Abstract
The great expansion of financial markets in recent decades, on both the demand and the supply sides, has stimulated debate concerning whether or not monetary policies have to take into account the volatility of market asset prices. To date, the prevalent position is that central banks do not have to react to asset price volatility, in particular the reliable negative answer of Bernanke and Gertler (1999). Indeed, Bernanke and Gertler show that: ‘The inflation-targeting approach […] implies that policy should not respond to changes in asset prices, except insofar as the signal changes in expected inflation.’
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Aglietta, M. (2001) Macroéconomie financière. Paris: Repères, La découverte.
Aglietta, M. and A. Orléan (2002) La monnaie entre violence et confiance. Paris: Odile Jacob.
Allen, F. and D. Gale (1999) ‘Bubbles, Crises and Policy’, Oxford Review of Economic Policy, 15 (3), 9–18.
Allen, F. and D. Gale (1999) ‘Innovations in Financial Services, Relationships, and Risk Sharing’, Management Science, 45 (9), 1239–53.
Arping, S. (2002) ‘Playing Hardball: Relationship Banking in the Age of Credit Derivatives’, SSRN Working Paper, October (2002).
Banque de France (2002) ‘Le dérivés de crédit, nouvelle source d’instabilité financière?’, November.
Bernanke, B. and M. Gertler (1999) ‘Monetary Policy and Asset Price Volatility’, in New Challenges for Monetary Policy, Federal Reserve Bank of Kansas City.
Bernanke, B., M. Gertler and S. Gilchrist (1998) ‘The Financial Accelerator in a Quantitative Business Cycle Framework’, NBER Working Paper Series, 6455, March.
Bernanke, B., M. Gertler and S. Gilchrist (1996) ‘The Financial Accelerator and the Flight to Quality’, The Review of Economics and Statistics, LIIXXX, 1, 1–15.
Bernanke, B. and C. S. Lown (1991) ‘The Credit Crunch’, Brookings Paper on Economic Activity, 2, 205–47.
Bomfim, A. N. (2001) ‘Understanding Credit Derivatives and their Potential to Synthesize Riskless Assets’, Federal Reserve Board, July.
Borio, C., C. Furfine and P. Lowe (2001) ‘Procyclicability of Financial System and Financial Stability: Issues and Policy Options’, BIS Paper, 1, March.
Cartelier, J. (1996) La monnaie. Une exposé pour comprendre. Un essaie pour réfléchir. Paris: Dominos.
Das, S. (1998) Credit Derivatives: Trading and Management of Credit and Default Risk. Asia: John Wiley and Sons.
Davidson, P. (1978) Money and Real World. London: Macmillan.
Deleplace, G. and E. J. Nell (1996) Money in Motion: The Post Keynesian and Circulation Approaches. London: Macmillan.
De Long, J., A. Shleifer, L. Summers and R. Waldmann (1990) ‘Positive Feedback Investment Strategies and Destabilizing Rational Speculation’, The Journal of Finance, 45 (2), 379–95.
Duffee, G. R. and C. Zhou (2001) ‘Credit Derivatives in Banking: Useful Tools for Managing Risk?’, Journal of Monetary Economics, IIL, 25–55.
Gorton, G. B. and G. G. Pennacchi (1995) ‘Bank and Loans Sales: Marketing Nonmarketable Assets’, Journal of Monetary Economics, 35, 389–411.
Graziani, A. (1981) Teoria Economica: Macroeconomia. Edizioni Scientifiche Italiane.
Graziani, A. (1984) ‘Introduzione’, in H. P. Minsky, Potrebbe ripetesi? Instabilità e finanza dopo la crisi del 29. Torino: Einaudi.
Kiyotaki, N. and J. Moore (1997) ‘Credit Cycles’, Journal of Political Economy, 105 (21), 211–48.
Minsky, H. P. (1957a) ‘Central Banking and Money Market Changes’, Quarterly Journal of Economics, 71, 171–87.
Minsky, H. P. (1957b) ‘Monetary Systems and Accelerator Model’, The American Economic Review, IIIL, 6, 859–83.
Minsky, H. P. (1959) ‘A Linear Model of Cyclical Growth’, The Review of Economics and Statistics, 41 (2), 133–45.
Rule, D. (2001) ‘The Credit Derivatives Market: Its Development and Possible Implications for Financial Stability’, Financial Stability Review, Bank of England, June.
Saunders, A. and L. Allen (1986) ‘The Large-Small Bank Dichotomy in the Federal Funds Market’, Journal of Banking and Finance, 10, 219–30.
Saunders, A. and L. Allen (2002) Credit Risk Measurement. New Approaches to Value at Risk and Other Paradigms., 2nd edn. New York: John Wiley & Sons.
Stiglitz, J. E. and B. Greenwald (2003) Towards a New Paradigm in Monetary Economics. Cambridge: Cambridge University Press.
Stiglitz, J. E. and A. Weiss (1981) ‘Credit Rationing in Markets with Imperfect Information’, The American Economic Review, 71 (3), 393–410.
Vanacore, S. (2004) Dérivés du crédit et offre de monnaie. Manuscript.
Editor information
Copyright information
© 2007 Stefania Vanacore
About this chapter
Cite this chapter
Vanacore, S. (2007). Credit Risk Management: Rationing vs Credit Derivatives and Consequences for Financial Stability. In: Arestis, P., Zezza, G. (eds) Advances in Monetary Policy and Macroeconomics. Palgrave Macmillan, London. https://doi.org/10.1057/9780230800762_5
Download citation
DOI: https://doi.org/10.1057/9780230800762_5
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-28175-6
Online ISBN: 978-0-230-80076-2
eBook Packages: Palgrave Economics & Finance CollectionEconomics and Finance (R0)