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150128 ||| eng |
| 020 |
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|a 9781451962659
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| 100 |
1 |
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|a Schumacher, Liliana
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| 245 |
0 |
0 |
|a Central Bank Vulnerability and the Credibility of Commitments
|b A Value-at-Risk Approach to Currency Crises
|c Liliana Schumacher, Mario Bléjer
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| 260 |
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|a Washington, D.C.
|b International Monetary Fund
|c 1998
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| 300 |
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|a 29 pages
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| 651 |
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4 |
|a United States
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| 653 |
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|a Payment Systems
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| 653 |
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|a Banks
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| 653 |
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|a Finance
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| 653 |
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|a Dynamic Treatment Effect Models
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| 653 |
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|a Industries: Financial Services
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| 653 |
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|a Banks and banking
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| 653 |
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|a Regimes
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| 653 |
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|a Financial sector policy and analysis
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| 653 |
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|a Mortgages
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| 653 |
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|a Vector autoregression
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| 653 |
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|a Money
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| 653 |
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|a Time-Series Models
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| 653 |
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|a Standards
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| 653 |
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|a Financial Institutions and Services: General
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| 653 |
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|a Currencies
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| 653 |
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|a Liquidation
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| 653 |
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|a Banking
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| 653 |
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|a Econometrics
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| 653 |
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|a Econometrics & economic statistics
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| 653 |
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|a Depository Institutions
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| 653 |
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|a Government and the Monetary System
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| 653 |
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|a Econometric analysis
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| 653 |
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|a Monetary economics
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| 653 |
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|a Bankruptcy
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| 653 |
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|a Micro Finance Institutions
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| 653 |
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|a Debt
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| 653 |
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|a Diffusion Processes
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| 653 |
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|a Economic sectors
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| 653 |
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|a Solvency
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| 653 |
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|a Banks and Banking
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| 653 |
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|a Monetary Systems
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| 653 |
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|a Financial services industry
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| 653 |
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|a Dynamic Quantile Regressions
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| 653 |
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|a Bank solvency
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| 653 |
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|a Money and Monetary Policy
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| 653 |
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|a Finance: General
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| 653 |
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|a Financial sector
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| 700 |
1 |
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|a Bléjer, Mario
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| 041 |
0 |
7 |
|a eng
|2 ISO 639-2
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| 989 |
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|b IMF
|a International Monetary Fund
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| 490 |
0 |
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|a IMF Working Papers
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| 028 |
5 |
0 |
|a 10.5089/9781451962659.001
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| 856 |
4 |
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|u https://elibrary.imf.org/view/journals/001/1998/065/001.1998.issue-065-en.xml?cid=2588-com-dsp-marc
|x Verlag
|3 Volltext
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| 082 |
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|a 330
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| 520 |
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|a A loss of solvency increases central bank vulnerability, reducing the credibility of commitments to defend a nominal regime, including an exchange rate peg. This paper develops a methodology to assess central bank solvency and exposure to risk. The measure, based on Value-at-Risk, is frequently used to evaluate commercial risk. The paper emphasizes that the ability to sustain nominal commitments cannot be gauged by focusing only on selected accounts (such as reserves), but requires a comprehensive solvency and vulnerability analysis of the monetary authorities’ complete portfolio (including off-balance-sheet operations). The suggested measure has powerful reporting value and its disclosure could improve monitoring of sovereign solvency risk
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