Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Japan’s aging and shrinking population could lower the natural rate of interest and, together with low inflation expectations, challenge the Bank of Japan’s efforts to reflate the economy. This paper uses a semi-structural model to estimate the impact of demographics on the natural rate in Japan. We find that demographic change has a significantly negative impact on the natural rate by lowering trend potential growth. We also find that the negative impact has been increasing over time amid stronger demographic headwinds. These findings highlight the importance of boosting potential growth to offset the negative demographic impact and lift the natural rate in Japan.

Banks and Banking --- Investments: General --- Demography --- Production and Operations Management --- Bayesian Analysis: General --- Time-Series Models --- Dynamic Quantile Regressions --- Dynamic Treatment Effect Models --- Diffusion Processes --- State Space Models --- Interest Rates: Determination, Term Structure, and Effects --- Monetary Policy --- Demographic Trends, Macroeconomic Effects, and Forecasts --- Investment --- Capital --- Intangible Capital --- Capacity --- Demographic Economics: General --- Macroeconomics: Production --- Population & demography --- Finance --- Population & migration geography --- Macroeconomics --- Real interest rates --- Demographic change --- Population growth --- Return on investment --- Population and demographics --- Financial services --- National accounts --- Potential output --- Production --- Interest rates --- Population --- Demographic transition --- Saving and investment --- Economic theory --- Japan

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Philosophy --- Chinese

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Philosophy, Chinese --- Taoism --- Philosophie chinoise --- Taoïsme --- S12/0703 --- China: Philosophy and Classics--Han Feizi --- Taoïsme

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

The paper presents a framework to integrate liquidity and solvency stress tests. An empirical study based on European bond trading data finds that asset sales haircuts depend on the total amount of assets sold and general liquidity conditions in the market. To account for variations in market liquidity, the study uses Markov regime-switching models and links haircuts with market volatility and the amount of securities sold by banks. The framework is accompanied by a Matlab program and an Excel-based tool, which allow the calculations to be replicated for any type of traded security and to be used for liquidity and solvency stress testing.

Economics--Mathematical models. --- Markov processes. --- Analysis, Markov --- Chains, Markov --- Markoff processes --- Markov analysis --- Markov chains --- Markov models --- Models, Markov --- Processes, Markov --- Stochastic processes --- Banks and Banking --- Finance: General --- Financial Risk Management --- Investments: Bonds --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Financing Policy --- Financial Risk and Risk Management --- Capital and Ownership Structure --- Value of Firms --- Goodwill --- Portfolio Choice --- Investment Decisions --- International Financial Markets --- General Financial Markets: General (includes Measurement and Data) --- Finance --- Financial services law & regulation --- Banking --- Investment & securities --- Liquidity --- Asset liquidity --- Liquidity risk --- Asset management --- Asset and liability management --- Financial regulation and supervision --- Sovereign bonds --- Financial institutions --- Economics --- Financial risk management --- Banks and banking --- Asset-liability management --- Bonds --- United States --- Mathematical models.

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Quantitative easing could improve market liquidity through many channels such as relaxing bank funding constraints, increasing risk appetite, and facilitating trades. However, it can also reduce market liquidity when the increase in the central bank’s holdings of certain securities leads to a scarcity of those securities and hence higher search costs in the market. Using security-level data from the Japanese government bond (JGB) market, this paper finds evidence of the scarcity (flow) effects of the Bank of Japan (BOJ)’s JGB purchases on market liquidity. Moreover, we also find evidence that such scarcity effects could dominate other effects when the share of the BOJ’s holdings exceeds certain thresholds, suggesting that the flow effects may also depend on the stock.

Scarcity --- Deficiency --- Shortages --- Japan --- Economic conditions. --- Banks and Banking --- Finance: General --- Investments: Bonds --- Money and Monetary Policy --- 'Panel Data Models --- Spatio-temporal Models' --- Single Equation Models: Single Variables: Instrumental Variables (IFV) Estimation --- Quantitative Policy Modeling --- Monetary Policy --- Central Banks and Their Policies --- General Financial Markets: General (includes Measurement and Data) --- Information and Market Efficiency --- Event Studies --- Portfolio Choice --- Investment Decisions --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Finance --- Banking --- Monetary economics --- Investment & securities --- Liquidity --- Securities markets --- Unconventional monetary policies --- Bonds --- Asset and liability management --- Financial markets --- Monetary policy --- Financial institutions --- Sovereign bonds --- Economics --- Banks and banking --- Capital market