Research
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
Korea research appraises exchange rate volatility
Working paper published by Bank of Korea finds both high and low exchange rate volatility impacts the country’s credit inflows and can carry negative consequences
Fed research asserts ‘potency’ of quantitative easing
Working paper finds large-scale asset purchases by the Federal Reserve equivalent to a cut in the Federal funds rate of more than 3%; estimates are higher than previous studies
Paper: Competition, Innovation, and Implications in Retail Payments
A new paper from the Dutch central bank looks at the key determinants that affect asset pricing, competition and innovation
Irish research measures domestic and imported inflation
Paper studies balance of internal and external factors behind sharp deflation during financial crisis; finds domestic economy is important determinant
NY Fed research links exchange rate pass-through and mark-ups
NY Fed paper finds evidence that exchange rate movements are associated with movements in mark-ups on goods
Banque de France paper tests policy interactions
Researchers examine optimal configurations of monetary and macro-prudential policy under different conditions; find monetary policy cannot affect financial stability in some cases
French research says monetary policy can offset herding
Banque de France working paper says interest rate hikes can be used to eliminate asset price bubbles caused by investor herding behaviour
Racial equality boosted by deregulation in US, paper says
Banking sector policies that facilitated competition helped increase the black population’s relative wages in the US, but only in racially biased states