhu

The Impact of Central Bank Announcements on Asset Prices in Real Time pp. 175-217

Carlo Rosa and Giovanni Verga

The Danger of Inflating Expectations of Macroeconomic Stability: Heuristic Switching in an Overlapping-Generations Monetary Model pp. 219-254

Alex Brazier, Richard John Harrison, Mervyn King and Anthony Yates

Volume 4, issue 1, 2008

An Empirical Evaluation of Structural Credit-Risk Models pp. 1-53

Nikola A. Tarashev

Inflation Targets as Focal Points pp. 55-87

Maria Demertzis and Nicola Viegi

Transaction Pricing and the Adoption of Electronic Payments: A Cross-Country Comparison pp. 89-123

Wilko Bolt, David Humphrey and Roland Uittenbogaard

Using Securities Market Information for Bank Supervisory Monitoring pp. 125-164

John Robert Krainer and Jose A. Lopez

Capital Regulation and Banks' Financial Decisions pp. 165-211

Haibin Zhu

Preference Heterogeneity in Monetary Policy Committees pp. 213-233

Alessandro Riboni and Francisco J. Ruge-Murcia

Volume 3, issue 4, 2007

Did Prices Really Soar after the Euro Cash Changeover? Evidence from ATM Withdrawals pp. 1-22

Paolo Angelini and Francesco Lippi

The Great Inflation and Early Disinflation in Japan and Germany pp. 23-76

Edward Nelson

Inflation-Forecast-Based Rules and Indeterminacy: A Puzzle and a Resolution pp. 77-110

Paul Levine, Peter McAdam and Joseph Gerson Pearlman

Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks pp. 111-144

Malin Adolfson, Michael K. Andersson, Jesper Lindé, Mattias Villani and Anders Vredin

A New Core Inflation Indicator for New Zealand pp. 145-180

Domenico Giannone and Troy D. Matheson

Firm-Specific or Household-Specific Sticky Wages in the New Keynesian Model? pp. 181-240

Miguel Casares

Volume 3, issue 3, 2007

Interest Rate Setting by the ECB, 1999-2006: Words and Deeds pp. 1-46

Stefan Gerlach

Imperfect Knowledge, Adaptive Learning, and the Bias Against Activist Monetary Policies pp. 47-85

Alberto Locarno

Economic and Regulatory Capital in Banking: What Is the Difference? pp. 87-117

Abel Elizalde and Rafael Repullo

Stock Liquidity Requirements and the Insurance Aspect of the Lender of Last Resort pp. 119-146

Spyros Pagratis

Technology Diffusion within Central Banking: The Case of Real-Time Gross Settlement pp. 147-181

Morten L. Bech and Bart Hobijn

Fear of Floating and Social Welfare pp. 183-204

Demosthenes N. Tambakis

Volume 3, issue 2, 2007

Monetary Policy Inertia or Persistent Shocks: A DSGE Analysis pp. 1-38

Julio Arturo Carrillo, Patrick Fève and Julien Matheron

The Role of the Bias in Crafting Consensus: FOMC Decision Making in the Greenspan Era pp. 39-60

Henry W. Chappell, Rob Roy McGregor and Todd A. Vermilyea

Low Nominal Interest Rates: A Public Finance Perspective pp. 61-93

Noritaka Kudoh

Inflation Convergence and Divergence within the European Monetary Union pp. 95-121

Fabio Busetti, Lorenzo Forni, Andrew C. Harvey and Fabrizio Venditti

Interbank Exposures: An Empirical Examination of Contagion Risk in the Belgian Banking System pp. 123-171

Hans Degryse and Grégory Nguyen

Is Moderate-to-High Inflation Inherently Unstable? pp. 173-201

Michael Kiley

Volume 3, issue 1, 2007

Optimal Economic Transparency pp. 5-36

Carl Walsh

The Mystique of Central Bank Speak pp. 37-80

Petra Maria Geraats

Imperfect Common Knowledge in First-Generation Models of Currency Crises pp. 81-112

Gara M. Afonso

Manipulation in Money Markets pp. 113-148

Christian Ewerhart, Nuno Cassola, Steen Ejerskov and Natacha Valla

Monetary Policy under Imperfect Commitment: Reconciling Theory with Evidence pp. 149-178

A. Hakan Kara

Transparency, Disclosure, and the Federal Reserve pp. 179-225

Michael Ehrmann and Marcel Fratzscher

Transparency, Communication and Commitment

John B. Taylor, Hyun Shin, Frank Rafael Smets, Kazuo Ueda and Michael Woodford