Research
BoE paper: CCP legal framework may need work
Process of handling default is legally robust in many cases, but has room for improvement in others, authors say
ECB paper presents evidence of risk-taking channel in US
Working paper finds interest rates affect the quality of bank credit in the US; researchers exploit confidential data on banks’ internal ratings of loans
Paper examines credit risk spillover in the eurozone
Estimations of fair-value credit default swap values may give better picture of eurozone risk contagion than market prices for credit default swaps, ECB paper argues
Researchers conduct ‘horse race’ of financial crisis early-warning models
Statistical approaches based on machine learning appear to offer more robust early warnings of financial crisis than models based on more conventional techniques, two researchers say
BoE paper evaluates macro-prudential roles of bank capital regulation and monetary policy
Authors find counter-cyclical regulation is more effective than monetary policy in promoting stability in the wake of a credit shock
US data can help nowcast Canadian growth, paper finds
Working paper published by Fed board introduces US data into dynamic factor model used for nowcasting the quarterly real GDP growth rate
ECB sees ‘no clear upward trend’ in most inflation metrics
Inflation measures in the eurozone are subdued, the ECB says; several factors are slowing recovery, including balance sheet adjustments, downturn in emerging markets and slow progress on reform
Inflation targeting ‘key' for successful de-dollarisation – IMF working paper
Peru's success story suggest "sound" monetary and macro-prudential policy can help de-dollarisation, paper says; favourable global environment helped in case of Peru
Nonlinear models struggle to outperform VARs, Azerbaijani paper finds
Central bank’s first working paper finds various different nonlinear forecasting models perform poorly against autoregressive and VAR models, and even random walks
Researchers explore link between rates and consumption in new model
Working paper published by ECB examines transmission mechanism of monetary policy in a heterogeneous agent New Keynesian model
Fijian annual report shows ‘huge decline’ in mobile money active agents
Reserve Bank of Fiji documents 84% decrease in registered active agents, while number of people registered for mobile money increased
ECB paper explores public and private employment link
Research contradicts literature that claims an increase in public employment crowds out private employment, at least in recessions
Outflows during normalisation proportional to earlier inflows, paper warns
Working paper examines the effects unconventional monetary policies in advanced economies had on capital flows in emerging markets, and predict what is to come during normalisation
BoE paper explores impact of prudential measures abroad on UK bank lending
No “significant” spillovers to bank lending following prudential measures, authors find, while composition of lending can change when domestic actions are taken
BoE paper seeks unified global approach to NPLs
A multidisciplinary approach to legal, accounting, statistical, economic and strategic elements of loan loss provisioning and NPLs
Italian paper looks at ECB’s reserve management
Bank of Italy working paper studies the management of the ECB’s foreign exchange reserves; diversity of managers’ investment styles may positively affect risk-adjusted returns, authors say
Paper explores reserve management in closed economies
Working paper published by IMF presents intertemporal optimisation model designed to help assess how closed economies should use their reserves when guarding against current account shocks
Fed liftoff pushed some rates down – Riksbank paper
Researchers find hike in policy rate lowered average interest rates on subprime lending, and narrowed spreads with the less risky section of the market, using novel "scraped" data set
ECB paper models influence of financial fragmentation on eurozone crisis
Working paper published by ECB models the influence of financial fragmentation on three key stages in the eurozone crisis
Research digs into disagreement about inflation expectations
Paper published by Reserve Bank of Australia examines how the disagreement within stakeholder groups about inflation expectations has evolved
Bank CEOs’ pay can hit regulation, economist argues
Washington University economist Anjan Thakor argues linking bank chief executives’ pay to returns on equity can have adverse effects on banking regulation
FCA paper investigates whether HFTs predict orders
Working paper finds patterns consistent with HFTs anticipating order flows over longer time periods, but authors unable to ascertain cause
Paper explores monetary policy and bank liability structure
Banque de France working paper analyses US banking data from 1994 to 2008; provides new empirical support for bank lending channel of monetary policy, author argues
BoJ survey reveals growing pessimism over economy
Share of respondents who expect conditions to worsen over coming year rises to over one-third, although most believe conditions have stayed the same over the past 12 months, and will do so again