Research
BIS authors detail new data on non-bank exposures
Banks have highly concentrated exposures to non-financial counterparties, researchers say
Banque de France research takes fresh look at eurozone interbank markets
Secured interbank markets not bounded by ECB’s deposit facility rate, results show
Mortgage caps can be higher for insured borrowers – DNB paper
Loan-level data from Netherlands shows insurance cuts risk of non-performance, say researchers
Asymmetric inflation targets improve welfare – Chicago Fed paper
Fed can remove deflationary bias by adopting asymmetric target, model suggests
Fed researchers model impact of recent trade uncertainty
Trade uncertainty could account for a 1–2% decline in US investment, researchers say
BoE paper explores collateral’s impact on labour market
Collateral value affects hiring decisions by small businesses, authors find
Inflation models must pay more attention to globalisation – Brookings paper
Global factors more important for some inflation measures since 2008 financial crisis, researcher finds
BoE paper measures ‘market-implied’ systemic risk
“Shadow capital adequacy” shows how default risk impacts capital assessments
Economists use payments data to build high-speed indicator
Team says transaction-based metric gives quick insight into consumer spending
BoE paper: ‘tails’ matter when studying global financial cycle
Authors look to the tails of the distribution to understand exchange rate risk in the global cycle
BIS paper: DLT opens possibility of ‘embedded supervision’
Distributed ledger data would be useful for supervision, but must be trustworthy, author says
Bank of Israel proposes measures to stabilise social security system
Benefit payments set to rise faster than GDP in the coming decades, warns central bank
Central banks are ‘riders on the storm’, say Jordà and Taylor
Central banks control less than half the overall variation in interest rates, authors find
BoE paper looks at how to halt ‘cascade’ of settlement fails
“Buy-in” process could help to avoid system-wide “gridlock”, but design is challenging
ECB corporate QE also transmitted through bank lending – ECB research
Spillover effect independent from banks’ balance sheet quality
‘Non-salient fees’ matter for mortgage pricing – BoE paper
Many borrowers appear to be less sensitive to fees than to interest rates, and firms exploit this
Shared supervision can help avoid ‘capture’ – BoE paper
Dividing tasks across agencies can lead to better outcomes by avoiding “supervisory capture”
High public debt hampers fiscal stimulus in eurozone – Bank of Portugal research
High debt deepens crises, increases spillover effects and cuts scope for counter-cyclical fiscal policy
Machine learning can produce better forecasts – RBI paper
ML tends to outperform standard models, but combining forecasts is best, authors say
IMF research flags urgent need for climate policy framework
Co-ordination of fiscal, financial and monetary instruments will be needed, say authors
BIS paper tracks new channel for funding ‘dry-ups’
A squeeze in one market can spill over to institutions with no direct exposure, authors find
Bank of Israel research derives growth estimate from survey data
Researchers construct real-time indicator that can be produced earlier than nowcasts
BoE paper models exchange rates with private money creation
Uncovered interest parity does a poor job of explaining exchange rates on its own, authors say
Eurozone needs low-risk asset, ECB paper says
New asset would allow banks to change holdings of sovereign bonds, researchers argue