Research
Explicit communication from Sarb helped agents predict rate hikes – paper
Authors compare forecasts from 2013 and 2014 to identify whether specific terminology affected forecasting; “rising cycle” talk shaped expectations, paper shows
Borrowers’ characteristics are key to successful mortgage restructuring, paper argues
How mortgage was restructured is less important than distressed borrowers’ own characteristics in determining whether loan is repaid, Bank of Ireland paper says
Fiscal stimulus works even in debt-driven recessions – Cleveland Fed paper
Study uses defence spending to estimate fiscal multiplier, finding it is higher in areas with larger debt burdens, contrary to the fears of some economists
RBNZ better at forecasting growth and inflation than exchange rate, notes study
Economists compare judgement-based forecasts with benchmark set by suite of statistical models, finding judgement tends to work well, but both types of forecast struggle with exchange rates
Regulations gave eurozone banks incentives to downplay credit risks, paper argues
Bank of Slovenia paper analyses whether banks correctly assessed corporate borrowers’ creditworthiness before the financial crisis, and what incentives they faced
Definitions matter when using DTI ratios – Riksbank paper
How regulators define debt and income can affect the outcome of financial stability analysis and the use of macro-prudential tools, authors say
Long-run financial market volatility has strong effects on real economy, researchers say
A Bank of England working paper presents a method for breaking financial market volatility into long- and short-run components; long-run volatility closely linked to economic fundamentals, authors say
Paper outlines methods for creating country-specific banking crisis prediction models
Working paper tests models with country-specific and state-dependent parameters on a sample of 14 European countries; approach out-performs traditional early-warning models, researchers argue
BoE paper finds fault with empirical methods for studying contagion
Review of spillover and contagion literature finds methods plagued by bias and heteroskedasticity, concluding no single technique is flawless, but some offer a partial solution
Credit contractions are significant cause of unemployment, researcher says
Data from 20 OECD countries shows that contractions in credit affect total, youth and long-term unemployment measures, a working paper from the Bank of Austria argues
Danish research examines how central banks can impact market liquidity
Price of liquidity tends to change on days when central bank is operating in markets, with aggregate liquidity and payments activity also important, PhD thesis finds
BoE research finds support for Phillips curve in micro data
Authors turn to direct measures of firms’ expectations and employ new instrumental variables in search of empirical support for the Phillips curve
Asset prices can signal abnormal inflation rates, paper argues
Asset prices can provide warning of forthcoming high or low inflation, a Netherlands Bank working paper says, but transmission times can be “quite long”
Bundesbank paper models ‘information contagion’
A Deutsche Bundesbank working paper presents a model of how “information contagion” can cause bank runs and attempts to quantify it using data on Canada’s banking sector
Riksbank paper looks to medieval Europe for ZLB solution
Idea of a “Gesell tax” on holdings of cash could help central bankers overcome the zero lower bound – an idea already tested by kings in medieval Europe
US enforcement actions stopped worse borrowing terms during subprime crisis, paper argues
Researchers compile database matching US enforcement actions to banks and their loans; price, duration and size of loans improved following enforcement actions, they argue
Croatian National Bank sees inflation recovering this year and next
Annual CPI inflation fell to –1.8% in May, but the central bank expects it to pick up in the coming months, eventually rising to 1.2% in 2017
IMF paper examines drivers of India’s disinflation
‘Backward-looking’ expectations and domestic institutional structures amplified shocks, paper says; only 15% of India’s deflation is attributed to a decline in oil price
US unconventional monetary policy most effective in financial crisis, paper argues
Conventional and unconventional monetary policies in the United States work through distinct channels, with different levels of effectiveness in crisis conditions, researchers argue
Money market interactions can explain behaviour of interest rate spreads, researchers argue
Paper analyses the interplay of unsecured and collateralised money markets; information obtained “can explain behaviour of interest rate spreads”, authors say
IMF paper explores link between imports and pro-cyclicality of productivity
Research finds firm-level import decisions explain “non-trivial” fraction of fluctuations in aggregate productivity in South Korean manufacturing sector between 2006 and 2012
BoJ research uses ‘global game’ to explain zero inflation
Model of monopolistic competition implies co-ordination between firms may lead to zero inflation
BIS paper digs into complex spillovers from US rates
Authors find short-run US rates have little impact on long-term rates elsewhere, but transmission at longer maturities and via bond markets is high
Rise of services in advanced economies weakens transmission of monetary policy, paper argues
The transmission of monetary policy in advanced economies is weakened by the greater prominence of services, a Bank of Spain working paper argues; researchers use data from US