Research
BIS’s Tissot says micro data can plug macro gaps
Data is abundant in many areas, but making micro data work with macro is still proving tricky for statisticians, says BIS head of statistics
Paper models impact of ECB’s collateral policy
A working paper offers a model of the impact of the ECB’s collateral policy on the eurozone between 2009 and 2011; effects smoothed transmission of monetary policy, researchers argue
Banks’ debt maturity needs extension – but not too much, paper argues
Eurozone banks’ debt securities need slightly longer maturity periods, but extensions envisaged under Basel III may be excessive, a Bank of Italy paper argues
Traditional banks played leading role in creating US credit boom, paper finds
Traditional banks played a larger role than ‘shadow’ banks in originating US loans in the lead-up to the financial crisis, paper published by Deutsche Bundesbank says
Namibian central bank wary of household debt increase
Namibia has higher household debt levels than regional peers, according to some measures, the central bank’s latest financial stability report notes
Spanish paper explores low TFP growth during expansion
Working paper notes total factor productivity fell between 1995 and 2007 despite solid growth rates in the economy; highlights misallocation of production factors within industry
BoE paper: CCP legal framework may need work
Process of handling default is legally robust in many cases, but has room for improvement in others, authors say
ECB paper presents evidence of risk-taking channel in US
Working paper finds interest rates affect the quality of bank credit in the US; researchers exploit confidential data on banks’ internal ratings of loans
Paper examines credit risk spillover in the eurozone
Estimations of fair-value credit default swap values may give better picture of eurozone risk contagion than market prices for credit default swaps, ECB paper argues
Researchers conduct ‘horse race’ of financial crisis early-warning models
Statistical approaches based on machine learning appear to offer more robust early warnings of financial crisis than models based on more conventional techniques, two researchers say
BoE paper evaluates macro-prudential roles of bank capital regulation and monetary policy
Authors find counter-cyclical regulation is more effective than monetary policy in promoting stability in the wake of a credit shock
US data can help nowcast Canadian growth, paper finds
Working paper published by Fed board introduces US data into dynamic factor model used for nowcasting the quarterly real GDP growth rate
ECB sees ‘no clear upward trend’ in most inflation metrics
Inflation measures in the eurozone are subdued, the ECB says; several factors are slowing recovery, including balance sheet adjustments, downturn in emerging markets and slow progress on reform
Inflation targeting ‘key' for successful de-dollarisation – IMF working paper
Peru's success story suggest "sound" monetary and macro-prudential policy can help de-dollarisation, paper says; favourable global environment helped in case of Peru
Nonlinear models struggle to outperform VARs, Azerbaijani paper finds
Central bank’s first working paper finds various different nonlinear forecasting models perform poorly against autoregressive and VAR models, and even random walks
Researchers explore link between rates and consumption in new model
Working paper published by ECB examines transmission mechanism of monetary policy in a heterogeneous agent New Keynesian model
Fijian annual report shows ‘huge decline’ in mobile money active agents
Reserve Bank of Fiji documents 84% decrease in registered active agents, while number of people registered for mobile money increased
ECB paper explores public and private employment link
Research contradicts literature that claims an increase in public employment crowds out private employment, at least in recessions
Outflows during normalisation proportional to earlier inflows, paper warns
Working paper examines the effects unconventional monetary policies in advanced economies had on capital flows in emerging markets, and predict what is to come during normalisation
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