Research
German banks use interest rate swaps as substitute strategies for managing interest rate risk exposure
They also use on-balance-sheet adjustments of the 'duration gap', Bundesbank discussion paper looking at banks' interest rate risk management finds
RBI paper explores quality of Indian banks’ assets
Researcher acknowledges that asset quality has suffered in the wake of the crisis, but is convinced that banks’ balance sheets are ‘not alarming at the current juncture’
Hungary central bank sets out stress test methodology
Working paper explains how the National Bank of Hungary conducts its stress tests, aimed at ensuring the system can survive an intensive month-long liquidity shock
Borio-led BIS team proposes new approach to measure output gap
Trying to calculate the output gap using the Phillips curve is problematic, say Basel-based economists; new approach finds financial cycle proxies add ‘significant information' to the estimate
Asia uses macro-prudential policies to greater effect, IMF paper finds
Macro-prudential policy has curbed credit growth and bank leverage in several Asian countries over the past decade; loan-to-value ratio caps and housing tax measures among most effective instruments
US foreign investment flows 'significantly' impacted by surprising monetary policy
Both gross and net foreign investment income flows in US and Canada impacted, SNB paper finds; suggests foreign balance sheet channels plays 'increasingly important role' for monetary transmission
Capital vulnerability at US banks began four years prior to crisis, NY Fed paper finds
CLASS model projections show capital vulnerability in the US banking sector started as far back as 2004, before it peaked during the financial crisis at the end of 2008
ECB paper employs survey data to improve yield curve forecasts
Researchers find that survey expectations can be used to help model ‘dynamic behaviour’ of interest rate term structure
Regulatory reliance to blame for faulty credit ratings, paper claims
The growing importance of credit ratings to financial regulators and prudential regulation explains more of the distortion in ratings than the question of who pays for the rating
Aid ‘surges' benefit countries where currency or inflation is allowed to rise
If large inflows of aid are ‘sterilised' in an attempt to curb inflation or maintain a set exchange rate, the economy will not feel the benefit of aid, a new IMF paper finds
Fed 'policy shocks' cause both dollar and foreign interest rates to fall, Boston Fed paper finds
Expansionary monetary policy shocks by the Federal Reserve leads to dollar depreciation, while similar 'unexpected expansionary announcements' by foreign central banks cause it to appreciate
Global lending conditions more connected than ever, says BIS's Turner
Big emerging market corporations are borrowing abroad, while global capital has been flowing into EMs – meaning lending conditions are more strongly connected than before
Interest swaps with longer maturities more sensitive to macroeconomic news, DNB paper suggests
The impact in Sweden of macroeconomic news on the sensitivity of interest rate swaps was reduced at the effective zero lower bound at short maturities but not at longer maturities, according to paper
Global crisis weakened monetary policy transmission, Czech paper shows
New research from the Czech National Bank studies the transmission of monetary policy through different channels, finding it works as expected but was weakened in the financial crisis
Unco-ordinated macro-prudential policies could result in ‘capital war’, says BoJ paper
Johns Hopkins professor argues that, absent any co-operation, countries across the globe will implement macro-prudential policies in a manner ‘reminiscent of an inefficient arms race’
Central banks must lean against boom and bust to retain credibility, says Borio
A more symmetrical response to booms and busts is required to leave policy-makers with the ammunition and credibility to tackle them, says top BIS economist
ECB working paper unpicks household demand for mortgage types
Paper comes to predicted conclusion that greater income volatility reduces demand for variable-rate mortgages; authors also reckon borrowers on variable rates benefited from lower rates
Security of hard pegs ‘illusory', IMF economists find
Re-examination of exchange-rate regime orthodoxy finds hard pegs are too risky, but 'managed floats' can have 'significantly lower risks'
IMF paper finds remittances depend on source and recipient country business cycles
Level of remittances are negatively correlated with strength of recipient economy and positively with source economy; when both are weak, remittances continue, study shows
IMF research maps US shadow banks
Research uses IMF-developed global flow of funds (GFF) conceptual framework to analyse the shadow banking system in the US
Restrictions on capital outflows more effective when supported by strong fundamentals and institutions
IMF working paper finds tightening of restrictions fails to reduce net outflows when macroeconomic fundamentals, good institutions, or comprehensive existing restrictions are lacking
Banks with more interbank relationships meet liquidity needs ‘more efficiently’, finds Bundesbank paper
Discussion paper examines the link between interbank relationships and liquidity needs, using data from German banks’ use of ECB main refinancing operations
Colombian paper examines women in the workplace
Researchers say the large increase in the number of urban women participating in the workforce is predominantly a result of married women with low education levels getting jobs
Prices transmit information from the informed to the uniformed, say researchers
Bank of Italy working paper examines how the price system affects companies’ demand for information on the macroeconomy; contributes to business cycle theory