Research
BIS researchers shine light into ‘dark’ FX markets
Working paper finds valuable information in foreign exchange order flows, giving large forex traders a significant competitive advantage
Monetary policy is ‘mirror image’ of financial shocks, says ECB paper
Study finds that monetary policy is effective in mitigating financial shocks because it is capable of reversing the impact of shocks on GDP and investment
Italian credit guarantee scheme helps firms borrow cheaper for longer
Bank of Italy researchers provide empirical evidence for effectiveness of credit guarantee scheme, which helped firms without increasing debt volumes
Swiss paper finds SNB's 2009 bond purchase policy narrowed spreads
Researchers find 'unique' Swiss bond purchase programme had a 'discounted portfolio balance effect of the expected purchases, as distinct from policy signalling'
Riksbank report deflects criticism over persistent below-target inflation
Economic commentary says low inflation is partly caused by factors outside the Riksbank’s control; argues tight policy cannot take all the blame for high unemployment
Colombian paper recommends using neural networks in yield curve forecasts
Neural networks, which process information in a similar manner to the human brain, are tested for their ability to improve yield curve forecasts in Latin America
ECB paper says government spending harms growth
Study analyses impact of government revenues and spending on long-term growth; finds income taxes and public investment can both have a negative impact
NY Fed paper says monitoring is essential to fix Dodd-Frank’s ‘significant limitations’
A growth in shadow banking is one risk from the Dodd-Frank Act that must be addressed by broad and forward-looking monitoring, a staff report says
Dutch paper suggests using loan-to-deposit ratio in macroprudential policy
Study says LTD ratio could be a useful tool for regulator to address liquidity risk; suggests counter-cyclical policy to encourage lending in tough times
Hungary central bank staff review their monetary policy model
The National Bank of Hungary's Monetary Policy Model has been in place for two years - staff publish a review of its performance ahead of governor switch
Emerging markets exports most sensitive to FX changes, says French paper
Banque de France researchers find exports in emerging markets are relatively sensitive to exchange rate changes, while US imports are relatively impervious
Bank of Japan paper shows popping bubbles may require volatile inflation
Research finds inflation can remain stable while asset price bubbles develop, implying optimal monetary policy should tighten to reduce the bubble at the cost of below-target inflation
BIS paper urges inclusion of financial cycle in output gap calculation
Working paper warns ignoring the financial cycle when calculating the output gap can cause policy-makers to overlook unsustainable output movements
Cleveland paper trumpets value of median CPI in forecasting
Research says median CPI – a ‘trimmed’ measure of inflation – can improve the accuracy of forecasts involving a range of macroeconomic variables
ECB paper seeks to balance the arguments of eurosceptics
Researcher says sovereign debt crisis should be seen as a mix of many harmful factors rather than one single problem; offers optimistic view on the prospects for recovery
Korean paper draws macro-prudential policy lessons from history of the 2000s
Working paper draws on Korea's experience of macro-prudential policies over the last decade, which failed to shield it from the impact of the global crisis
BIS paper urges policy-makers to consider co-ordinated bond strategy
Research finds effective response to a bond market crisis has become more difficult due to heavily laden central bank balance sheets, raising the need to better co-ordinate a crisis framework
BoJ paper quantifies benefits of liquidity-saving measures in RTGS
Working paper finds introduction of liquidity-saving features in Japan’s real-time gross settlement system has saved trillions of yen; urges vigilance as monetary easing is withdrawn
IMF paper urges ‘meaningful debt restructuring’ in private sector
Study says 'now is the time' for governments to tackle households and corporate sector debt; out-of-court restructurings may be a useful tool
Bank of Portugal research adds new variable to explain export behaviour
Working paper asks whether domestic demand pressures affect Portugal's export performance; results point to asymmetric relationship
BoJ paper finds asymmetric macroprudential growth impacts
Research suggests macroprudential policy is good at cooling the economy but less effective at heating it, while the growth impact differs between tools
Systemic risk measurement gets book treatment
Jorge Chan-Lau draws on experiences at IMF, World Bank and the central banks of Canada, Chile and Malaysia to provide methods and tools to measure systemic risk
Bank of Finland paper urges QE use outside crises
Analysis based on DSGE model finds asset purchases are a useful monetary policy tool in all states of the economy, but should be co-ordinated with conventional interest rate policy
ECB researchers suggest refinements to macro stress tests
Working paper identifies a number of factors in addition to growth that determine the rate of non-performing loans; authors say this could allow for more accurate stress testing