Research
ECB paper tests systemic risk using ‘VAR for VaR’ model
Researchers use quantile regression in attempt to better account for outliers, which they say could have applications for stress testing
German inequality would fall with US-style home ownership, Bundesbank study shows
Discussion paper fits US home ownership structure to German economy, finding large changes in the distribution and median level of wealth
Norges Bank research reverse-engineers model of US housing crashes
Researchers test a variety of models for their fit with evidence on US housing booms and busts, finding formation of household expectations by moving average performs best
Overconfident forecasters may be ‘overrepresented’ in ECB survey
Working paper finds participation in the Survey of Professional Forecasters drops when uncertainty rises, suggesting the results may be biased
BoE minutes help markets shape expectations, paper finds
Working paper published by ECB finds markets make use of minutes when forming short-term expectations, but relationship breaks down over longer horizons
Cleveland Fed economists cautious over use of Taylor rule
Research emphasises the difficulty in measuring potential output and the natural rate of unemployment accurately and urges policy-makers to ‘take care’ when using the rule
ECB paper emphasises productivity's role in export elasticity
Authors find a range of factors matter when assessing the response of exports to changes in the exchange rate, including productivity and both the type and magnitude of shocks
ECB paper examines financial exposure in eurozone
Working paper finds eurozone investors are ‘overexposed’ to securities issued within the region, more so in the case of ‘low-rating economies’
IMF paper urges central banks to adopt sharia-compliant facilities
Authors warn lack of sharia-compliant monetary policy tools is hampering efficient liquidity management among Islamic banks, but is an area that requires further research
BoJ paper outlines idea of ‘natural yield curve’
Curve defines level of natural rate of interest at all maturities; authors suggest it provides a ‘useful benchmark’ for the conduct of monetary policy
New euro banknotes go down well in the Netherlands
Study conducted for the Netherlands Bank finds new €5 and €10 banknotes are more popular than their predecessors, though familiarity with design features remains low
Riksbank paper measures impact of debt-to-income limits
Report weighs the costs and benefits of debt-to-income limits, finding they can be effective in tackling debt and are likely to have a ‘relatively small’ macroeconomic effect
Assessing risks from household debt is a complex task, Riksbank study finds
Economic commentary says risks in household sector seem high, but assessing them properly depends on a host of factors that keep changing and data that may not be available
BoE paper questions dominance of Normal distribution
Using the t distribution and time-varying variance improves a vector autoregression’s fit with the data and forecasting performance, researchers find
IMF paper argues technological slowdown not main driver of weak productivity
Working paper finds slower US productivity growth is more due to reduced efficiency in combining factors of production than a declining pace of technological progress
ECB paper flags risk of ‘collateral damage’ from financial transaction tax
Working paper finds an increase in transaction costs, such as the financial transaction tax mooted in the EU, could impact the availability of collateral and damage market liquidity
Balance sheet policies may not be enough to lift expectations, Dutch research finds
Working paper analyses the impact of credit and quantitative easing policies on inflation expectations, finding central banks may need to do more to lift them
ECB research finds Greenspan's Fed responded aggressively to uncertainty
Working paper finds the Federal Reserve under Alan Greenspan took stronger action as economic uncertainty rose. In fact, risk seems to have been more significant than ‘conventional’ variables
Bank of Korea paper investigates link between liquidity and commodity prices
Researchers find certain commodity prices became more sensitive to global liquidity following the 2008 financial crisis
IMF researchers explore central bank security issuance
Working paper finds low-income countries may struggle to issue central bank securities on account of the administrative costs and infrastructure demands
CPI not ideal for comparing inflation rates, research finds
Economist at Sveriges Riksbank says CPI is a good measure of inflation but is ‘not well suited’ to making international comparisons of inflation rates
High liquidity creation increases probability of bank failure, IMF paper warns
Working paper published by the IMF says regulators can reduce costs of bank failure by identifying high liquidity creators early and monitoring them closely
Household expectations help flesh out inflation picture, research finds
Research published in the latest Bank of Canada review argues that looking at the behaviour of expectations since the crisis helps in understanding evolution of inflation
RBA paper unpacks central bank’s DSGE model
Authors shed light on adapted DSGE model used in Australia, emphasising its deliberate simplicity so additional features can be bolted on as needed