Research
Segmented structure of Russian interbank market leads to volatile interest rates
Liquidity-absorbing and liquidity-provision operations are conducted by the biggest banks, reducing credit risk but also restraining market development, according to Bank of Finland discussion paper
Polish paper presents new method for constructing fan charts
Fan charts are an increasingly popular tool for depicting forecasts; working paper proposes a new method for formulating the charts that incorporates 'a mix of judgment and statistics'
Sovereign default spreads drove European bank risk exposures during crisis
Systemic risk of European banks reached its height in late 2011 at around €500 billion, based on a measure introduced in a recent Fed working paper
IMF paper finds less tail risk in immediate aftermath of QE
IMF working paper finds ‘strong evidence' that unconventional monetary policy led to a reduction in market uncertainty, in turn contributing to an easing in financial conditions
Irish households exhibit ‘relatively large' wealth effect from housing
Housing wealth effect particularly strong for Irish households in negative equity, central bank researchers find
Reserve accumulation enhances welfare if coupled with capital controls
Foreign reserve accumulation is part and parcel of a growth strategy based on strong capital investment in a financially constrained economy, according to a Banque de France research paper
Forward guidance successful in mitigating downside risks to price stability
Provision of time-based forward guidance reduces downside price stability risks but may result in upside risks during the medium term, finds ECB working paper
Adherence to Islamic financing principles could benefit credit unions
Islamic savings products would make institutions more resilient, and possibly strengthen incentives for good governance, IMF working paper argues
Czech study finds DFM ‘nowcasting' adds value in calculating real-time GDP
Dynamic Factor Model ‘nowcasting' is as accurate as the judgemental method currently used by the Czech National Bank; a simple average of the two results is more accurate than either on its own
ECB research highlights Greenspan’s powers of persuasion
Researchers say Alan Greenspan was a ‘dominant’ chairman of the FOMC who frequently managed to convince regional Fed presidents to walk his own policy line
Time series of financial market prices appear to exhibit fractal properties
BoE research paper suggests market price dynamic may be caused by the interactions of agents with different investment horizons and differing interpretations of information
Capital flows are 'fickle' and always have been, paper finds
Capital flow volatility is a fact of life for all economies at all points in time, say IMF researchers, who point out that bigger advanced economies are best placed to deal with ebb and flow
Norwegian paper explores financial stability trade-off
Working paper identifies trade-off between increasing rates to mitigate financial imbalances and lowering rates to reduce the risk of bank insolvency
Czech paper dissects central bank inflation reports
Researchers find the inflation reports produced by a sample of eight central banks are ‘generally of good quality’ but warn their analytical power cannot be taken for granted
BIS researchers use profit-elasticity method to measure China bank competition
Working paper finds competition has increased among China's banks; new PE indicator produces result consistent with financial sector reform
Terms of trade volatility exacerbates shock effects for small open economies
Research conducted at the Reserve Bank of Australia says big fluctuations in terms of trade compound the effects of a terms of trade shock in small, open economies
LCRs in low-liquidity settings lead to big externalities
RBA research paper suggests introducing a liquidity coverage ratio in certain settings leads to large liquidity premiums and pushes the risk-free rate to the floor of the interest rate corridor
Unemployment strongest predictor of mortgage default in the US
Atlanta Fed research finds that individual unemployment increases the probability of mortgage default by 5 to 13 percentage points compared with average sample
Swelling profits explain rebound in risk appetite, San Fran Fed paper suggests
Research indicates corporate profit growth explains 40% of the decline in the spread between risky and risk-free bonds, according to economic letter by research vice-president
Break-even value of PMI is not 50 but 44, RBI working paper suggests
Wholesale Price Index inflation turns positive when PMI exceed 44, according to research; paper also finds that PMI predict the movements of final WPI
NY Fed research constructs composite model for core inflation
Paper finds that price changes in core goods and services are driven by different forces; capturing this distinction enables researches to map core inflation more accurately
Surge in excess reserves drives overnight interbank rate to ‘floor of corridor'
Dynamics in the overnight money market are in line with ‘expected consequences of market stresses and unconventional monetary policies' according to RBA working paper
‘Tiered' clearing networks increases CCP risk, study finds
Complex clearing networks ‘appear to increase' some risks faced by CCPs, according to working paper investigating the ‘topology' of such networks
Employment losses have repaired corporate balance sheets, paper argues
Differences in post-crisis employment among EU members are largely driven by need in many countries to adjust balance sheets, according to IMF working paper