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Cover and Contents Volume 16, Number 5 October 2020 Volume 16, Number 5Volume BANKING OF CENTRAL JOURNAL INTERNATIONAL 2020 October INTERNATIONAL JOURNAL OF CENTRAL BANKING The Effects of Borrower-Based Macroprudential Policy: An Empirical Application to Korea Thorsten Franz To Guide or Not to Guide? Quantitative Monetary Policy Tools and Macroeconomic Dynamics in China Hongyi Chen, Michael Funke, Ivan Lozev, and Andrew Tsang The Impact of the Designation of Global Systemically Important Banks on Their Business Model Aurélien Violon, Dominique Durant, and Oana Toader Measuring the Liquidity Profile of Mutual Funds Sirio Aramonte, Chiara Scotti, and Ilknur Zer How Do Central Bank Projections and Forward Guidance Influence Private-Sector Forecasts? Monica Jain and Christopher S. Sutherland Credit Risk, Liquidity, and Lies Thomas B. King and Kurt F. Lewis How Would U.S. Banks Fare in a Negative Interest Rate Environment? David M. Arseneau Anchoring Inflation Expectations in Unconventional Times: Micro Evidence for the Euro Area Jonas Dovern and Geoff Kenny International Journal of Central Banking Volume 16, Number 5 October 2020 The Effects of Borrower-Based Macroprudential Policy: An Empirical 1 Application to Korea Thorsten Franz To Guide or Not to Guide? Quantitative Monetary Policy Tools and 49 Macroeconomic Dynamics in China Hongyi Chen, Michael Funke, Ivan Lozev, and Andrew Tsang The Impact of the Designation of Global Systemically Important 95 Banks on Their Business Model Aur´elien Violon, Dominique Durant, and Oana Toader Measuring the Liquidity Profile of Mutual Funds 143 Sirio Aramonte, Chiara Scotti, and Ilknur Zer How Do Central Bank Projections and Forward Guidance Influence 179 Private-Sector Forecasts? Monica Jain and Christopher S. Sutherland Credit Risk, Liquidity, and Lies 219 Thomas B. King and Kurt F. Lewis How Would U.S. Banks Fare in a Negative Interest Rate Environment? 269 David M. Arseneau Anchoring Inflation Expectations in Unconventional Times: 309 Micro Evidence for the Euro Area Jonas Dovern and Geoff Kenny The contents of this journal, together with additional materials provided by article authors, are available without charge at www.ijcb.org. Copyright c 2020 by the Association of the International Journal of Central Banking. All rights reserved. Brief excerpts may be reproduced or translated provided the source is cited. Consult www.ijcb.org for further information. The International Journal of Central Banking is published quarterly (ISSN: 1815-4654). Online access to the publication is available free of charge at www.ijcb.org. Changes to hard copy subscriptions and orders should be placed by e-mail at [email protected]. Renewals, claims, address changes, and requests for permission to reprint material from this journal should be addressed to: International Journal of Central Banking HS08.20 European Central Bank Sonnemannstr. 22 D-60640 Frankfurt am Main Germany Phone: +4969134495894 E-mail: [email protected] The views expressed in this journal do not necessarily represent the views of the Association of the International Journal of Central Banking or any of its members. ISSN: 1815-4654 International Journal of Central Banking Board of Directors Chairman Richard Clarida, Federal Reserve Board Board Members Elias Albagli, Central Bank of Chile Ken Matsushita, Bank of Japan Ahmed Alkholifey, Saudi Arabian Monetary Authority Andre Minella, Central Bank of Brazil David E. Altig, Federal Reserve Bank of Atlanta Emanuel M¨onch, Deutsche Bundesbank A¨ımene Benabderrahmane, Bank of Algeria Gerard O’Reilly, Central Bank of Ireland Jan Marc Berk, The Nederlandsche Bank Eva