Research
IMF paper refines measurement of monetary policy transmission
Working paper breaks monetary policy into endogenous and exogenous changes, finding this is an important distinction for explaining variations in policy transmission across banks
BIS paper finds higher US bank taxes may have only moved stability risk
Research into higher taxes imposed on wholesale funding by US banks finds they did reduce reliance on short-term borrowing, but says risks may simply have been pushed into foreign banks
IMF paper proposes measure of tail-risk events
Study seeks to quantify what constitutes a systemic financial stress event, and tests the resulting metrics on 11 early-warning indicators in Europe and the US
Fed paper says macro-prudential policy is not a new idea
Research studies various macro-prudential policies employed in the past, seeking insights for contemporary policy-makers
BoE research examines links between channels of macro-prudential policy
Financial stability paper looks at the well-studied allocation channel and the less-studied signalling channel, finding the two to be closely linked
Philadelphia Fed paper investigates price discovery
Study questions how government support can best help kick-start the process of price discovery in a frozen market
Norges Bank paper seeks to solve ‘exchange rate puzzles’
Working paper looks to research into ‘market microstructure’ to explain rapid evolution of foreign exchange markets
New York Fed paper launches DSGE defence
Staff report says the standard DSGE model produced ‘surprisingly accurate’ forecasts during the financial crisis and subsequent recovery
ECB research uses game theory to assess optimal T2S adaptation
Working paper attempts to find optimal lump-sum investment by central securities depositories migrating to Target2 Securities, and tests possibility of tacit collusion
ECB paper explores current account reversals
Study finds that some external adjustments are more likely to trigger a current account reversal than others; this is determined by the country’s exchange rate regime
IMF paper searches for deeper insight into the output gap
Working paper proposes method of estimating and decomposing output gaps; inflation found to have low weight
Fin paper says hybrid monetary policy regimes are unsustainable
Bank of Finland working paper finds most former Soviet Republics operate without a free-floating exchange rate or hard peg; says hybrid policies are unsustainable
Fed paper investigates decline in US labour market mobility
Study identifies drop in interstate migration since 1980s; attributes fall to stronger internal labour markets rather than demographic or sociological factors
South African paper models international spillovers
Study finds South Africa is a ‘net receiver’ of spillovers from other economies; suggests this is likely to persist as business cycle synchronisation has increased
NY Fed paper assesses risk of fire sales in tri-party repo markets
Staff report finds limited tools are available to reduce the damage from pre-default fire sales but says there are no options currently available once a default has occurred
BoJ paper suggests models may misrepresent impact of easing at ZLB
Working paper questions why many studies in monetary economics use model that does not account for zero lower bound; finds model tends to underestimate term premia
RBI paper scrutinises monetary policy transmission
Research analyses strength of monetary policy transmission in range of Indian financial markets; says it is conducted most effectively to money markets but has ‘limited’ influence on stock markets
Korea paper warns developing economies over financial openness
Research suggests open capital markets in developing economies create output volatility; suggests Asian countries are the least stable in a crisis
Bundesbank paper finds some banks can improve stability via income diversification
Discussion paper says move into non-interest income sources stabilises smaller and more retail-orientated banks, but destabilises investment banks
IMF paper examines emerging market counter-cyclical monetary policy
Emerging markets should target inflation for its counter-cyclical benefits as well as output variability, researchers find
ECB paper models central bank liquidity provision
Researchers create model to find optimal level of central bank liquidity provision, by determining the most appropriate collateral framework
Bundesbank paper examines dynamics of crisis repo funding
Discussion paper finds changing pattern of fund management during global financial crisis, as ability of parent banks to protect subsidiaries dwindled; signals importance of strong capital base
ECB paper builds eurozone financial conditions indexes
Researchers confirm financial conditions differed across the eurozone before and after the crisis; gap shrinks when monetary policy variables are included in indexes
BoJ paper creates new framework for identifying monetary policy shocks
Working paper uses TVP-VAR model to identify the impact of conventional and unconventional monetary policy shocks on the real economy at the zero lower bound