Showing 1 – 13 of 13 results.
Self-published
Interwar Central Banks’ Quest for Profitability: The Case of the Central Bank Of Chile, 1925-1933 (ICPSR 251617)
Released/updated on: 2026-08-13
Time period: 1926-01-01--1931-01-01
This article explores how profit seeking behavior shaped central banks adherence to the gold exchange standard in the interwar period. Existing literature has emphasized ideology and credibility, largely overlooking financial incentives in the regime. Drawing on Banco Central de Chile Board of Directors minutes, we show the institution managed foreign reserves to maximize returns through correspondent banks in London and New York. This reduced liquidity and increased currency and counterparty risk, vulnerabilities evident during the 1931 sterling crisis when Chile incurred losses and abandoned the gold standard. The Chilean case reflects broader practices among European and Latin American central banks.
Self-published
Data and Code for "Central Banks as Dollar Lenders of Last Resort: Implications for Regulation and Reserve Holdings" (ICPSR 216901)
Released/updated on: 2025-01-28
Geographic coverage: Other: Global
Time period: 2013-01-01--2020-12-31
This paper explores how non-U.S. central banks behave when firms in their economies engage in currency mismatch, borrowing more heavily in dollars than justified by their operating exposures. We begin by documenting that, in a panel of 56 countries, central bank holdings of dollar reserves are correlated with the dollar-denominated bank borrowing of their non-financial corporate sectors, controlling for a number of known covariates of reserve accumulation. We then build a model in which the central bank can deal with private-sector mismatch, and the associated risk of a domestic financial crisis, in two ways: (i) by imposing ex ante financial regulations such as bank capital requirements; or (ii) by building a stockpile of dollar reserves that allow it to serve as an ex post dollar lender of last resort. The model highlights a novel externality: individual central banks may over-accumulate dollar reserves, relative to what a global planner would choose. This is because, in the presence of imperfect regulation of currency mismatch, individual central banks do not internalize that their hoarding of reserves exacerbates a global scarcity of dollar-denominated safe assets, which lowers dollar interest rates and encourages firms to further increase the currency mismatch of their liabilities. Relative to the decentralized outcome, a global planner may therefore prefer higher capital requirements and reduced holdings of dollar reserves.
Self-published
OPREM Foreign Exchange Reserve Dataset (ICPSR 178621)
Released/updated on: 2022-09-08
Geographic coverage: Ghana
Time period: 2000-01-31--2016-12-31
Using Least Square Residual Minimization techniques, this paper develops a reserve model that optimizes the cost of holding reserves and also assists in fixing optimal reserve levels that double as better predictors of economic trends. This paper concludes that the developed reserve model in this research is better positioned to eliminate the procyclicality and perverse rush in reserve build-ups experienced in developing and emerging countries by effectively setting the reserve stock against economic trends. Wrapping up, the research fixes a benchmark of 0.7 –to 1.2 of the previous year's optimal value as the optimal reserves. This benchmark is only appropriate when the past optimal value is known. However, in the absence of this knowledge, a benchmark between 2 to 6 times of the average inflows in an economy is recommended for short-term analysis or analysis with small data observations. However, for long-term analysis or analysis with large data frequency (i.e. exceeding 13 data observations), the reserve stock should be fixed on a benchmark of 2 to 9 times of the average inflows.
Self-published
Bank of England operations in the British government securities market, 1928 - 1972 (ICPSR 118563)
Released/updated on: 2021-11-24
Geographic coverage: United Kingdom
Time period: 1928-01-01--1972-12-31
This data set provides information about the operations of the Bank of England in the market for government securities between 1928 and 1972. It supports the narrative in my book 'The Bank of England and the government debt: operations in the gilt-edged market, 1928 - 1972' (Cambridge University Press, 2019).
The Bank of England's portfolio of government securities increased massively in 1928, when the Issue Department of the Bank absorbed the currency notes that has been issued by the Treasury since 1914, and the accompanying assets. The Issue Department became an increasingly influential participant in the market, underwriting new issues by the government. In the 1950s and 1960s it acted as market-maker of last resort, and this activity led to conflicts with its monetary policy objectives. It also provided covert financial support to the Stock Exchange jobber, who were the principal market-makers.
The conflict between market making and monetary policy was largely resolved in 1971, when the Bank of England curtailed its market-making activities.
Self-published
Replication: The Gold Pool (1961–1968) and the Fall of the Bretton Woods System: Lessons for Central Bank Cooperation. (ICPSR 111725)
Released/updated on: 2019-09-08
Geographic coverage: United States, Europe, United Kingdom, France
Replication data for the paper The Gold Pool (1961–1968) and the Fall of the Bretton Woods System: Lessons for Central Bank Cooperation.
Includes Eviews replication programme files and data files providing new exclusive data. If anything is unclear or if you want to replicate the regressions, feel free to contact the authors who will be happy to help and welcome replication efforts!
Data that are unique and might interest other researchers include:
- Daily gold price from 1961 to 1968 (this is published here for the first time and is unavailable in other sources to the best of our knowledge)
- Daily intervention data by European central banks within the Gold Pool (read more about it in the paper)
- Quarterly data on withdrawal at the US gold window. This data has not yet been released by the New York Fed and is unique. It is central to better understand
- More replication data which should suffice to re-run all the regression in the paper and recreate all the charts
The source of the data is explained in the excel sheet and the paper provides additional information.
