Research
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
Croatian paper develops financial conditions index
Study seeks to assess financial conditions in Croatia using data from domestic and foreign debt markets; relates findings to the real economy
Italian survey suggests risk and time preferences can predict trust
Working paper examines predictive power of risk and time preferences for trust, and analyses role of trust in explaining socio-economic outcomes
BOFIT paper finds Turkish depositors prefer banks with political connections
Study analysing Turkish banks finds those with former members of parliament among their top executives are subject to 'less discipline' from depositors
Bundesbank research proposes improved structure for counterparty credit risk
Discussion paper finds ‘quadri-partite’ structure gives best results for managing counterparty credit risk
BoE paper backs CCP discretion over optimal resource allocation
Researchers conclude that central counterparties should be given some leeway to set their own provisions against loss
ECB researchers analyse expert forecasters' predictive abilities
Working paper aims to find where the value lies in the ECB's Survey of Professional Forecasters
BIS researchers fear separation rules could make banks harder to resolve
Recommendations from Vickers, Volcker and Liikanen examined in new paper focusing on implications for global banking business models
‘Belief-twisting' macro shocks can reverberate through generations, research finds
Banque de France researcher examines how households' expectations can take decades to recover after a macroeconomic shock
Polish paper examines banks’ risks when state safety net grows
Study finds that banks in central Europe take higher levels of risks under a larger deposit insurance scheme; less so in times of financial crisis
The Dutch are ‘poorly informed’ about country’s debt
Central bank survey finds that the Netherlands’ population underestimates the size of the country’s public debt, and wrongly attributes its creation to support for banks and other European governments
ECB paper seeks to boost predictive power of macroeconomic models
Research analyses and seeks to supplement the predictive power of the three main families of macroeconomic models – DFM, DSGE and VAR – used by central banks
Bank of Italy research finds evidence of investors ‘waking up’ to sovereign risk
Working paper suggests widening eurozone sovereign spreads caused by ‘complacent’ investors suddenly paying closer attention to risks
Banque de France devotes 17th Financial Stability Review to OTC regulation
Biggest players in international financial regulation contribute to French central bank's compendium of the latest thinking on OTC derivatives regulation
SNB paper analyses relationship between monetary policy and financial integration
Study finds that monetary policy can have a larger effect on output and inflation under conditions of greater financial and trade integration
Bolivian hyperinflation re-modelled using ‘Bayesian approach'
Paper from Latin American monetary studies centre takes new approach to modelling short-lived episodes of hyperinflation
Czech bulletin dissects monetary policy transmission
An economic research bulletin compiled by the Czech National Bank explores relationship between monetary policy and real economy in five articles
SNB research finds Swiss franc is only safe haven against some currencies
Paper suggests Swiss franc is a safe haven from euro but not from other major reserve currencies; says this may be down to small size of market
ECB working paper puts forward new model for use in stress tests
Working paper based on risk-return optimal program in which banks aim to maximise risk-adjusted returns while taking into account regulatory capital and liquidity constraints
ECB research finds exchange rate decoupled from fundamentals
Paper suggests euro exchange rate during the European sovereign debt crisis ‘danced to its own tune’, but volatility was impacted by politicians’ statements
Paper finds pro-cyclical labour market in the great recession
Researchers claim US labour force participation since 2007 violates conventional wisdom on acyclical behaviour
Colombian paper flags danger from abnormal credit growth
Credit expansion does not always imply excessive risk-taking, but abnormal credit growth causes greater risk-taking and contributed to Colombia’s financial crisis in the late 1990s, paper finds
Bundesbank research says sovereign default can be the best option
Discussion paper finds it may be optimal to choose a costly default over legal repayment, but only when a country is facing disaster
French paper warns of banks precipitating crises through hoarding
Research develops new ‘domino effect’ model, examining how banks may bring about crises by attempting to protect themselves