Research
NY Fed researchers study how, and how not, to co-ordinate policy
Staff report looks at best ways to co-ordinate monetary and macro-prudential policy, and highlights a number of potential pitfalls; model suggests macro-prudential policy should lead
Fed retains credibility following forward guidance, says Dutch paper
Dutch researcher says the Federal Reserve’s forward guidance resulted in a ‘significant reduction’ in Treasury yields as a whole, but did not change the relationship between real and nominal yields
Italian interbank market kept working through crisis
A study of interbank lending in Italy from 2007-2011 finds the hypothesis of liquidity hoarding in times of crisis did not apply in the instance examined
ECB paper questions quantity theory of money in low-inflation countries
Researchers say evidence for the theory is 'just not there' in countries with low or moderate inflation, but becomes a ‘better fit' when correcting for variation in output growth
Focus on non-linearity can improve macro estimates, research finds
Czech National Bank working paper argues considering non-linearity can advance probabilistic economic assessments; focuses on relationship between credit markets and the rest of the economy
Fed has moved ‘considerably closer’ to flexible inflation target, paper finds
Federal Reserve researchers say the central bank has moved closer to a flexible inflation targeting framework through a series of steps taken to improving the communication of its policy objectives
Dollarisation and institutional weakness hamper Congolese monetary policy
IMF paper highlights 'fiscal dominance' and 'lack of authority' as among reasons for central bank's ineffectiveness; strengthening current policy framework remains 'first-best option'
ECB paper finds value in high-frequency trading
Working paper suggests high-frequency trading aids price discovery, such that regulatory restrictions could damage market efficiency
Overburdened central banks may become ‘repoliticised’, says Orphanides
Former Central Bank of Cyprus governor warns overreliance on central banks may eventually ‘diminish and compromise’ their independence, in a paper published by the Boston Fed
Fed paper trials new model for estimating trend inflation
Researchers at the Federal Reserve generate lower estimates of trend inflation in advanced economies by using a multivariate model; still struggle to outperform random walk forecasts
Tax relief for debt finance helps banks and non-banks, IMF paper finds
There is no significant difference in corporate tax bias towards debt finance between banks and non-banks, according to IMF working paper; Size and leverage levels of firms matter
Poland's business cycle largely a function of EU developments
According to IMF paper, eurozone developments explain 50% of Poland's output and interest rate business cycle variance, but only 25% of changes in headline inflation
Swiss researchers sceptical about advanced settlement algorithms
SNB working paper says overhauling the algorithms used in the Swiss Interbank Clearing system would produce an ‘economically irrelevant’ reduction in settlement delay and ‘low’ cost savings
Researchers compare South African capital markets with international counterparts
South African Reserve Bank working paper examines how the country’s equity, currency, bond and derivatives markets in South Africa have developed and how they compare with others
RBI paper finds Indian banks were not spared by financial crisis
Working paper says that despite the global financial crisis being concentrated in advanced economies, weaker Indian banks saw their margins ‘impaired significantly’
SNB paper tests shock response on individual sectors
Researchers apply dynamic factor model to Swiss economy to examine impact of monetary policy, exchange rates and external demand on different sectors
Canadian research finds drop in uncertainty following policy changes
Bank of Canada working paper presents evidence that uncertainty over interest rates in Canada fell after recent changes to monetary policy including forward guidance
German researchers present indicator of interbank market stress
Bundesbank discussion paper says banks’ bidding behaviour in Eurosystem’s weekly refinancing operations reflect conditions in the interbank market
RBA paper supports CCP interoperability
Researchers weigh the benefits of increased netting across linked central counterparties against the potential costs arising from the bilateral exposures each link creates
Hedge funds caused post-Lehman liquidity crisis, research finds
Staff report from the New York Fed argues the evidence points to hedge funds, rather than dealers, precipitating the post-Lehman liquidity crisis - with implications for rules on prop trading
External balance-sheet structure key in explaining the financial crisis
High gross external debt was indicator of subsequent vulnerability, according to BoE paper; finds ‘important interaction' between 'competing ‘savings glut' and ‘banking glut' hypotheses
Portuguese paper presents macroeconomic model for small economies
Researchers at the Bank of Portugal detail the features and applications of the Portuguese Economy Structural Small Open Analytical (Pessoa) model, which they say is useful for small economies in monetary union
BIS paper weighs future of liquidity stress tests
Bank for International Settlements working group compiles survey on current stress-testing practices among its members, and identifies a basic framework of what future tests could include
IMF paper presents Global VAR model for analysing banking and sovereign risks
Researchers develop a global vector autoregression model that incorporates forward-looking contingent claims into its analysis of banking systems, sovereigns and macroeconomic conditions