Research
BIS paper looks for nuanced story of 2008 bank failures
Failed commercial banks in the US suffered most from their exposure to non-household real-estate borrowers, rather than traditional mortgages or agency MBS, a BIS economist finds
Researchers examine impact of fiscal conditions on long-term rates in OECD
Working paper published by the Bank of Japan analyses 23 member states between 1980 to 2013; finds fiscal conditions impact rates in host of ways
Researchers find ‘strong evidence’ of ECB policy spillovers to CEE countries
Working paper examines the spillover effects of the ECB’s ‘non-standard’ measures since 2007 on the Czech Republic, Hungary, Poland and Romania
Foreign productivity shocks major influence on small, open economies, paper argues
Shocks in large economies, particularly to technology, have a large effect on the business cycles of small, open economies, a Norges Bank working paper shows using a DGSE model
German interbank contagion risk concentrated around four large banks, paper argues
German researchers propose new model to calculate costs of interbank contagion
BIS paper presents interbank money market model
Researchers produce ‘search-based’ model designed to reflect interbank markets in the presence of a central bank corridor system, allowing them to compute the effective interest rate
Changing commodity prices can ‘cushion’ other shocks, Colombian paper says
Colombian working paper suggests commodity price fluctuations do not always amplify business cycles in emerging markets
Risk of banking crisis increases with ‘network centrality’, ECB paper argues
Modelling the interconnectedness of 14 European countries' banking sectors gives valuable information on the likelihood of a crisis, a paper published by the ECB argues
Market and survey-based measures of expectations provide useful information, ECB paper says
Survey-based and market-based measures of inflation expectations provide useful information on future eurozone price increases, a European Central Bank paper argues
Turkish paper finds Fed staff forecasts superior to rivals
Working paper finds forecasts in the ‘Greenbook’ were consistently more accurate than their commercial equivalents between 1974 and 2009
BoE researchers model trend inflation with ambiguity
Researchers develop a model featuring positive trend inflation determined in part by the degree of ambiguity around central bank actions
BIS paper models non-linear eurozone crisis impact
Researchers attempt to capture endogenous amplification mechanisms in causing widened lending spreads during eurozone crises
Identifying the effects of structural shocks exposes problems with real-time data, researchers say
Using a model that identifies the effects of structural shocks, the paper finds ‘substantial and systematic’ differences between ways real-time and final data respond to monetary shocks
More sharia-compliant instruments would aid liquidity management, IMF paper argues
Working paper focused on Gulf states notes a lack of instruments has forced Islamic banks to hold a lot of cash, while making it harder for central banks to conduct monetary operations
Oil prices are key drivers of metal prices, Colombian paper suggests
Research utilising ‘frequency-domain approach’ finds oil prices may be a key drivers of metal prices; consider implications for commodity-rich nations
BoE paper maps UK bank response to 2008 liquidity shock
Authors contribute to international study of banking networks, finding UK banks that grew faster pre-crisis responded more sharply to the liquidity shock in 2008
Italian NPL legislation should shorten bankruptcy proceedings, paper says
Legislation recently passed by the Italian parliament should shorten bankruptcy proceedings and may stimulate a private market for Italy’s non-performing loans, a Bank of Italy paper argues
Riksbank paper examines mixed forecast performance
Researchers find the central bank has tended to be overly optimistic on foreign economic performance, but makes similar errors to other institutions
Information content of capital flows affects exchange rate impact, SNB paper finds
Private information conveyed by different kinds of capital flows affects the impact on the exchange rate, a working paper published by the Swiss National Bank finds
‘Closed’ nature of eurozone banks increases vulnerability, Portuguese paper says
Commercial banks in the eurozone are more likely to be hit by country-specific shocks compared to US given fewer foreign branches; greater use of asset-backed securities may be a solution
Asset purchases having ‘sizeable’ impact on prices in eurozone, ECB paper finds
Working paper says ostensibly puzzling result can be explained by low levels of ‘market distress’ weakening some transmission channels but bolstering others
Research assesses South Africa’s vulnerability to Fed hike
Countries with large ratios of external financing needs to foreign exchange could be more vulnerable to Fed rate hikes, working paper finds
Paper explores whether governments prefer under-capitalised banks in crises
Governments may prefer banks to be weakly capitalised as this increases the likelihood they will act as buyers of last resort for domestic debt; paper considers impact on regulation
Norges Bank paper tries to extract high-frequency forecasts from low-frequency data
Researchers find low-frequency information can be important in forecasting high-frequency variables, designing a model that outperforms a random walk benchmark