Research
Professional forecasts lose accuracy over time: Philly Fed
Philadelphia Fed study finds that professional forecasters perform better on shorter timescales
Fed scoops prize for best swap lines: BIS
Bill Allen and Richhild Moessner study the effects of central banks’ swap lines and find those established by the Federal Reserve to provide dollar liquidity went furthest in achieving their aims
Mix of bad luck and policy fuelled credit boom in Eastern Europe
IMF research finds both bad luck and poor policymaking led to credit boom in new EU member states
IMF: Capital, not liquidity, limited post-crisis lending
Fund paper on bank lending finds that capital rather liquidity constraints froze lending following the 2007 sub-prime mortgage crisis
Bank tests joint credit and interest rate risk model
Bank of England research tests endogenous model to calculate credit and interest risk; finds results differ substantially
BoE payments research offers tips on economising on collateral
Bank of England study into payments systems argues that under a collateral-based real-time gross settlement system liquidity savings mechanisms can improve welfare
IMF: higher capital costs could suffocate growth in Aus, NZ
Fund study into post-crisis growth levels in Australia and New Zealand says biggest threat is higher capital costs
Norges Bank: Logarithmic opinion pools better forecaster of uncertainties
Norges Bank study finds that logarithmic opinion pools are better than linear opinion pools in modelling density forecasts
Norges Bank improves forecasting methods for external shocks
Norges Bank research applies theory of conditional forecasts to dynamic stochastic general equilibrium models
Cyprus’s Orphanides calls for more attention to macroprudential regulation
Central Bank of Cyprus study into lessons from crisis says greater need for both micro and macroprudential regulation
Bank of Canada: contractionary monetary shocks outweigh expansionary ones
Bank of Canada study shows that contractionary monetary policy shocks have more impact on output than expansionary shocks
Philly Fed: Income gap has widened in Third District counties
Philadelphia Federal Reserve study finds greater income inequality in its area following economic downturn
SF Fed: pre-crisis regulation of financial markets
A San Francisco Federal Reserve study looks at the role of government during the financial crisis and calls for a greater state role in regulation
Bank of Canada: Credibility helps keep inflation expectations anchored
Bank of Canada study shows central bank credibility helped anchor inflation expectations during global financial crisis
Ireland’s Honohan says bank and government partnership key
Central Bank of Ireland governor Patrick Honohan says co-operation between banks and state is essential to credit markets
Philly Fed: trade declines in US recession normal
Philadelphia Federal Reserve study shows that inventories stock created a buffer following declines in post-crisis trade
Philly Fed blames subprime crisis on bankruptcy reform
Philadelphia Federal Reserve study shows reform to homeowner bankruptcy rules caused default rates to rise during subprime mortgage crisis
Richmond Fed on sovereign debt dilution
A Richmond Federal Reserve study shows having a sovereign debt default program in place reduces sovereign market risk
RBA: inflation expectations converging globally
Reserve Bank of Australia paper finds inflation targeting policies helped the convergence of inflation forecasts to US levels
NY Fed: foreign exchange swap lines smoothed disruptions in overseas markets
A New York Federal Reserve review shows swap lines enhanced the ability of central banks to provide dollar funding
IMF: fiscal prudence pays in emerging markets
IMF study shows that an improving fiscal position improves sovereign debt grading and reduces financing costs in emerging-market economies.
IMF: Larger long-term credit facilities needed in WAEMU
IMF study shows more investment in longer term projects in West African Union countries will enhance returns
IMF: allowing assets to run to maturity best exit strategy
IMF study on Japan’s experience of quantitative easing shows best exit strategy is to allow asset purchases to run to maturity
Banks should not rely on CDS spreads for credit risk
National Bank of Belgium study highlights a number of shortfalls in policymakers’ use of CDS spreads as an indicator for bank risk