Research
BoJ research warns of unintended policy consequences from Libor
Working paper says reference rates such as Libor can provide valuable information to markets but may also skew central bank policy-making by adding noise to credit spreads
NY Fed paper studies Treasury liquidity crunches
Staff report finds negative feedback relationship between price volatility and liquidity in US Treasury markets – a trend that worsens during financial crises
Peruvian paper seeks to fill data void between quarterly releases
Research published by Central Bank of Peru says monthly macroeconomic variables provide information that can be harnessed to predict quarterly aggregates
Boston Fed paper lauds survey data over rational assumptions for macro models
Research published by Federal Reserve Bank of Boston finds the performance of DSGE models is enhanced by introducing survey data on inflation, unemployment and interest rates
Korea research appraises exchange rate volatility
Working paper published by Bank of Korea finds both high and low exchange rate volatility impacts the country’s credit inflows and can carry negative consequences
Fed research asserts ‘potency’ of quantitative easing
Working paper finds large-scale asset purchases by the Federal Reserve equivalent to a cut in the Federal funds rate of more than 3%; estimates are higher than previous studies
Paper: Competition, Innovation, and Implications in Retail Payments
A new paper from the Dutch central bank looks at the key determinants that affect asset pricing, competition and innovation
Irish research measures domestic and imported inflation
Paper studies balance of internal and external factors behind sharp deflation during financial crisis; finds domestic economy is important determinant
NY Fed research links exchange rate pass-through and mark-ups
NY Fed paper finds evidence that exchange rate movements are associated with movements in mark-ups on goods
Banque de France paper tests policy interactions
Researchers examine optimal configurations of monetary and macro-prudential policy under different conditions; find monetary policy cannot affect financial stability in some cases
French research says monetary policy can offset herding
Banque de France working paper says interest rate hikes can be used to eliminate asset price bubbles caused by investor herding behaviour
Racial equality boosted by deregulation in US, paper says
Banking sector policies that facilitated competition helped increase the black population’s relative wages in the US, but only in racially biased states
Paper finds flimsy productivity base for banks in Spain
A Bank of Spain working paper says two-thirds of pre-crisis banking productivity growth was attributable to the expansion of mortgage lending, a reliance on short-term finance and leverage
IMF paper studies SME financing as source of Japanese recovery
Research says restructuring small and medium-sized enterprises and deepening capital markets in Japan would better boost recovery than costly government support
Finland paper sizes up Chinese reforms
Research published by the Bank of Finland examines financial liberalisation in China and what it means for the country’s monetary policy framework
Belize paper evaluates value of currency peg
Research published by the Central Bank of Belize highlights export growth and steady domestic inflation aided by peg to the US dollar
Bundesbank paper calls for inclusion of endogenous liquidity in accounts
Researchers suggest including endogenous liquidity in mark-to-market portfolio valuations as a method of mitigating risk
BIS research identifies ways to smooth the financial cycle
Bank for International Settlements working paper designs model of financial cycles and examines the difficulties of reducing the size of their peaks and troughs
BoJ paper finds noisy reference rate can create volatility
Working paper studies effect of reference rates on stabilising or destabilising interbank markets; finds noise in rates reported by large banks can feed volatility and impair monetary policy
Malawian paper considers impact of output gap on inflation
Research published by Reserve Bank of Malawi uses three different measures to estimate output gap; finds only a weak link between business cycle and inflation
Canadian research finds net liquidity boost from central clearing
Bank of Canada working paper finds small liquidity increase from use of centrally cleared derivatives
Belgian research examines factors behind exchange rate pass-through
National Bank of Belgium working paper studies why some exporters pass on fluctuations in exchange rates through price adjustments while others do not
IMF research seeks to harness shadow banking
Staff discussion note outlines the shadow banking system’s useful functions and systemic risks; contemplates appropriate policy response
Stress test transparency can ‘persuade’ investors, says Bundesbank paper
Deutsche Bundesbank study says the disclosure of stress testing results and methodology can be designed to alter investor behaviour