Research
Bank of England paper explores exchange rate pass-through using ‘big data’
Author finds the pass-through to import prices varies depending on the size of the exchange rate movement at the micro level, but it is a different story at the macro level
IMF paper compares impact of monetary and macro-prudential policies
Research considers effects of measures in ‘systemic advanced economies’ on financial conditions both at home and abroad; monetary shocks in US can have ‘significant’ impact
Korean paper explores ‘divergent’ spillovers to EMs
Macro-prudential policies key to protecting emerging markets from spillovers, research says; normalisation in the US could lead to ‘renewed tensions’
European markets may still view some banks as ‘too big to fail’, paper argues
European governments may be seen as supporting ‘national champions’ in banking, researchers say
BIS paper explores policy trade-offs in Asia-Pacific
Asia-Pacific central banks that have used macro-prudential policy to control credit growth may have faced a short-term trade-off between financial and price objectives, paper notes
Inertia an important factor in consumer banking market, paper argues
Inertia among consumers is an important factor in the market for personal banking, a study argues, stressing that policy-makers must improve their understanding of this factor
Colombian paper finds ‘negligible’ contagion effects
Contagion in the interbank market poses no real threat to the Colombian financial system, working paper notes; examines link between bank failure and liquidity
IMF paper sees Indian food prices shaping inflation dynamics
Working paper suggests food inflation will continue to outpace non-food inflation in the coming years, while potentially contributing 1.25 percentage points annually to headline figure
Norges Bank paper seeks to improve modelling of money
Researchers aim to capture the role of money as both a medium of exchange and a liquid asset, with the resulting equilibrium underscoring the need for a liquidity coverage ratio
Paper studies central bank risk and return over 175 years
Research uses the National Bank of Denmark as a case study, exploring how its balance sheet and profit from financial items evolved between 1839 and 2014
Emerging markets more vulnerable than developed economies to policy reversals, paper finds
Working paper published by the IMF considers impact of unconventional monetary policy in major economies on global liquidity and monetary conditions
Better data collection would aid forecasting at Belize central bank, research argues
Forecasting could be improved with better data collection, working paper published by central bank finds
Macro-prudential limits would have had ‘substantial’ impact in Ireland last decade, paper finds
Research published by the Central Bank of Ireland models the impact of macro-prudential policies, including effects on credit available to households and house prices
Bank of England paper explores time-varying capital requirements
Authors use firm-bank level database from UK to examine impact of higher capital requirements on asset growth of borrowing firms; also consider interaction with monetary policy
Markov switching model enables diagnosis of ‘systemic financial stress episodes’, ECB paper argues
A Markov switching model can be used to diagnose episodes when both the real and the financial economies are subject to simultaneous severe stress, paper finds
Paper warns macro-prudential tools can have ‘blunt’ impact
Working paper sees potential for macro-prudential tools to have ‘aggregate’ impact, using ‘quantitative restriction’ deployed in Japan from 1970s onwards as an example
Colombian paper explores signals from FX interventions
Interventions in the foreign exchange market act as ‘signals’ to solve co-ordination failure, paper says, suggesting findings can help strategy
IMF paper says transmission is working but lopsided in the Dominican Republic
Researchers say the Dominican Republic has been successful in establishing a monetary transmission mechanism, but future work should focus on balancing pass-through to deposit and lending rates
BIS paper finds close link between MBS and bond yields
Authors find ‘strong empirical evidence’ for feedback between mortgage-backed securities and bond yields, with the effects proving transient and ‘hump-shaped’
New Zealand economists stress-test dairy sector
An article published by the Reserve Bank of New Zealand finds banking system losses would still be ‘manageable’ under the worst-case scenario for milk prices and farm values
BoE paper explores monetary and macro-prudential policy interactions
Macroeconomic and financial frictions in an economy can require ‘intervention of opposite direction’ on the interest rate, which a second instrument can help mitigate, paper finds
Energy and food price rises have ‘strong’ second-round effects in South Africa, paper says
A new model of South African food and energy price rises allows the quantification of their second-round impact on wider inflation measures, a working paper argues
Shocks to income have pushed Australian inequality higher, paper finds
Both income and consumption inequality have risen among Australian households due to the effect of short-term and long-term shocks to income, an RBA paper argues
Spanish paper finds issues with Basel III approach to calculating risk-weighted assets
The approach to calculating banks’ risk-weighted assets introduced by Basel III may create incentives for ‘regulatory arbitrage’, a Bank of Spain paper argues