Financial Stability
ECB paper models joint default risk with fat tails
Researchers reject normal distribution in favour of one with fatter tails, find ‘unprecedented’ tail risks in 2011-12 fell sharply after the OMT announcement
RBA’s Ellis is grateful lending standards to first-time buyers have not eased
Head of financial stability tells standing committee the prevalence of investors in the housing market could be pricing aspiring first-time buyers out of a move, but only ‘at the margin’
Nigeria bans foreign currency cash deposits
Central bank move comes as part of a clampdown on ‘illicit funds’ passing through banks; follows a series of measures aimed at stabilising exchange rate
Bundesbank’s Buch casts doubt on Greek debt relief as talks end
Deputy president takes stance at loggerheads with IMF as latest round of negotiations draws to a close; Greek finance minister strikes upbeat note
UK payments regulator evaluates efforts to improve access
Banks and payment systems now expected to be more transparent about criteria for access; regulator says this is now bearing fruit, but the real tests are yet to come
Fresh delay will push EU-US CCP row into September
Decision had been expected in July; dealers sceptical new timeline will hold
BIS paper captures financial shock using five DSGE models
Authors from the Federal Reserve find even models with a common core produce very different estimates of the spillovers of a financial shock to the real economy
Libor rigger Hayes jailed for 14 years
Tom Hayes found guilty of manipulating Libor while at UBS and Citi
Argentine economists offer alternative to DSGE model on macro and financial interactions
BIS working paper sets out a structural model augmented with a financial sector, which the authors say is more practical in many ways than DSGE models
IMF warns on sanctions impact as Russia cuts rates
Article IV report highlights problem of high inflation and low growth, coupled with financial instability resulting from sanctions, and calls for rate cuts to continue at a 'prudent pace'
New trading book QIS tackles correlation gripes
Changes proposed for correlation, exotic derivatives and hard-to-model risks
Tabaković says Serbia’s macro-prudential policy is on a par with developed countries
National Bank of Serbia governor says central bank is keeping up with its developed economy peers during first press conference on financial stability report
Bundesbank research warns of risks from rising intraday interest rates
Discussion paper finds intraday rate rose from zero to around 60 basis points after 2008 and sovereign debt crises; researchers suggest it is reflecting a liquidity premium
BIS paper models optimal response to unconventional shocks
Authors examine how macro-prudential policy ought to respond to news shocks and regime changes in global liquidity, finding ‘significant variation’ in optimal policy reactions to shocks
FSB holds fire on non-bank G-Sifi designation amid backlash
Organisation to delay decision on whether asset managers should be included in designation of systemic ‘non-bank non-insurers’ after consultation attracted widespread criticism
China market turmoil shouldn't affect SDR decision, Lagarde says
IMF chief defends Chinese government efforts to prop up stock market, praises reform tempo at first-ever virtual press conference
BoE unveils plans for enhanced data gathering
Central bank hopes improved data gathering will allow it to produce more accurate interest rate benchmarks, and inform financial and monetary policy work
Greek swaps contract drama continues
Ongoing controls mean some end-user payments are more than a month overdue
BoE’s Gracie describes unique dangers of cyber attack
Unprepared firms could find themselves up against attacks by fraudsters or unscrupulous states, and the damage could be difficult to detect
Bundesbank research tracks changing financial cycle
Discussion paper seeks to establish the ‘empirical regularities’ of the financial cycle using an econometric model, finding the cycle has grown longer and more severe over time
BoJ paper finds emerging markets struggled to protect themselves from QE
Foreign exchange interventions and capital flow policies did little to shield emerging markets from the spillovers caused by quantitative easing in the US
Greek lessons for central banks acting as lenders of last resort
Is it appropriate for a central bank that also acts as lead financial supervisor to act as a lender of last resort at a time when its actions are becoming quasi-fiscal in nature? By Ludek Niedermayer
IMF laments lack of progress on global imbalances
Fund calls on both surplus and deficit economies to redress imbalances, arguing this would support global demand management and growth