Research
Fed data gives model of banks’ settlement service choices, paper argues
Data from the Fed’s Fedwire payment service shows that banks select payment services based on average rather than marginal cost, study finds
Trawl through BoJ archives reveals emergence of current policy-making
Study of failures and successes of BoJ policy-making in the 1980s reveals the emergence of current thinking about how best to conduct monetary policy
FOMC forecasts perform better in short- than long-term, Fed paper finds
Forecasts prepared ahead of FOMC meetings from 1997-2008 considerably outperform benchmarks at short horizons, but the results are much more mixed in the longer term
IMF paper: capital inflows work differently on credit for households and firms
The composition of capital inflows affects whether and how they cause credit growth, IMF working paper says
Regulators face trade-off over publishing stress test results
Regulators publishing stress test results may inhibit frankness by bankers, a Philadelphia Fed working paper argues, but confidentiality brings its own risks
CoCo bonds decrease banks’ appetite for risk, paper argues
Convertible bonds decrease banks’ incentives to take risks in highly-leveraged states, a DNB working paper argues
Irish central bank paper finds high cost to hasty austerity
Economists find most of the costs of fiscal consolidation from 2011-13 could have been avoided if policy-makers waited until the zero lower bound was no longer a constraint
New York Fed researchers shine light on process of giving policy advice
Economists including head of research explain the process of briefing William Dudley ahead of FOMC meetings
Public support works when big and well-aimed, study finds
Large-scale public sector support operations for distressed borrowers work best when they are large and have strong conditionality, according to DNB paper
IMF paper finds standard risk metrics perform poorly with low financial depth
Authors find ‘excess credit’ is a better early warning indicator for financial instability than credit-to-GDP where countries have limited financial depth
Sarb research updates forecasting model
Refinements to central bank’s semi-structural general equilibrium model aim to better reflect the South African economy over the inflation-targeting period
ECB paper finds fiscal targets are useful for forecasting
Ex-ante fiscal targets can convey useful information to forecasters despite the possibility of bias, researchers find
RBI paper explores challenges in public debt management
Research identifies a ‘narrow investor base’ as one hurdle and considers how to encourage greater participation from retail investors in the market for government securities
Icelandic paper looks for early-warning signals across past crises
Working paper identifies six clusters of financial crises in the country since 1875; finds macroeconomic variables give a ‘more robust warning signal’ than financial alternatives
Bank of Canada paper flags risk of spillovers from emerging to developed economies
Researchers show how a search for safe assets could transmit instability to developed economies as capital flows out of emerging markets
Lobbying softens regulatory treatment of distressed banks in US, paper finds
Under-capitalised US banks are less likely to be rigorously supervised if they have exercised political or regulatory influence, a working paper published by the ECB finds
NBIM report urges stock exchanges to prepare for next phase of development
Technological and regulatory changes have led to faster, more fragmented markets, and stock exchanges need to adapt if they are to keep up; latency race to zero is a ‘dead end’, says fund
ECB researchers examine flight to safety during sovereign debt crisis
Working paper tracks geographical distribution of capital flight, finding different movements by intra-eurozone and external investors; movements ceased when OMTs were unveiled
Spanish paper puts crisis legacy into context
Working paper suggests long-run trends in population and productivity growth could hamper the ability of policy-makers to address the legacy of the crisis
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
Norges Bank paper outlines forecasting method for big data
Researchers aim to forecast US stock market and economy using a Bayesian non-parametric model, with a dataset large enough that computing power becomes a problem
Market expectations respond to contractionary shocks, Chilean paper argues
Monetary expectations in major eurozone economies are responsive to contractionary shocks but not expansionary ones, a paper published by the Chilean central bank argues
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
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