Research
Eurozone banks need to change business models – Constâncio
ECB vice-president points to Swedish banks’ profitability despite low and negative rates
IMF paper seeks to quantify debt bias
Tax systems create “pervasive” debt bias, authors find, arguing for policy action before the problem worsens
Fed research proposes micro-founded approach to term structure modelling
Economists build structural New Keynesian model in contrast to the statistical approaches in much of the available literature, identifying key factors shaping term premiums
Unit root methods can help detect financial bubbles, Finnish paper argues
Researchers apply tool to data from 15 European countries
Credit scoring improves borrower selection, Bank of Italy paper says
Paper presents a database on loans and the use of credit-scoring models; banks’ use of credit scoring reduces the likelihood of borrower defaulting, researchers say
RBA paper finds it is hard to pinpoint US productivity slowdowns
Break in productivity growth trend in US appears to have happened in early 1970s, although beliefs took three decades to fully adjust, authors find
Dallas Fed research seeks to improve real-time inflation forecasts
Economists break surveys of inflation expectations down into parts, finding stripping out the noise component improves forecasting
RBNZ’s Spencer sees need for better approach to FMI oversight
The framework, if put into legislation, would give the central bank and markets authority new powers of information-gathering and oversight
SNB paper models ‘sticky consumption’ in Switzerland
Assuming consumption habits are slow to change helps produce more robust results than other methods, author finds
BoE paper takes DSGE approach to deflation probabilities
Comparing simulations using a DSGE model estimated on different market-based measures of deflation probability helps to pick out causality, researchers say
Weighting models by performance is better than taking simple averages, researchers say
Weighting models by performance is better than taking simple averages, researchers say
ECB paper assesses influence of international linkages on length and severity of recession
Credit growth combined with other vulnerabilities is important, authors argue
Central clearing boosts welfare but margin matters – RBA paper
Study shows how central counterparties boost welfare by insuring against counterparty credit risk, but gains are sensitive to the level of margin
Netherlands paper looks at market reaction to Fed forecasts
Implied forecasts of inflation affect market expectations, paper finds
Riksbank paper shows importance of modelling bank costs
Models should not assume financial intermediation is free, authors say, showing banks can reduce aggregate welfare in some cases
Oil price rises and US GDP growth have ‘complex relationship’ – paper
Paper studies interaction of oil price and economic growth in US from 1875 to 2016
‘Overoptimism’ a factor in house price bubbles, Danish paper finds
Authors highlight how sentiment can become “decoupled” from economic fundamentals under certain circumstances
Hedging demand can cause covered interest parity violations – BIS paper
US dollar forward hedging demand can cause covered interest parity to fail even when markets are calm, authors say, helping explain this post-2012 anomaly
Commodity prices create ‘strong pressure’ to lower interest rates – paper
Policy response to commodity price fluctuations has been stronger in the US, paper finds; commodity price shocks follow two cycles, with the most recent having impacts on policy rates
Macro-prudential policy can guard against global volatility – BoE paper
Tighter macro-prudential policies appear to reduce the sensitivity of capital flows to global volatility, paper finds
Bundesbank paper models spillover effects of risk shocks in financial crisis
Paper finds spillover effects of general risk are stronger than spillovers in response to bailouts
Bundesbank paper looks at financial shocks’ impact on inflation
Shocks that cause output and inflation to diverge can worsen trade-offs for central banks, paper says
BIS paper adds evidence on macro-prudential spillovers
Tighter macro-prudential measures in one country tend to increase international lending, authors find
Public sector balance sheet poses risks for Dominican Republic – paper
IMF working paper analyses balance sheet developments in the South American nation’s economy; foreign currency exposure could amplify risks, authors say