Research
SNB paper tests shock response on individual sectors
Researchers apply dynamic factor model to Swiss economy to examine impact of monetary policy, exchange rates and external demand on different sectors
Canadian research finds drop in uncertainty following policy changes
Bank of Canada working paper presents evidence that uncertainty over interest rates in Canada fell after recent changes to monetary policy including forward guidance
German researchers present indicator of interbank market stress
Bundesbank discussion paper says banks’ bidding behaviour in Eurosystem’s weekly refinancing operations reflect conditions in the interbank market
RBA paper supports CCP interoperability
Researchers weigh the benefits of increased netting across linked central counterparties against the potential costs arising from the bilateral exposures each link creates
Hedge funds caused post-Lehman liquidity crisis, research finds
Staff report from the New York Fed argues the evidence points to hedge funds, rather than dealers, precipitating the post-Lehman liquidity crisis - with implications for rules on prop trading
External balance-sheet structure key in explaining the financial crisis
High gross external debt was indicator of subsequent vulnerability, according to BoE paper; finds ‘important interaction' between 'competing ‘savings glut' and ‘banking glut' hypotheses
Portuguese paper presents macroeconomic model for small economies
Researchers at the Bank of Portugal detail the features and applications of the Portuguese Economy Structural Small Open Analytical (Pessoa) model, which they say is useful for small economies in monetary union
BIS paper weighs future of liquidity stress tests
Bank for International Settlements working group compiles survey on current stress-testing practices among its members, and identifies a basic framework of what future tests could include
IMF paper presents Global VAR model for analysing banking and sovereign risks
Researchers develop a global vector autoregression model that incorporates forward-looking contingent claims into its analysis of banking systems, sovereigns and macroeconomic conditions
China should be in ‘no hurry’ to relax capital controls, says ADB paper
Working paper makes recommendations for Chinese fiscal and monetary policy, including maintaining control over exchange rates and taking steps to curb the growth of shadow banking
Buba paper: Banks with volatile loan demand load up on wholesale funds
Bundesbank discussion paper argues ‘loan uncertainty' not only result but determinant of wholesale funding, implying regulatory cap on wholesale funding increases exposure to ‘asset-side shocks'
Central Bank of Ireland research scrutinises credit and house price links
Researchers anatomise Ireland’s painful housing boom and bust, highlighting importance of the 'income fraction' channel in creating sharp movements in mortgage credit supply
IMF paper warns half-hearted Japanese reforms would push up long-term rates
Researchers say long-term yields and banks’ interest rate exposures will increase if structural and fiscal reforms are not seen through to the end
IMF paper sets parameters for model short-term real interest rate
Working paper sheds light on a ‘crucial' but overlooked question - and shows that the elasticity of interest rate volatility plays a crucial role in explaining real interest rate dynamics
Structural reforms could soften austerity blow in eurozone core, paper finds
IMF researchers use integrated monetary and fiscal model to find core eurozone countries could offset the pain of austerity through structural reforms; the periphery, however, is another matter
Mix of micro and macro indicators improves chances of spotting bank distress early on
ECB working paper presents ‘early warning model' using bank and country-level data for predicting individual bank distress in Europe
San Fran economists suggest labour market leading indicators
Economists identify the six best indicators for assessing the degree to which labour market conditions are improving; find the existing rate of recovery will continue ‘if not accelerate’ in coming months
BoJ research proposes new method for ‘nowcasting’ GDP
Paper designs static factor model using ‘ingredients’ of official quarterly GDP statistics to estimate growth over a shorter time horizon
IMF paper finds macro-prudential policy can offset loss of monetary autonomy
Researchers build DSGE model of the eurozone to find optimal monetary and macro-prudential mix; find macro-prudential policy boosts welfare and ‘lends a hand’ to monetary policy
Bank of Italy paper tests monetary and fiscal defences against speculative attack
Researchers devise co-ordination game to assess interaction of monetary and fiscal policy when policy-makers attempt to resist a potential speculative attack
Trust in financial sector shapes long-term consumption patterns
General economic indicators, ‘animal spirits', and trust all explain ‘consumer sentiment crisis' stoked by the Great Recession, according to DNB working paper
Commodity price shocks may unhinge eurozone inflation, ECB article says
Higher and more volatile commodity prices risk rendering conventional forecasts based on futures prices obsolete, with knock-on effects for inflation
Riksbank paper evaluates inflation conservatism
Researchers consider how the timing of fiscal and monetary policy decision impacts the desirability of strict inflation targeting
Banque de France paper offers alternative to China's exchange rate regime
Banque de France working paper outlines alternative model to China's exchange rate policy involving capital mobility and no central bank intervention