Ryan Banerjee
Bank for International Settlements
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Publication
Featured researches published by Ryan Banerjee.
Archive | 2003
Ryan Banerjee; Nicoletta Batini
We follow Fuhrer (2000) in estimating via Maximum Likelihood a log-linear consumption function on UK data. In doing so we consider various habit formation assumptions. We show that a model of purely “external” habits as in Fuhrer (2000) fits the UK data remarkably well, and possibly in a superior way than US data where, according to our estimates, consumers’ habits look more “internal” in that they appear indexed to past average consumption of only a subset of (peer) consumers in the economy, rather than total past per capita consumption. We also find that for about one seventh of UK consumers, current consumption equals current income_a strong violation of the permanent income hypothesis. Embedded in a sticky price-sticky inflation open-economy monetary model, the model that we estimate helps mimic the hump-shaped response of the output gap to income and interest rate shocks observed in the UK. Estimates of output Euler equations for the UK using a similar method agree with our general results. The consumption and output models that we estimate forecast significantly better than unrestricted open-economy VARs.
Journal of Financial Intermediation | 2017
Ryan Banerjee; Hitoshi Mio
We present the first study to estimate the causal effect of liquidity regulation on bank balance sheets. It takes advantage of the heterogeneous implementation of tighter liquidity regulation by the UK Financial Services Authority in 2010. We find that banks adjusted the composition of both assets and liabilities, increasing the share of high-quality liquid assets and non-financial deposits while reducing intra-financial loans and short-term wholesale funding. We do not find evidence that the tightening of liquidity regulation caused banks to shrink their balance sheets, nor reduce the amount of lending to the non-financial sector.
Archive | 2010
Ryan Banerjee
This paper documents a new fact: the correlation between official development assistance (ODA) and GDP is negatively related to the quality of institutions. This fact reconciles conflicting empirical results about the correlation between ODA and GDP in the literature. For instance, Pallage and Robe (2001) find a positive correlation in two thirds of African economies and half of non-African developing economies, but Rand and Tarp (2002) find no correlation in a different set of developing countries. First, once institutions are accounted for, African economies are not treated differently by donors. Second, the sample in Rand and Tarp (2002) comprises developing economies which have relatively good institutions, therefore, those countries receive acyclical or countercyclical aid. Differences in institutional indicators that measure corruption, rule of law, government effectiveness and government transparency are particularly important. The results are found to be robust to several modifications, including within and between country variation and different sources of institutional quality measures.
Archive | 2011
Ryan Banerjee
This paper documents that developing countries with opaque institutions receive procyclical development aid and procyclical promises of future aid while developing countries with transparent institutions receive countercyclical aid. It provides a dynamic equilibrium model of optimal aid policy that can quantitatively account for these facts. The transparency of institutions in the country affects the donors ability to distinguish if government actions increased the probability of low output states occurring. If donors have good signals about government actions, aid is optimally countercyclical. However, if donors only have noisy signals, aid is optimally procyclical. The calibrated model suggests the welfare costs of giving countercyclical aid to countries with opaque institutions could be very high.
The Economic Journal | 2014
Nick McLaren; Ryan Banerjee; David Latto
BIS Quarterly Review | 2015
Ryan Banerjee; Jonathan Kearns; Marco J. Lombardi
Bank of England Quarterly Bulletin | 2012
Ryan Banerjee; Nick McLaren
Archive | 2014
Ryan Banerjee
Computing in Economics and Finance | 2004
Nicoletta Batini; Ryan Banerjee
Archive | 2016
Ryan Banerjee; Fabrizio Zampolli