Research
Paper examines how sovereign debt losses hit real economy
Researcher presents unique database on eurozone sovereign debt crisis
Riksbank paper finds ‘significant’ gains from faster trading
Faster trading systems have eliminated arbitrage opportunities, improving market efficiency and quality, authors say
ECB paper classifies eurozone banks’ business models
Researchers use supervisory data to outline models’ risk and performance
Irish paper tracks monetary policy’s effects on mortgage default
Researchers use “quasi-natural experiment” based on data from two types of loan
Poorly designed macro-pru leads to ‘leakages’, says Turkish working paper
Macro-pru should be designed so firms cannot “bypass” regulations implemented during positive global liquidity shocks; generally policies are effective in controlling credit
Belgian paper examines use of illiquid loans as collateral
Liquidity and funding purposes both inform banks’ decisions, researchers say
Risk weightings should reflect borrowing constraints, paper argues
Finnish paper criticises principle behind regulations on capital requirements
Authors struggle to cut ‘price puzzle’ from Australian data
Authors find various approaches to removing the puzzle from VAR models fail for Australian data, calling into question the usefulness of the models
Banking flows affected by ‘Anna Karenina principle’ – paper
All healthy credit relationships are alike, but each unhealthy credit relationship is unhealthy in its own way, the study explains
Riksbank researchers flag benefits of major capital boost
Significant increase in the leverage ratio for Swedish banks could bring net social benefits, study finds
Paper examines effects of concentration of exports
Bank of Spain researchers examine 12 eurozone countries
Credit cycle matters for fiscal policy – BIS paper
Phase in financial cycle has “substantial” impact on public finances, authors find; commodities cycle less important but matters for some
IMF paper sheds light on solvency and liquidity interactions
Neglecting the “solvency-liquidity nexus” could lead to mistakes in stress-testing models, authors warn
French paper looks at impact of budget-neutral fiscal changes
Benefits and costs of budget-neutral changes “not equally distributed across agents”
LTV ratio more effective than DTS in Canada – BIS paper
Paper examines the effect of recent macro-prudential policies targeting the housing market, finding households will borrow more if they can
BIS paper says macro-pru is better when partnered with monetary policy
Macro-pru does not work as well when it acts as a substitute for monetary policy when dampening credit cycles; when deployed as the main instrument, policies prove very successful even in the short term
Uncertainty weakens bank lending channel, Bank of Italy paper says
Researchers use database of loan applications from 650,000 firms
Considerable slack may remain in eurozone labour market – ECB
Under-utilisation of labour may affect 18% of eurozone labour force, researchers say
BIS paper offers improved real exchange rate calculation
Authors find models used to calculate real effective exchange rate do not properly account for global value chains
Bank of Italy paper finds no evidence of asset over-valuation
Researchers look at data from eurozone, Japan and US from 1980 to 2017
Offshoring of services could hinder job security – paper
National Bank of Belgium examines impact of offshoring goods and services; pace of services offshoring could hurt job prospects for those working in the sector
Cash holdings lessen chance of ‘forced sales’ by mutual funds, paper says
Researchers use data on Italian open-ended mutual funds
ECB paper looks at PSPP’s ‘flow effects’ on sovereign bond yields
“Flow effects” have limited but real impact, researchers find
ECB paper studies impact of Fed surprises on other countries
Researchers find similar effects on real economy but differences in financial impacts