Ortega, Bank of Spain Claudio Borio, Bank for International Settlements Michael D. Patra, Reserve Bank of India Jan Bruha, Czech National Bank Anna Paulson, Federal Reserve Bank of Chicago Paul Castillo, Central Reserve Bank of Peru Th´orarinn G. P´etursson, Central Bank of Lillian Cheung, Hong Kong Monetary Authority Iceland Keen Meng Choy, Monetary Authority of Singapore Sigal Ribon, Bank of Israel Laurent Clerc, Bank of France Kasper Roszbach, Norges Bank Francisco G. Dakila Jr., Bangko Sentral ng Pilipinas Glenn Rudebusch, Federal Reserve Bank of San Troy Davig, Federal Reserve Bank of Kansas City Francisco Michael Dotsey, Federal Reserve Bank of Philadelphia Krislert Samphantharak, Bank of Thailand Luci Ellis, Reserve Bank of Australia Lawrence Schembri, Bank of Canada Eugenio Gaiotti, Banca d’Italia Woon Shin, Bank of Korea Yong Ha, Reserve Bank of New Zealand Ulf S¨oderstr¨om, Sveriges Riksbank Philipp Hartmann, European Central Bank Ellis Tallman, Federal Reserve Bank of Cleveland Jonathan Heathcote, Federal Reserve Bank of George Tavlas, Bank of Greece Minneapolis Geoff Tootell, Federal Reserve Bank of Boston Beverly Hirtle, Federal Reserve Bank of New York Dobieslaw Tymoczko, National Bank of Poland Elena Iorga, National Bank of Romania Hernando Vargas Herrera, Banco de la Rep´ublica Esa Jokivuolle, Bank of Finland Christopher Waller, Federal Reserve Bank of Signe Krogstrup, Danmarks Nationalbank St. Louis Michael Kumhof, Bank of England John Weinberg, Federal Reserve Bank of Richmond Thomas Laubach, Federal Reserve Board Rafael Wouters, National Bank of Belgium Ana Christina Leal, Bank of Portugal Mine Y¨ucel, Federal Reserve Bank of Dallas Carlos Lenz, Swiss National Bank Ksenia Yudaeva, Central Bank of Russian Ye Liu, People’s Bank of China Federation Editorial Board Managing Editor Luc Laeven European Central Bank Co-editors Tobias Adrian Huberto Ennis Sharon Kozicki International Monetary Fund Federal Reserve Bank of Bank of Canada Richmond Boragan Aruoba Keith Kuester University of Maryland Linda S. Goldberg University of Bonn Federal Reserve Bank of Pierpaolo Benigno Steven Ongena New York LUISS Guido Carli University of Zurich Oscar` Jord`a Elena Carletti Federal Reserve Bank of Bocconi University San Francisco Associate Editors Patrick Bolton Darrell Duffie Francesco Lippi Columbia University Stanford University LUISS University Michael D. Bordo Jordi Gal´ı Carmen M. Reinhart Rutgers University Centre de Recerca en Economia Harvard Kennedy School Internacional (CREI) Mark Carey H´el`ene Rey Federal Reserve Board Marvin Goodfriend London Business School Carnegie Mellon University Pierre Collin-Dufresne Jean-Charles Rochet Ecole´ Polytechnique F´ed´erale Michael B. Gordy University of Zurich Federal Reserve Board de Lausanne Andrew K. Rose Guy Debelle Luigi Guiso University of California, Reserve Bank of Australia Einaudi Institute Berkeley Douglas W. Diamond Andrew G. Haldane Lars E.O. Svensson University of Chicago Bank of England Stockholm School of Economics Graduate School of Business Takatoshi Ito J¨urgen von Hagen Francis Diebold Columbia University University of Bonn University of Pennsylvania David Lando Ernst-Ludwig von Thadden Michael Dotsey Copenhagen Business School University of Mannheim Federal Reserve Bank of Philip Lane Tsutomu Watanabe Philadelphia European Central Bank University of Tokyo Advisory Board Franklin Allen Hyun Song Shin Kazuo Ueda Imperial College London Bank for International University of Tokyo Charles Goodhart Settlements Carl E. Walsh London School of Economics John Taylor University of California Stanford University Michael Woodford Columbia University.
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