Research
Money market interactions can explain behaviour of interest rate spreads, researchers argue
Paper analyses the interplay of unsecured and collateralised money markets; information obtained “can explain behaviour of interest rate spreads”, authors say
IMF paper explores link between imports and pro-cyclicality of productivity
Research finds firm-level import decisions explain “non-trivial” fraction of fluctuations in aggregate productivity in South Korean manufacturing sector between 2006 and 2012
BoJ research uses ‘global game’ to explain zero inflation
Model of monopolistic competition implies co-ordination between firms may lead to zero inflation
BIS paper digs into complex spillovers from US rates
Authors find short-run US rates have little impact on long-term rates elsewhere, but transmission at longer maturities and via bond markets is high
Rise of services in advanced economies weakens transmission of monetary policy, paper argues
The transmission of monetary policy in advanced economies is weakened by the greater prominence of services, a Bank of Spain working paper argues; researchers use data from US
Colombian central bank should examine transmission in greater detail – paper
Colombian banks with higher levels of solvency “less sensitive” to changes in policy rate authors say; central bank should go into “greater detail” when examining policy transmission
Philadelphia paper explores drivers of bankruptcy decisions
Working paper examines the extent to which the structure of a household’s balance sheet and income statement influences its decision to file for bankruptcy in the wake of an income shock
IMF paper offers alternative explanation for Venezuelan inflation
Working paper argues fall in oil prices combined with restrictions in foreign exchange best explains hyperinflation in Venezuela, rather than a self-reinforcing rise in expectations
Proposal for calculating capital requirements for concentration risk
Working paper warns “inadequate reflection” on concentration risk can lead to banks holding too little capital; proposes technique for calculating appropriate levels
Larger changes in policy statements lead to more volatility – paper
Research considers how much similarity in central bank statements on monetary policy matters for their reception
ECB data reveals changes in eurozone wage rigidity
ECB publishes its third survey of wage dynamics in the eurozone; it argues data is “crucial” to designing monetary and other macroeconomic policies
Governments must make use of fiscal policies with regard to gender inequality – IMF paper
‘Not enough’ to just aspire for gender equality; clear scope for countries in Middle East and central Asia to make ‘more effective’ use of policies available to them
Dutch paper explores information content of asset prices for inflation
Working paper finds high asset prices can be an indicator of either high or low inflation, though more commonly the former; considers information content of range of financial variables
European banks’ structure helps drive dollar-denominated debt issuance – paper
Bank of Spain paper examines the most prolific dollar-denominated debt issuers among European banks, finding issuance is driven by range of factors, including desire to hedge
Irish central bank warns of ‘negative and material’ impact from Brexit
Quarterly bulletin discusses channels through which UK vote to leave EU will affect Ireland; economy expected to grow by 4.9% this year and 3.7% next
Bank of Italy paper aims to improve on EC current account model
Research offers a new model of external adjustment; the EC’s model tends to mis-state cyclically adjusted current account balances of large eurozone economies, researchers argue
IMF paper examines impact of debt restructurings on growth
Growth usually declines after debt restructurings, but it can boost performance if the country exits a default spell, the authors find
Exposure to sovereign risk may limit banks’ ability to attract deposits – IMF paper
Research shows non-linear relationship between exposure to sovereign risk and deposit outflows; exposure negatively affected growth of consumer deposits 2006-2011
Chinese law doubts holding back RMB internationalisation – paper
A Bank of Italy occasional paper plots the development of renminbi trading in Europe; future development may be characterised by rapid advances followed by slower periods, authors say
Italian paper looks at effects of Basel leverage ratio on repo and refinancing
A move to higher leverage ratios by eurozone banks has not decreased their repo and refinancing activities, a Bank of Italy paper says
Inflation expectations are part of QE transmission mechanism – BoE paper
Firms’ inflation expectations increase in response to QE, research finds; interventions played ‘modest’ role in stabilising inflation expectations in recent years
ECB paper compares ability of indicators to predict bond risk premia
Researchers assemble 132 macroeconomic indicators and compare their performance against financial measures as predictors of eurozone countries’ bond risk premia
Atlanta Fed paper demonstrates signalling mechanism in mortgage market
Lenders in mortgage market able to reveal quality of loans by delaying trade, authors find; loans sold five months after origination less likely to default
Money illusion may not be irrational – BIS paper
Claudio Borio and Anna Zabai suggest people’s attachment to a unit of account is not simply a failure to think in real terms, with implications for the effectiveness of negative rates