Research
Big eurozone economies dragged each other down during eurozone crisis
Sovereign CDS in Spain and Italy showed ‘notable co-dependence' in 2009–12 and also explained much of the widening in Germany's spreads, IMF paper says
Ingves says job of supervisors just beginning as Basel III nears completion
As the Basel III rules approach completion, the job of implementing the regulatory framework is only just beginning, Stefan Ingves says
Colombian interbank oligopoly requires new monetary policy transmission model
The domination of Colombia's interbank market by a few large players means traditional models cannot predict how monetary policy, and financial crises, will be transmitted
Structural reforms could get eurozone out of recession, paper shows
Bank of Portugal working paper finds structural economic reforms could get the eurozone out of recession and away from the zero lower bound if designed correctly
ECB paper finds eurozone inflation better anchored than US
Analysis of medium- and longer-term inflation expectations at times of economic shocks finds European inflation expectations more firmly anchored than in the US
RBI deputy reviews Indian macro-prudential experience
Kamalesh Chakrabarty evaluates India’s experience with macro-prudential policy and considers how central banks can build analytical frameworks to guide their oversight
Korean research analyses transmission of exchange rate movements to domestic prices
Korean working paper finds imported inputs play ‘major role’ in transmitting exchange rate fluctuations to the domestic price level
Chile paper finds increased pass-through from international to local inflation in OECD
Analysing pass-through in 31 OECD countries, working paper also finds 'heterogeneity in size and statistical significance - especially important at the core level'
IMF paper finds QE cut real US Treasury yields by 140bp between 2008-12
Using a structural arbitrage-free model of demand pressures on US real interest rates, working paper finds domestic and foreign purchases has had big impact
Supply chain integration drives closer price co-movement, BIS paper finds
Headline inflation rates and producer prices move more closely together between Asian economies that trade more with one another, BIS paper shows
Bar should be lowered for early warnings on currency crises, says IMF economist
Currency crisis early-warning systems should err on the side of flagging up more crises rather than less, even if this leads to an increase in false alarms
Massive stimulus saved China from ‘great recession'
The rest of the world could have avoided recession too, had other governments dared implement such a ‘bold and powerful' stimulus package, St. Louis Fed paper suggests
Dutch say US stress tests produced ‘valuable information’
Researchers find the disclosure of stress test results in the wake of the financial crisis had a ‘strong’ effect on credit default swap spreads, but less of an impact on stock returns
Empirical study informed Friedman's shift to monetarism
Divergence in views of Milton Friedman and Henry Simons was due to different emphasis on data construction and analysis, argues George Tavlas
Czechs discuss appropriate capital requirements for Sifis
Paper sets out the range of indicators that could be used, and the advantages and disadvantages of focusing on an individual or consolidated level
Foreign banks acted as 'buffer' on Korean monetary policy during the crisis
Bank of Korea working paper examines the impact of foreign banks on the central bank’s monetary policy transmission mechanism during the recent crisis
Central bank communication key to herding behaviour, BoJ paper finds
‘Two layer’ model of investor information highlights crucial role for central bank communications in causing – and containing – herding behaviour in markets
Offshore renminbi has increasing impact on Asian exchange rates
How long the independent impact will last will likely depend on China's progress in liberalising its capital account, according to working paper from the Bank for International Settlements
Effect of a monetary policy shock is volatile over time
Research using 100 years of US economic data finds the sensitivity of the economy to monetary policy shocks has changed ‘dramatically'
French paper constructs credit risk indicators for eurozone
Working paper published by Banque de France builds credit risk indicators that are ‘highly robust’ leading indicators for economic activity and the growth of bank lending
Early-warning indicators ‘crucial' where imbalances don't cause inflation
Hungarian paper singles out early-warning signals for macro imbalances that could be missed by a single-minded focus on price stability
Monetary policy's 'new normal' will challenge central bank independence, say IMF staff
The ‘new normal' for monetary policy, including taking account of macro-prudential concerns and cross-border spillovers, will also complicate accountability and challenge central bank independence
ECB paper tackles liquidity ‘free-rider’ problem
Working paper highlights ‘excessive liquidation’ caused by financial intermediaries free-riding on other firms’ liquidity holdings, but says macro-prudential policy can create ‘constrained efficiency’
IMF says real interest rates have fallen sharply since 1980s
Rise in emerging market savings rates, increase in demand for safe assets and recent fall in yields in advanced countries are the major contributors to real rate decline since the 1990s