Research
‘Strong’ correlation between leverage and financial connectivity – paper
Irish paper shows interconnected banks experience 'sharper contractions' in lending when faced with a shock; findings could have consequences for Basel III
Output gap in euro area is much larger than official estimates – paper
Official estimates predict output gap 3–4% less negative than author’s results; current models do not “adequately capture” inflation developments
Rand volatility not driven by South African economic ‘surprises’ – IMF paper
IMF working paper finds that surprises in commodity prices, domestic politics and US economics impact the volatility of the South African rand rather than economic surprises in South Africa or China
Bank of Italy issues latest economic bulletin
Non-performing loan ratios improving at five largest banking groups, central bank argues
Foreign investment ‘restored’ exchange rates after policy shocks – paper
Data from Colombian central bank shows foreign exchange intervention have “short-lived effects” on prices; over the medium term, foreign capital flows push exchange rate back to original level
Bank of Spain paper explores links between fiscal consolidation and private deleveraging
Larger and faster fiscal consolidations have greater impact on output, authors argue
Belgian paper studies work of pioneer of regional economics
Robert Triffin was the “architect” of the European Payments Union
BoE paper tackles ‘sectoral co-movement puzzle’
Adding labour market frictions and habit formation helps to solve the problem of models implying a monetary contraction produces little response in output
BoE paper tests agent-based model of macro-prudential policy
Researchers use agent-based model to capture diversity of behaviour between different housing market participants, pointing to risks from larger buy-to-let sector
Learning errors slow recovery from financial crises – paper
Researchers examine information rigidity in financial markets and incorporate the learning behaviour of investors into a DSGE model
Paper examines effects of financial crisis on European long-term debt issuance
Bank of Spain paper uses large database on most frequent issuers of long-term debt
Demographics could explain entire drop in real rate – Fed paper
Authors find ageing population can explain most – or even all – of the estimated decline in the long-run real interest rate, implying low rates are here to stay
‘Moral suasion’ and yield-seeking intensified sovereign debt crisis – ECB paper
Researchers use information on 226 eurozone banks; publicly owned, recently bailed-out and less strongly capitalised banks engaged increased sovereign bond holdings during crisis
Danish economist updates DSGE model with financial frictions
Jesper Pedersen adds imperfectly competitive banking system and housing market to improve model’s ability to explain crises
ECB paper aims to improve small-scale models for assessing policy shocks
Paper outlines a structural factor model, which the authors say better accounts for the asset price impact of monetary policy shocks
US spillovers stronger for some countries than others – IMF paper
Paper assesses how US normalisation will spill across borders, identifying conditions where countries are most likely to be affected
BoE paper examines how US banks lend after hurricane shock
Local banks may play an “important role” in a geographically integrated banking system, paper says, despite their greater vulnerability to financial constraints
BIS research tests leverage ratio with adjusted DSGE model
Authors design a model with both leverage ratio and variable risk-weighted capital requirements, finding a range of benefits to constraining leverage
Fiscal policies the answer to commodity decline in Africa – BIS paper
Counter-cyclical policies have done all that they can, paper says, adding it is now time for exchange rate and fiscal policies to bear the burden and spur growth
Non-banks’ asset purchases should be capped, paper argues
Researcher puts forward model of impact on economy of secondary market trading
BoJ paper harnesses census data to improve industry surveys
Researchers aim to make the Bank of Japan’s Tankan survey more accurate from a smaller sample, based on Japan’s economic census
New model shows eurozone output gap remains large, researchers argue
Other models fail to capture interplay of inflation and output, paper says
Stress tests should consider wider range of resilience metrics – BoE article
Metrics including liquidity and funding resilience should be considered as stress tests become an important part of a central bank’s regulatory toolkit; current liquidity and funding stress scenarios are “less advanced”
Dutch banks’ cross-border lending data 'supports case for reciprocation'
Large Dutch banks boost lending in response to tighter regulations, paper says; behaviour is likely to undermine effectiveness of macro-prudential policy