Research
SNB researchers find modified Arima model predicts inflation better
Estimating Arima models for individual CPI expenditure items and aggregating the forecasts from these models gives better results than directly applying the Arima method to the total CPI, paper finds
Monetary union leads to too much fiscal discipline, research paper finds
Paul de Grauwe and Yuemei Ji argue that sovereignty lost with the creation of the eurozone prompted dramatic effects that were largely overlooked by the currency area's designers
Laffer curve changes shape when government debt varies
The Laffer curve changes depending whether transfers or government debt are varied to balance the government budget constraint, Banque de France paper shows; curve looks like horizontal 'S' when debt varies
Low correlation between relative consumption and price not due to market inefficiency
Central Bank of Luxembourg paper attempts to explain why the correlation between real exchange rates and relative consumption is either low or negative
German paper proposes new method for identifying time-invariant regressors
Discussion paper says existing techniques used to identify time-invariant regressors in dynamic panel data models are ‘quite biased’ and proposes a two-stage alternative
NY Fed researchers explore long-term rate rise
Ten-year Treasury yields rose ‘sharply’ between April and July; researchers attribute this to an increase in the compensation investors were demanding to hold them
Currency appreciation not just bad news for exporters
The use of cheaper imported intermediates compensates for 0.2 percentage points of a 1% currency appreciation followed by proportionate drop in export sales, Czech National Bank study shows
Adopting electronic retail payments boosts real economy, says ECB paper
Working paper says efficient electronic retail payment infrastructure boosts GDP, trade and consumption; integrating and harmonising different markets amplifies these effects
Bundesbank paper confirms O-ring theory effect for FDI
Paper written by two economists at the University of Munich finds that the position of a country's industry on the value chain is just as important in determining FDI as is the country's productivity
Dutch study uses neuroscience to dissect consumers’ payment choices
The Netherlands Bank uses an MRI scanner to examine what is going on in consumers’ minds as they choose whether to pay by cash or card
Intertwined Caribbean need stronger cross-border regulation, argues IMF paper
While stressing that greater financial interconnectedness could have a beneficial impact, the paper warns of regulatory arbitrage and underestimation of systemic risks in the region
Dallas Fed paper flags concerns over duration of Fed’s portfolio
Staff paper says the Fed may face difficulties in selling its longer-term holdings, while increasing the maturity of its portfolio also risks raising inflation expectations
Expectations about future monetary policy important driver of inflation, paper finds
Financial market data can predict result of infrequent inflation expectation surveys; more frequent indicators could be useful for monetary policy-makers, paper suggests
Reserve Bank of Malawi paper finds central bank ‘leans against the wind'
Researchers from Malawi's central bank find interventions in the currency market have been associated with high volatility but have helped to stabilise the kwacha since 2003
San Fran research links unemployment to business uncertainty
Research produced by the San Francisco Fed finds that business uncertainty over economic policy is an ‘important factor’ behind the persistent levels of unemployment in the US
Forex intervention unlikely to affect inflation expectations in the long-term, paper shows
Exchange rate intervention programmes in Chile in 2008 and 2011 had disparate effects on inflation expectations, according to new research by the country's central bank
LTROs ‘major' boost to eurozone liquidity, research shows
Paper explores the excess liquidity environment in the eurozone and examines market risk appetite, focusing on peripheral Europe
Hungarian paper breaks down components of finanical market indicators
Working paper presents a method for separating the global, regional and country-specific components in market indicators
Incomplete information can lessen the effect of shocks, paper finds
Australian research finds economic agents unable to tell how permanent a term of trade shock will be, but incomplete information means their reaction to shocks is more cautious
CEE business cycles still out of sync with eurozone, Polish paper finds
Despite some convergence, differences remain - particularly when it comes to agents' intra- and inter-temporal choices, which account for a large proportion of output fluctuation in the CEE region
Research investigates factors behind region-wide banking stability
New paper finds more competitive regional banking systems are less fragile; contagion is more dangerous when the host's banks are more liquid and better capitalised
Joint modelling of commodity and equity prices increases portfolio volatility
BIS paper investigates claims that investments in commodity-related products have led to increased price correlation with equities
Dutch paper quantifies impact of FOMC guidance on market rates
Working paper says Fed forward guidance lowered market interest rates up to seven years ahead; flattened yield curves in markets for US Treasuries and eurodollar futures
Collateralisation of borrowing may reduce bank resolution costs
This ‘net benefit' should result in lower overall funding costs and thus a lower probability of distress despite increasing encumbrance of the bank's balance sheet, according to a recent IMF paper