Research
Credit cycle matters for fiscal policy – BIS paper
Phase in financial cycle has “substantial” impact on public finances, authors find; commodities cycle less important but matters for some
IMF paper sheds light on solvency and liquidity interactions
Neglecting the “solvency-liquidity nexus” could lead to mistakes in stress-testing models, authors warn
French paper looks at impact of budget-neutral fiscal changes
Benefits and costs of budget-neutral changes “not equally distributed across agents”
LTV ratio more effective than DTS in Canada – BIS paper
Paper examines the effect of recent macro-prudential policies targeting the housing market, finding households will borrow more if they can
BIS paper says macro-pru is better when partnered with monetary policy
Macro-pru does not work as well when it acts as a substitute for monetary policy when dampening credit cycles; when deployed as the main instrument, policies prove very successful even in the short term
Uncertainty weakens bank lending channel, Bank of Italy paper says
Researchers use database of loan applications from 650,000 firms
Considerable slack may remain in eurozone labour market – ECB
Under-utilisation of labour may affect 18% of eurozone labour force, researchers say
BIS paper offers improved real exchange rate calculation
Authors find models used to calculate real effective exchange rate do not properly account for global value chains
Bank of Italy paper finds no evidence of asset over-valuation
Researchers look at data from eurozone, Japan and US from 1980 to 2017
Offshoring of services could hinder job security – paper
National Bank of Belgium examines impact of offshoring goods and services; pace of services offshoring could hurt job prospects for those working in the sector
Cash holdings lessen chance of ‘forced sales’ by mutual funds, paper says
Researchers use data on Italian open-ended mutual funds
ECB paper looks at PSPP’s ‘flow effects’ on sovereign bond yields
“Flow effects” have limited but real impact, researchers find
ECB paper studies impact of Fed surprises on other countries
Researchers find similar effects on real economy but differences in financial impacts
Trade costs limit effects of internal devaluations – ECB paper
Researcher says trade costs explain Greek failure to boost exports
Paper looks at effects of international regulatory reform on Portugal
Tighter standards had different effects on foreign and Portuguese banks – researchers
Reforms have helped curb bank CEO pay – BIS paper
Researchers examine how principles introduced by the Financial Stability Board impacted pay for top managers
Credit booms make for more severe recessions – BoE paper
Authors find credit growth is a more reliable predictor of the severity of recessions than debt
Bank of Korea paper says digital currency will not displace hard cash
Digital currency could be used as a medium of exchange, but will not oust cash as a store of value, given the issues surrounding insurance and trust, authors of working paper find
Paper looks at eurozone banks’ contributions to systemic risk
Researchers use the SRISK measure on a sample of eurozone banks
Forex volatility can boost liquidity – BIS paper
Price volatility might not always be a bad thing for market liquidity, authors find
Long-run rates have been lower – Chicago Fed economists
Economists note the long run downward trend among G7 countries has reversed in the past, suggesting it could do so again
Paper takes novel approach to identifying monetary policy shocks
Researcher combines dynamic factor model with changes to financial instruments
Liability duration has impact on illiquid asset decisions, researchers find
Liability duration has impact on illiquid asset decisions, researchers find
Type of uncertainty matters for modelling – Norges Bank paper
Author develops method to “disentangle” various forms of uncertainty, finding they can have good and bad effects