James Yetman
YOU?
Author Swipe
View article: New age of central banking in emerging markets
New age of central banking in emerging markets Open
The book New Age of Central Banking in Emerging Markets offers a comprehensive view of the central bank challenges of our times. It explores the importance of price stability, the most pressing macroeconomic challenge facing central banks …
View article: Predetermined Prices and the Persistent Effects of Money on Output
Predetermined Prices and the Persistent Effects of Money on Output Open
This paper illustrates a model of predetermined pricing, where firms set a fixed schedule of nominal prices at the time of price readjustment, based on the work of Fischer (1977). This type of price-setting specification cannot produce any…
View article: Gaining Credibility for Inflation Targets
Gaining Credibility for Inflation Targets Open
In this paper, I consider a simple model in which agents learn about the inflation target of a central bank over time by observing the policy instrument or inflation outcomes. Measuring credibility as the distance between the perceived tar…
View article: Identifying Policy-makers' Objectives: An Application to the Bank of Canada
Identifying Policy-makers' Objectives: An Application to the Bank of Canada Open
In this paper, we develop a new way to test hypotheses about policy-makers' targets, and we implement that test for Canadian monetary policy. If, for example, the Bank of Canada is using interest rates to target an inflation rate of 2 per …
View article: Volatility spillovers and capital buffers among the G-SIBs
Volatility spillovers and capital buffers among the G-SIBs Open
We assess the dynamics of volatility spillovers among global systemically important banks (G-SIBs). We measure spillovers using vector-autoregressive models of range volatility of the equity prices of G-SIBs, together with machine learning…
View article: Accumulation of Foreign Currency Reserves and Risk-taking
Accumulation of Foreign Currency Reserves and Risk-taking Open
We assess whether the accumulation of foreign currency reserves in the Asia-Pacific region may have unintended consequences in the form of increased private sector risk-taking. To do so we carry out a country-specific daily data event stud…
View article: Assessing Inflation Expectations Anchoring for Heterogeneous Agents: Analysts, Businesses and Trade Unions
Assessing Inflation Expectations Anchoring for Heterogeneous Agents: Analysts, Businesses and Trade Unions Open
Forecasts of agents who are actively involved in the setting of prices and wages are less readily available than those of professional analysts, but may be more relevant for understanding inflation dynamics. Here we compare inflation expec…
View article: Why You Should Use the Hodrick-Prescott Filter – at Least to Generate Credit Gaps
Why You Should Use the Hodrick-Prescott Filter – at Least to Generate Credit Gaps Open
The credit gap, defined as the deviation of the credit-to-GPD ratio from a Hodrick-Prescott (HP) filtered trend, is a powerful early warning indicator for predicting crises. Basel III therefore suggests that policymakers should use it as p…
View article: Inflation Expectations Anchoring Across Different Types of Agents: The Case of South Africa
Inflation Expectations Anchoring Across Different Types of Agents: The Case of South Africa Open
Inflation forecasts are modelled as monotonically diverging from an estimated long-run anchor point, or “implicit anchor”, towards actual inflation as the forecast horizon shortens. Fitting the model with forecasts by analysts, businesses …
View article: Does the Accumulation of Foreign Currency Reserves Affect Risk-Taking? An Event Study Approach
Does the Accumulation of Foreign Currency Reserves Affect Risk-Taking? An Event Study Approach Open
Fatum and Yetman (2017) assess whether foreign currency reserves accumulation in the Asia-Pacific region is systematically associated with risk-taking, using an event study approach to examine the responses of various proxies of risk-takin…
View article: The perils of approximating fixed-horizon inflation forecasts with fixed-event forecasts
The perils of approximating fixed-horizon inflation forecasts with fixed-event forecasts Open
A common practice in studies using inflation forecasts is to approximate fixed-horizon forecasts with fixed-event ones. Here we show that this may be problematic. In a panel of US inflation forecast data that allows us to compare the two, …
View article: Inflation Expectations Anchoring Across Different Types of Agents: the Case of South Africa
Inflation Expectations Anchoring Across Different Types of Agents: the Case of South Africa Open
Inflation forecasts are modelled as monotonically diverging from an estimated long-run anchor point, or "implicit anchor", towards actual inflation as the forecast horizon shortens.Fitting the model with forecasts by analysts, businesses a…
View article: The evolution of inflation expectations in Japan
The evolution of inflation expectations in Japan Open
We model inflation forecasts as monotonically diverging from an estimated long-run anchor point towards actual inflation as the forecast horizon shortens. Fitting the model with forecaster-level data for Japan, we find that the estimated a…
View article: A Comparison of Liquidity Management Tools in Seven Asian Economies
A Comparison of Liquidity Management Tools in Seven Asian Economies Open
We develop a simple theoretical model and then use bank data from seven Asian economies to investigate the effects on bank lending of different liquidity management tools used by central banks. We find that hiking reserve requirements to s…
View article: Foreword to: Expanding the Boundaries of Monetary Policy in Asia and the Pacific
Foreword to: Expanding the Boundaries of Monetary Policy in Asia and the Pacific Open
Bank Indonesia and the Bank for International Settlements (BIS) co-hosted a research conference on “Expanding the boundaries of monetary policy in Asia and the Pacific” on 20–21 August 2015 in Jakarta. The event was the wrap-up conference …
View article: Inflation expectations and monetary policy
Inflation expectations and monetary policy Open
Emerging market central banks have come to rely on an increasing number of measures of inflation expectations from a variety of sources. We highlight some of the empirical limitations of the various measures, and argue that different measu…
View article: The evolution of inflation expectations in Canada and the US
The evolution of inflation expectations in Canada and the US Open
We model inflation forecasts as monotonically diverging from an estimated long-run anchor point towards actual inflation as the forecast horizon shortens. Fitting the model with forecaster-level data for Canada and the US, we identify thre…
View article: Foreign exchange intervention: strategies and effectiveness
Foreign exchange intervention: strategies and effectiveness Open
Foreign exchange intervention has been actively used as a policy tool in many economies in Asia and elsewhere. In this paper, we examine two intervention rules (leaning against exchange rate misalignment and leaning against the wind), util…
View article: Financial inclusion - issues for central banks
Financial inclusion - issues for central banks Open
Financial inclusion - access to financial services - is increasing worldwide, often with official support. This special feature discusses the implications for central banks. Greater financial inclusion changes the behaviour of firms and co…