Curated
The Fed, Liquidity, and Credit Allocation (ICPSR 24563)
Released/updated on: 2013-06-14
Geographic coverage: United States
Time period: 1995-01-01--2008-11-30
The current financial turmoil has generated considerable discussion of liquidity. Moreover, it has been widely reported that the Federal Reserve played a major role in supplying liquidity to financial markets during this distressed time. This article describes two ways in which the Fed has supplied liquidity since late 2007. The first is traditional: The Fed supplies liquidity by providing credit through open market operations and by lending to depository institutions at the so-called discount window. The second is by enhancing the liquidity of portfolios of some institutions by replacing their less-liquid assets with more-liquid assets. The Fed has used the second approach since late 2007. Unlike several previous occasions, however, it began supplying liquidity in the first, more traditional way only recently in September 2008. This article notes that the Fed departed from its long-standing tradition of minimizing its effect on the allocation of credit by supplying liquidity to institutions that it believed to be most in need, at the same time, it neutralized the effects of these actions on the total supply of liquidity in the financial market. The article also discusses the Fed's reasons for reallocating credit this time rather than simply increasing the total supply of financial market liquidity.
Curated
Open Market Operations and the Federal Funds Rate (ICPSR 21303)
Released/updated on: 2007-11-08
Geographic coverage: United States
It is commonly believed that the Fed's ability to control the federal funds rate stems from its ability to alter the supply of liquidity in the overnight market through open market operations. This paper uses daily data compiled by the author from the records of the Trading Desk of the Federal Reserve Bank of New York over the period March 1, 1984, through December 31, 1996. The author analyzes the Desk's use of its operating procedure in implementing monetary policy and the extent to which open market operations affect the federal funds rate-- the liquidity effect. The author finds that the operating procedure was used to guide daily open market operations. However, there is little evidence of a liquidity effect at the daily frequency and even less evidence at lower frequencies. Consistent with the absence of a liquidity effect, open market operations appear to be a relatively unimportant source of liquidity to the federal funds market.
Curated
A Look Inside Two Central Banks: The European System of Central Banks and the Federal Reserve System (ICPSR 1278)
Released/updated on: 2003-06-05
Geographic coverage: United States, Europe, Global
In 1998 the European Central Bank (ECB) became the world's 173rd central bank. The Eurosystem, with its structure of national central banks and the ECB, is similar to the Federal Reserve System, with its District Banks and Board of Governors. However, important differences exist in the way the two systems operate. This article compares the organization and tasks of the two central banks by examining differences in their monetary policy frameworks, specifically focusing on the goals, tools, and policymaking process. In addition it examines the independence, accountability, and transparency of these central banks.
Curated
Measuring Monetary Policy Inertia in Target Fed Funds Rate Changes (ICPSR 1212)
Released/updated on: 2000-05-03
Geographic coverage: United States
Recent research has grappled with an apparent paradox: Why would a central bank that is focused primarily on inflation control exhibit signs of inertia when making policy adjustments? In this article, the author argues that fully characterizing the policy inertia is a precondition toward resolving the apparent paradox. This research presents empirical estimates of adjustments to the target fed funds rate that take into account two facets of policy inertia: a partial-adjustment mechanism and thresholds for making discrete changes to the target fed funds rate. With a more complete picture of the policy inertia, subsequent research can investigate whether policy appears to display either too much or the right amount of inertia.
Curated
Recent Developments in the Analysis of Monetary Policy Rules (ICPSR 1215)
Released/updated on: 2000-05-02
Geographic coverage: Japan, Global
After a brief review of key developments in the application of monetary theory to policy analysis, the author describes the central aspects of the typical framework used to analyze monetary policy rules. He reviews the methods used to study the effects of policy behavior and provides an example of how two rules (the McCallum rule and the Taylor rule) can be used to investigate recent monetary policy in Japan. His example shows why it may be important for central banks to develop monetary policy procedures based on monetary-aggregate as well as interest-rate instruments.
Curated
Price-Level Uncertainty and Inflation Targeting (ICPSR 1209)
Released/updated on: 1999-12-10
In this paper, the authors make two points about commonly proposed rules for inflation targeting. First, they argue that there is a great deal of uncertainty about the price level and inflation inherent in current proposals to target inflation. They show that the degree to which the central bank cares about the real economy can have a large impact on price level (and inflation) uncertainty. They find that the magnitudes of uncertainty that prevailed across the G-10 throughout the last four decades are the expected consequence of commonly proposed inflation-targeting regimes. Second, they show that if central banks want both to stabilize business cycle fluctuations and to achieve price stability, then it may be useful to adopt a long-term objective for the price level.
Curated
Central Bank Independence and Economic Performance (ICPSR 1064)
Released/updated on: 1996-01-03
Geographic coverage: United States
These data and/or computer programs are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the INVESTIGATOR(S) if further information is desired.
Self-published
ECIN Replication Package for "A Qualitative Assessment of Quantitative Easing Sentiment" (ICPSR 244665)
Time period: 2010-01-01--2021-05-27
This mixed-method study undertakes a comprehensive inquiry of the public discourse on social media surrounding Quantitative Easing (QE) across the US, the UK, and the EU. Utilising a unique dataset of tweets, we reveal the public sentiment polarity towards QE policy to be strongly negative, at 71.27%, with positive sentiment a mere 4.25%. Distilling the negative QE sentiment, we identify prominent themes of ‘anti-government’, ‘anti-central bank’, ‘inequality’, ’ineffectiveness’, ‘inflation’, and ‘asset inflation’, and demonstrate a longitudinal association between perceived inequality and asset price inflation with an anti-establishment stance. We conclude with suggested central bank policy recommendations to restore and foster public trust.