Research
Central Bank of Colombia paper analyses sovereign default risk
Working paper assesses main factors determining risk of Colombian government defaulting on its debt; finds different factors are important at different debt maturities
IMF paper analyses US capital flows and debt
Fund working paper develops model of international capital flows and resulting impact on debt dynamics; finds equity and FDI returns allowed US to maintain high debt levels
IMF paper assesses drivers of banking equity returns
Working paper studies factors behind movements in bank equity prices; finds that despite general 'dismal' performance, equities of better capitalised and less leveraged banks perform best
IMF paper assesses eurobond proposals
Working paper considers five proposed methods of common debt issuance in Europe; argues there must be a “fundamental discussion” to avoid unintended consequences
Fed paper analyses core inflation measurement
Working paper attempts to produce optimal gauge of core inflation by excluding items with high variance; finds new index outperforms current measures ex-post, but is no better ex-ante
IMF paper examines Japan’s emergence from lost decade
Working paper considers reasons behind a surge in Japanese exports in 2001; finds domestic productivity growth most important factor
Fed paper evaluates impact of QE
Working paper examines data from first round of Federal Reserve’s asset purchase programme; finds both immediate and longer-run effect of purchases on yields
RBI paper examines monetary policy transmission
Working paper studies channels of monetary policy in India; finds main impact made via interest rates but also identifies credit and asset-price effects
IMF paper studies debt sustainability in low-income countries
Working paper considers effect of financial crisis on debt sustainability in low-income countries; finds short-term impact but a return to sustainable levels in the longer run
Peru central bank paper models interbank lending
Working paper develops New Keynesian model including an interbank lending market to analyse dual effect of reserve requirements and interest rates
RBI paper suggests alternative to Basel capital buffer
Working paper considers applicability of using debt-to-GDP ratio as guide to capital buffer; argues India requires a different method to assess capital requirements
IMF paper studies emerging market debt restructuring
Policy paper reviews causes and consequences of emerging market sovereign debt restructurings; identifies certain elements that can make process less painful
IMF paper examines crisis indicators
Working paper assesses the effectiveness of various indicators in predicting financial crises; finds that leverage is ineffective and instead use of poor quality collateral is “critical link”
Bank of Canada paper models repo market collapse
Working paper develops model of repo markets to explain causes of collapse; finds that central bank intervention can help prevent problems
IMF paper studies fiscal impact of ageing population
Working paper analyses the effect of ageing populations on 'fiscal space' in G-7 countries; finds a greater impact on countries with larger governments
RBI paper develops systemic liquidity index
Working paper designs a 'systemic liquidity index' of financial markets in India; says index would be useful in monitoring financial system trends
IMF highlights problems with overreaction to financial crises
Working paper studies data on banking crises; finds that a strong macroeconomic response to a banking crisis may reduce incentive for banks to restructure
BoE paper studies impact of Lehman’s collapse on payments
Bank of England working paper studies the effect of the Lehman Brothers collapse on wholesale payment patterns; finds slower payments and increase in risk following the default
RBI paper analyses exchange rate volatility transmission
Working paper assesses spillover of exchange rate volatility from international currencies to Indian rupee; finds volatility is dependent on foreign exchange rates and domestic policies
Czech National Bank paper studies changing inflation dynamics
Working paper examines causes of changing inflation dynamics in central Europe; finds inflation expectations play a 'substantial role' in price stability
Bank of Finland paper assesses impact of eurozone crisis response
Discussion paper considers the effect of initiatives in response to the eurozone crisis on countries’ sovereign debt; finds some policy decisions had 'significant' short-term effect on bond markets
IMF paper assesses impact of financial sector size
Working paper examines the effect on growth of varying sizes of financial sectors; finds that above a certain threshold, financial sectors have a negative impact on growth
ECB paper models endogenous credit risk
Working paper discusses models of credit risk; authors argue that “feedback effects” have major implications for regulatory reform
IMF paper builds dynamic model of systemic risk
Working paper develops dynamic model of risk based on combination of underlying risk factors; finds this provides better warning signals than models with non-dynamic thresholds