Research
Finnish paper finds sterilisation bonds can benefit Asia
Bank of Finland discussion paper examines rising use of sterilisation bonds by six central banks in Asia and finds ‘encouraging’ evidence of their effectiveness
NY Fed research plays down QE impact on emerging markets
Staff report says large-scale asset purchases have a relatively small impact on capital flows to emerging economies in the aggregate, but finds substantial variation between countries
Bundesbank deputy stresses need for SSM improvements
Sabine Lautenschläger says foundation of Europe’s single supervisory mechanism needs work; legal and governance structures unfinished at present
Monetary policy committee chairmen compared in Norwegian paper
Study finds Norges Bank and Sveriges Riksbank chairmen similar in style, despite different committee models
IMF paper compares sub-Saharan bond markets
Research finds a ‘steadily growing’ corporate bond market would benefit from further financial development in African countries
Norges Bank memo investigates structure of monetary policy committees
Staff memo distinguishes between collegiate and individualistic committees, and considers the benefits and drawbacks of each
IMF research examines ‘borrower effects’ during crisis
Working paper constructs index to assess the contribution of risky borrower portfolios in tightened overall credit conditions during a financial crisis
IMF paper analyses ‘prolonged decline’ in Asian investment
Paper finds investment is suffering from the financial constraints facing non-tradable sector; proposes widening forms of credit available to small and medium-sized enterprises
Macro-prudential policy needs cross-border co-ordination, says ECB paper
Legal working paper says co-ordination is a ‘daunting challenge’ for central banks and other national authorities involved in macro-prudential oversight
Bank of Israel paper advocates inflation sacrifice when wages are rigid
Research says controlling inflation requires a greater sacrifice of economic output and employment when there are frictions in the labour market
IMF paper explores currency value at times of risk aversion
Research published by the International Monetary Fund says currency movements in periods of risk aversion are increasingly reliant on yield
IMF paper identifies trends in fiscal profligacy
Working paper analyses dataset of countries’ fiscal performance over time, finding an imperfect response to changes in the underlying economy
French paper warns of forward guidance perils
Study published by Banque de France says efficient communication to an inattentive audience can only be achieved if supported by effective monetary policy
IMF paper urges greater macroprudential standards for CCP risk buffers
Study published by IMF seeks to eliminate regulatory arbitrage between banks and CCPs' prudential standards
Minneapolis Fed research challenges banks’ reliance on short-term debt
Policy paper calls short-term funding as a foundation for efficient payments an ‘artefact of a bygone era’, and suggests reforms to banks’ funding models
Signal-extraction analysed by Latvian paper
Study considers ability of a regularised filter to extract signals from large data-sets
Swiss paper considers how GDP is best forecast
Study says forecasting the individual components of GDP does not produce results worthy of the additional effort
Bundesbank paper analyses drivers of default risk
Study published by the Deutsche Bundesbank finds systematic factors are responsible for up to a quarter of the differences in the default risk of individual banks' credit portfolios
Currency mismatches hit corporates hard during crisis, says Hungarian paper
Prior to the crisis of 2007, companies with large foreign exchange liabilities and no hedge comprised 7% of the corporate sector but held 66% of the loans; had lower survival rates and profits as a result
BoE paper tackles issue of cross-dependence in panel data models
Research published by the Bank of England uses a Bayesian approach to short dynamic panel data estimation; attempts to capture ‘cross-sectional dependence’
BoJ research warns of unintended policy consequences from Libor
Working paper says reference rates such as Libor can provide valuable information to markets but may also skew central bank policy-making by adding noise to credit spreads
NY Fed paper studies Treasury liquidity crunches
Staff report finds negative feedback relationship between price volatility and liquidity in US Treasury markets – a trend that worsens during financial crises
Peruvian paper seeks to fill data void between quarterly releases
Research published by Central Bank of Peru says monthly macroeconomic variables provide information that can be harnessed to predict quarterly aggregates
Boston Fed paper lauds survey data over rational assumptions for macro models
Research published by Federal Reserve Bank of Boston finds the performance of DSGE models is enhanced by introducing survey data on inflation, unemployment and interest rates