Third Session: Negative Euro Area Interest Rates and Reserve Management
Author:
Elisabeta Gjoni
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Language:
English
Keywords:
SEM; interest rate; euro; central bank; rate; bank; interest rate differential; interest rate environment; ECB monetary policy; FX reserve; risk-taking channel; Currencies; Negative interest rates; Financial sector stability; Exchange rates; Central bank policy rate; Global; Europe; Western Europe; Eastern Europe; Baltics; ECB monetary policy implementation framework
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Abstract

After a very interesting morning dedicated to recent financial stability challenges in a negative euro area interest rate environment, I am introducing a panel on reserve management challenges in a context of negative euro area interest rates.

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Cover Negative Euro Area Interest Rates and Spillovers on Western Balkan Central Bank Policies and Instruments
Negative Euro Area Interest Rates and Spillovers on Western Balkan Central Bank Policies and Instruments
Author:
International Monetary Fund
ISBN:
9789928445391
Publication Date:
04 May 2017
Publisher:
International Monetary Fund
DOI:
https://doi.org/10.5089/9789928445391.072
Pages:
344
Figure 1.

EU real GDP growth
Figure 2.

EU private and public consumption
Figure 3.

EU investment
Figure 4.

EU trade
Figure 5.

EU inflation
Figure 6.

Expected changes in German Government yield curve over a one-year horizon
Figure 7.

Expected changes in German Governmen yield curve over a three horizon
Figure 8.

Western Balkan FX regimes and EU membership status
Figure 9

ARA weights
Figure 10

Reserve adequacy metrics for Albania, Bosnia and Herzegovina, Macedonia, Serbia, and Croatia
Figure 10

Reserve adequacy metrics for Albania, Bosnia and Herzegovina, Macedonia, Serbia, and Croatia
Figure 11.

Western Balkan-resident capital inflows, % of GDP
Figure 12.

Debt-to-GDP ratio and reserves/Short Term Debt
Figure 13.

Financial system indicators
Figure 14.

Consensus forecasts
Figure 15.

Duration risk over a one-year investment horizon (annualized)
Figure 16.

Duration risk over a three-year investment horizon (annualized)
Figure 17.

Eastern European spread over two year German Government bond
Figure 18.

Spread risk over a one and three-year invesment horizon using two-year bonds
Figure 19.

Return and risk of investing in non-Euro currencies
Figure 1.

Level of international reserves
Figure 2.

Structure by currency of FX reserves
Figure 3.

Returns on foreign exchange reserves – revenues (LHS, million euros) and annual yield (blue, RHS. % per annum)
Figure 1.

Spread between 1Y EUR benchmark and HUF base rate
Figure 2.

Hungary’s reserves are adequate
Figure 3.

Roadmap for a new reserve management strategy
Figure 4.

Position of individual risk factors in the risk-return profile determines the relevant directions
Figure 5.

Geographical diversification, internal scoring
Figure 6.

Geographical diversification and HSBC survey
Figure 7.

“Treasury” curves
Figure 8.

Agency MBS market
Figure 9.

Agency MBS market, long-term performance
Figure 10.

Equity
Figure 11.

Central banks’ interest in equity investment
Figure 12.

The new strategic benchmark
Figure 13.

Risk-return profile of the new strategic benchmark