Research
BoE paper explores impact of prudential measures abroad on UK bank lending
No “significant” spillovers to bank lending following prudential measures, authors find, while composition of lending can change when domestic actions are taken
BoE paper seeks unified global approach to NPLs
A multidisciplinary approach to legal, accounting, statistical, economic and strategic elements of loan loss provisioning and NPLs
Italian paper looks at ECB’s reserve management
Bank of Italy working paper studies the management of the ECB’s foreign exchange reserves; diversity of managers’ investment styles may positively affect risk-adjusted returns, authors say
Paper explores reserve management in closed economies
Working paper published by IMF presents intertemporal optimisation model designed to help assess how closed economies should use their reserves when guarding against current account shocks
Fed liftoff pushed some rates down – Riksbank paper
Researchers find hike in policy rate lowered average interest rates on subprime lending, and narrowed spreads with the less risky section of the market, using novel "scraped" data set
ECB paper models influence of financial fragmentation on eurozone crisis
Working paper published by ECB models the influence of financial fragmentation on three key stages in the eurozone crisis
Research digs into disagreement about inflation expectations
Paper published by Reserve Bank of Australia examines how the disagreement within stakeholder groups about inflation expectations has evolved
Bank CEOs’ pay can hit regulation, economist argues
Washington University economist Anjan Thakor argues linking bank chief executives’ pay to returns on equity can have adverse effects on banking regulation
FCA paper investigates whether HFTs predict orders
Working paper finds patterns consistent with HFTs anticipating order flows over longer time periods, but authors unable to ascertain cause
Paper explores monetary policy and bank liability structure
Banque de France working paper analyses US banking data from 1994 to 2008; provides new empirical support for bank lending channel of monetary policy, author argues
BoJ survey reveals growing pessimism over economy
Share of respondents who expect conditions to worsen over coming year rises to over one-third, although most believe conditions have stayed the same over the past 12 months, and will do so again
Paper finds Norwegian housing market is ‘micro efficient’
Research published by Norges Bank exploits dataset comprising 472,378 housing transactions; finds little persistence but a lot of reversion in sale prices
Medium-sized banks are main contributors to systemic risk in Brazilian interbank market, paper says
Emergence of bank communities may act as triggers for systemic risk, stress test scenario shows; medium-sized banks carry non-negligible default probabilities
BoJ paper attempts to ditch Friedman rule with new model
Paper outlines model where mild inflation is welfare-optimising, in contrast to Milton Friedman’s rule implying mild deflation, which underpins many monetary models
Advanced economies could learn from EM counterparts in managing balance sheets, paper says
Composition of advanced economies' balance sheets is aligning in some respects to their EM counterparts, largely as a consequence of increasing size since the financial crisis, paper says
Competition in treasury auctions reduces bidder surplus, working paper finds
Data from before and after Austria’s entry into the European Union shows increased competition in bond auctions substantially reduces bidder surplus, researchers say
IMF working paper assess fiscal councils
Research considers the efficacy of independent fiscal institutions in “taming the deficit bias” that emerged in the 1970s, as well as assessing their performance more recently
IMF working paper sees regulation as key driver of decline in foreign lending
Research contends regulatory tightening is behind much of the ‘sluggishness’ in international banking since the crisis; exploits survey data compiled in preparation for GFSR
Operational reform has not impacted longer term rates, BoE working paper says
Reserve averaging and reserve targets reduced volatility in overnight rate but had little impact on longer-term rates, research finds
Perceived long-term eurozone deflation risk unaffected by oil – paper
Between 2010 and 2012, perceived short-term deflation risk was “significantly” affected by oil prices, while medium-term risk was only affected between 2013 and 2015, research suggests
Lower real interest rates may harm productivity growth, researchers say
Lower real interest rates may reduce productivity growth rates, researchers say; Italy and Spain have suffered low or negative TFP growth during existence of euro
Norges Bank researchers grapple with nonlinear exchange rate pass-through
Exchange rate pass-through in Norway is unusually high, which the authors suggest could be due to the size of recent currency movements – but pinning down the effect empirically proves difficult
Fibre optics raise concentration of forex trading - paper
Barry Eichengreen and co-authors find technological gains from submarine fibre optic cables helped increase the concentration of foreign exchange trading
Riksbank paper finds BVAR models can outperform DSGE
Bayesian vector autoregressions often produce better forecasts than judgement-based or DSGE-based options, authors find – but DSGE is still more popular for policy-making