Research
China should be in ‘no hurry’ to relax capital controls, says ADB paper
Working paper makes recommendations for Chinese fiscal and monetary policy, including maintaining control over exchange rates and taking steps to curb the growth of shadow banking
Buba paper: Banks with volatile loan demand load up on wholesale funds
Bundesbank discussion paper argues ‘loan uncertainty' not only result but determinant of wholesale funding, implying regulatory cap on wholesale funding increases exposure to ‘asset-side shocks'
Central Bank of Ireland research scrutinises credit and house price links
Researchers anatomise Ireland’s painful housing boom and bust, highlighting importance of the 'income fraction' channel in creating sharp movements in mortgage credit supply
IMF paper warns half-hearted Japanese reforms would push up long-term rates
Researchers say long-term yields and banks’ interest rate exposures will increase if structural and fiscal reforms are not seen through to the end
IMF paper sets parameters for model short-term real interest rate
Working paper sheds light on a ‘crucial' but overlooked question - and shows that the elasticity of interest rate volatility plays a crucial role in explaining real interest rate dynamics
Structural reforms could soften austerity blow in eurozone core, paper finds
IMF researchers use integrated monetary and fiscal model to find core eurozone countries could offset the pain of austerity through structural reforms; the periphery, however, is another matter
Mix of micro and macro indicators improves chances of spotting bank distress early on
ECB working paper presents ‘early warning model' using bank and country-level data for predicting individual bank distress in Europe
San Fran economists suggest labour market leading indicators
Economists identify the six best indicators for assessing the degree to which labour market conditions are improving; find the existing rate of recovery will continue ‘if not accelerate’ in coming months
BoJ research proposes new method for ‘nowcasting’ GDP
Paper designs static factor model using ‘ingredients’ of official quarterly GDP statistics to estimate growth over a shorter time horizon
IMF paper finds macro-prudential policy can offset loss of monetary autonomy
Researchers build DSGE model of the eurozone to find optimal monetary and macro-prudential mix; find macro-prudential policy boosts welfare and ‘lends a hand’ to monetary policy
Bank of Italy paper tests monetary and fiscal defences against speculative attack
Researchers devise co-ordination game to assess interaction of monetary and fiscal policy when policy-makers attempt to resist a potential speculative attack
Trust in financial sector shapes long-term consumption patterns
General economic indicators, ‘animal spirits', and trust all explain ‘consumer sentiment crisis' stoked by the Great Recession, according to DNB working paper
Commodity price shocks may unhinge eurozone inflation, ECB article says
Higher and more volatile commodity prices risk rendering conventional forecasts based on futures prices obsolete, with knock-on effects for inflation
Riksbank paper evaluates inflation conservatism
Researchers consider how the timing of fiscal and monetary policy decision impacts the desirability of strict inflation targeting
Banque de France paper offers alternative to China's exchange rate regime
Banque de France working paper outlines alternative model to China's exchange rate policy involving capital mobility and no central bank intervention
Bank of Finland paper quantifies Basel II shortcomings
Researchers evalute the extent to which the low level of loss-absorbing capital prescribed by Basel II increased the risk of unexpected loan losses taking out a bank
Bundesbank paper presents redesigned DSGE model to tackle unconventional policies
Researchers develop DSGE model using two types of banks, repos and haircuts to yield a better understanding of unconventional monetary policy
IMF paper says ECB can do more to fix broken transmission mechanism
Working paper identifies credit channel as a major malfunctioning component of the eurozone monetary transmission mechanism and suggests possibilities for fixing it - including asset purchases
Canadian bonds more normal than US and UK equivalents at ZLB
Canadian sovereign debt yields are more responsive to shocks than UK and US equivalents at zero lower bound; differences diminish at shorter maturities
Close elections kryptonite for foreign investors, Fed research finds
The timing of national elections causes FDI flows from US firms to affiliates in more than 40 countries to drop by an average of 12% compared to non-election years, according to Fed research paper
Falling asset prices 'significantly associated' with onset of G-7 recessions
IMF working paper examining the usefulness of asset prices in predicting recessions in the G-7 countries finds equity price drops are larger and more frequent than house price drops
Canadian yields shown to be less sensitive to data shocks than US or UK
Working paper from the Dutch central bank shows that at the zero lower bound, Canadian government bond yields are less sensitive to surprising domestic data than US or UK equivalents
Global banks reduce frictions in international capital flows, say NY Fed staff
NY Fed staff report findings are consistent with research on reduced incidence of crises in local markets where banks have branches or subsidiaries; effects appear to be heterogeneous
ECB research examines ‘inverted V’ yields around bond auctions
Working paper finds yields spiked around auctions during crisis-hit Italian bond issues, creating additional costs for the government that Germany did not face