Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

Rise of Bank Competition: Evidence from Banking Deregulation in China

Haoyu GAO, Hong RU, Xiaoguang YANG, Robert M. TOWNSEND
Using proprietary individual level loan data, this paper explores the economic consequences of the 2009 bank entry deregulation in China. Such deregulation leads to higher screening standards, lower interest rates, and lower delinquency rates for corporate loans from entrant banks. Consequently, in ...
Keywords: Bank Competition, China, Credit Allocation, Growth, Efficiency
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

Interest Arbitrage under Capital Controls: Evidence from Reported Entrepot Trades

Jiafei HU, Haishan YUAN
Capital controls segment the offshore credit market of Chinese renminbi from the onshore market. Using a novel administrative data set, we provide evidence that firms arbitrage the onshore-offshore interest differentials using bank-intermediated “entrepˆot trades,” which supposedly re-export im...
Keywords: capital controls, RMB Interest Arbitrage, Entrepot Trade, Trade Finance
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Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2018

Does Sovereign Risk in Local and Foreign Currency Differ?

Marlene AMSTAD, Frank PACKER, Jimmy SHEK
Historically, sovereign debt in local currency has been considered safer than debt in foreign currency. Yet the literature offers scant theoretical or empirical guidance as to why such a gap exists, or why it appears to have slowly and steadily diminished for all regions over the past two decades, a...
Keywords: sovereign risk, local currency debt, foreign currency debt, Credit Ratings
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

A Model of The Fed's View on Inflation

Thomas HASENZAGL, Filippo PELLEGRINO, Lucrezia REICHLIN, Giovanni RICCO
We develop a medium-size semi-structural time series model of inflation dynamics that is consistent with the view – often expressed by central banks – that three components are important: a trend anchored by long-run expectations, a Phillips curve and temporary fluctuations in energy prices. We ...
Keywords: Phillips curve, inflation dynamics, output gap, Okun's law, unobserved components, Bayesian estimation
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

Global Risks in the Currency Market

George PANAYOTOV
Global risks allow theoretical models of the currency market to explain currency risk premia. Yet, there is no consensus in the empirical literature on which factors can represent global risks. We develop an asset pricing test for global risk factors that relies on the key assumption of a distinct U...
Keywords: Global risk factors, Currency market models, Currency carry trades
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