Research
ECB paper proposes model for assessing European sovereign and bank spillovers
Working paper uses VAR model to quantify interdependencies between bank and sovereign CDS spreads
Japanese paper finds income elasticity of money demand has fallen over time
Update to 1996 paper finds cross-sectional income elasticities of money demand have plunged since the 1980s, to below one in the late 2000s
Bank of Spain researchers find fiscal multiplier far greater in turbulent times
Researchers find recessions and banking stress amplify the effect of government spending on the economy – but also that the effect is severely tempered by weak public finances
Hungarian paper backs sticky price inflation indexes
Working paper analyses forecasting ability of different indicators of underlying inflation; finds sticky price indexes outperform more traditional core inflation measure
IMF paper weighs effect of shifting bank funding in eastern Europe
Researchers from the International Monetary Fund find banks rebalancing their funding sources away from foreign loans; warns global regulation may make this process too rapid
Survey finds Lithuanians lack opportunities to use payment cards
Survey respondents would like to pay by card at places that currently do not accept them - but paying through mobile phones is still beyond the pale
QE1 and QE2 operated in opposite directions, ECB researchers find
Researchers at the European Central Bank find that QE1 triggered a portfolio rebalancing out of EMEs into US equity and bonds, while QE2 acted in the opposite direction
ECB research dissects European competitiveness
Working paper separates competitiveness into political and factor price-driven elements; uses new index to show divergent outcomes across Europe
Colombian paper explains monetary policy transmission divergence across banks
Working paper says banks' size and capitalisation affects their sensitivity to monetary policy shocks and their ability to access alternative funding when core deposits in economy shrink
BoE research warns of self-fulfilling prophecy in 'speed-limit’ monetary policy
Working paper says targeting rates of change may not be as beneficial as some studies have suggested; could cause interest rates to become ‘pinned’ at the zero lower bound
National Bank of Belgium urges care in use of credit conditions surveys
Analysis shows eurozone’s Bank Lending Survey and Belgium’s Survey on Credit Conditions contain useful information – but ‘crucially’ depend on model specification
Riksbank paper looks at scrapping inflation target in favour of nominal GDP
Working paper concludes the inflation target should not be dropped, but only outperforms nominal GDP targeting when forward guidance is given
ECB’s LTROs had ‘favourable effect’ on sovereign yields
Dutch working paper evaluates the impact of the ECB’s unconventional monetary policy; says LTRO had beneficial short-term effect on government borrowing in most distressed eurozone countries
Canadian paper proposes new DSGE model for analysing credit shocks
Working paper proposes new model that accounts for the effects of defaults on both households and banks; finds the probability of a company defaulting rises with its leverage ratio
ECB paper finds cost of macro-prudential policies may outweigh benefits
Working paper finds macro-prudential policies can be effective in deflating asset bubbles, but warns the cost of doing so may be higher than the benefit
Fed research models optimal monetary and fiscal policy under uncertainty
Discussion paper seeks to improve on previous models by introducing uncertainty; finds it is optimal for the government to spend more at the zero lower bound under uncertainty
Polish paper compares MP committees' efficiency
Paper finds MPCs became less efficient following the crisis, though the ECB and BoE have been quick to recover; says academics and central bankers make most efficient members
Fed researchers find little QE impact on emerging market capital flows
Discussion paper finds Fed’s quantitative easing has not had a statistically significant impact on net capital flows to emerging markets, although behaviour changed post-crisis
Bundesbank research studies how weak resolution rules impact growth
Discussion paper employs ‘catharsis indicator’ to show that stronger resolution regimes reward good firms and help to allocate credit effectively, boosting growth
IMF paper explores link between low interest rates and bank risk-taking
Working paper finds banks take more risks in low short-term interest rate environment; more so if they are well capitalised
RBA researchers test new BVAR-DSGE method on Australia
New modelling technique aims to overcome small, open economy issues in previous attempts to combine Bayesian VAR and DSGE methods
IMF paper says direct eurozone spillovers limited to US and UK banks
Working paper analyses effects of eurozone crisis at bank level; finds direct impact limited to UK and US though other regions could be susceptible to knock-on effects
RBA research analyses factors driving US credit crunch
Working paper finds shutdown of the securitisation market explains a ‘significant share’ of the credit tightening in the US in the run-up to the global financial crisis
Price stability ‘pivotal’ in shaping exchange rate pressures
Bank of Finland discussion paper analyses pressure on exchange rates during financial crisis; says countries that experienced high inflation beforehand were hardest hit