Research
ECB paper explores capital-based macroprudential measures
Dampened credit and asset price growth can have a “sizable” impact on predicted crisis probabilities, authors note; they present an early warning global autoregressive model
ECB paper presents ‘news’ and ‘noise’ model of US housing market
A new model of the US property market differentiates between “news and noise shocks”; latter can have significant effects and policy-makers should consider pro-cyclical property taxes, author says
Inflation expectations shaped by different forces in short and long term – BoE research
UK households are influenced by perceptions of actual inflation, but other factors grow in importance in the longer run, quarterly bulletin article finds
Model-based regulation in Germany had unintended consequences, researchers say
The move to model-based banking regulation in Germany studied in working paper; loan default and loss rates rose for loans created under new regime
Network analysis sheds light on systemic risk – BoE paper
Pilot study of derivatives markets makes use of CDS data to map network of interlinkages, finding more than just immediate counterparty ties matter for systemic risk
IMF paper explores impact of financial development on wealth dispersion
Authors focus on China between 1995 and 2002; suggest lower access barriers and a deeper market can “greatly improve” welfare
Balance sheet policy matters for credibility – Norges Bank paper
Researcher argues a central bank’s financial strength may affect its ability to meet its monetary policy mandate, based on evidence from the UK’s gold standard period
US Phillips Curve “not broken” – IMF paper
Working paper finds economic behaviour since the crisis reflects different sources of disturbances, and not a change in the dynamics of the Phillips curve
Policy-makers should base analysis on broad set of monetary aggregates, paper argues
Analysis of the stability of demand for components of monetary aggregates in the eurozone argues against reliance on a single measure, researcher says
Colombian paper explores forex intervention announcements
In present of imperfect credibility it is not possible for central banks to achieve ‘desired’ exchange rate level without changing international reserve position, paper finds
Releases of monetary data aid market rate expectations – paper
Working paper published by ECB shows releases of monetary data is helpful to financial markets in forming rate expectations
IMF paper examines factors affecting US wage growth
US labour market changing “more fundamentally” than before, author finds; wage growth expected to accelerate in near term
Central bank should consider sticky-price inflation as target variable – paper
South African working paper argues central bank should consider sticky price inflation as target variable; sticky prices more persistent and less volatile
State Bank of Pakistan sees financial sector ‘flourish’
Financial stability review highlights record after-tax profit and high capital adequacy ratio, as well as improvement in asset quality
Sweden’s FI gauges impact of debt-to-income limit
Financial regulator tries to attach values to the growth and stability impact of DTI limits, one potential tool for tackling rising household indebtedness
Effective lower bound has ‘tail risk’ influence on monetary policy, ECB paper argues
The ‘tail risk’ induced by the possibility of rates reaching their effective lower bound can cause serious undershooting of inflation targets, an ECB working paper argues
Irish paper proposes three-phase model of volatility in bond markets
Irish paper finds ‘good’, ‘bad’ and ‘ugly’ phases in eurozone sovereign debt markets from 2003 to 2014; crisis not caused by changes to the shock mechanism, but by pre-existing cross-country links
BoJ paper models impact of guidance on expectations
Announcing forward guidance before reaching the effective lower bound can help to “positively influence” inflation and output growth, the author finds
News impacts stock prices through more than transient sentiment, paper finds
Working paper uses textual processing to examine more than 900,000 news stories; negative stories have a longer and more delayed reaction, authors find
SNB paper challenges idea that capital flows drive Swiss franc value
Empirical study finds no strong relationship between capital flows and the level of the franc, meshing with earlier literature showing asset prices can move sharply without major portfolio shifts
IMF paper explores transmission of volatility along yield curve
Working paper finds differences in transmission between countries with established inflation-targeting frameworks and those in transition
Dutch central bank calls for pension reforms
Dutch pension schemes have “fundamental vulnerabilities” and need a “major overhaul”, DNB says; calls for variable contribution and accrual rates and “individual life-cycle investment policy”
BoJ research turns to new data set to study wage-price links
Research sheds light on factors that may push up wage expectations, drawing on a unique survey of Japanese expectations
ECB researchers add financial sectors to eurozone general equilibrium model
Modifications to general equilibrium model of eurozone allows proper modelling of domestic and cross-country effects of financial shocks, ECB researchers argue