http://www.bis.org/cbhub/list/country/country_international/index.rss Latest research hub papers from International en http://www.bis.org/publ/work378.pdf Bank for International Settlements Working papers by Andrew Filardo Ensuring price stability in post-crisis Asia: lessons from the recovery 2012-04-18T12:39:59Z Asian central banks have adopted monetary policy frameworks over the past decade that have, by and large, worked well both to ensure price stability during the pre-crisis period and to navigate the shoals during the recent international financial crisis. Inflation concerns in recent years nonetheless raise the possibility that existing monetary policy frameworks in Asia may be contributing to procyclical inflation swings. Three particular aspects of the policy environment are highlighted. They include the approach of monetary policy to commodity price cycles, to the uneven global recovery and to the new financial stability mandates. Ensuring price stability in post-crisis Asia: lessons from the recovery 2012-04-18T12:39:59Z BIS Abstract http://www.bis.org/publ/work378.htm Full text http://www.bis.org/publ/work378.pdf Andrew Filardo Andrew Filardo 2012-04 Bank for International Settlements Working papers E3 E5 E6 F4 http://www.bis.org/publ/work377.pdf Bank for International Settlements Working papers by Stefan Avdjiev, Robert N McCauley and Patrick McGuire Rapid credit growth and international credit: Challenges for Asia 2012-04-12T17:38:59Z Very low interest rates in major currencies have raised concerns over international credit flows to robustly growing economies in Asia. This paper examines three components of international credit and highlights several of the policy challenges that arise in constraining such credit. Our empirical findings suggest that international credit enables domestic credit booms in emerging markets. Furthermore, we demonstrate that higher levels of international credit on the eve of a crisis are associated with larger subsequent contractions in overall credit and real output. In Asia today, international credit generally is small in relation to overall credit - as was not the case before the Asian crisis. So even though dollar credit is growing very rapidly in some Asian economies, its contribution to overall credit growth has been modest outside the more dollarised economies of Asia. Rapid credit growth and international credit: Challenges for Asia 2012-04-12T17:38:59Z BIS Abstract http://www.bis.org/publ/work377.htm Full text http://www.bis.org/publ/work377.pdf Stefan Avdjiev Robert N. McCauley Patrick McGuire Stefan Avdjiev, Robert N McCauley and Patrick McGuire 2012-04 Bank for International Settlements Working papers E32 F34 F43 http://www.bis.org/publ/work376.pdf Bank for International Settlements Working papers by Eugenio Cerutti, Stijn Claessens and Patrick McGuire Systemic risk in global banking: what can available data tell us and what more data are needed? 2012-04-11T12:41:00Z The recent financial crisis has shown how interconnected the financial world has become. Shocks in one location or asset class can have a sizable impact on the stability of institutions and markets around the world. But systemic risk analysis is severely hampered by the lack of consistent data that capture the international dimensions of finance. While currently available data can be used more effectively, supervisors and other agencies need more and better data to construct even rudimentary measures of risks in the international financial system. Similarly, market participants need better information on aggregate positions and linkages to appropriately monitor and price risks. Ongoing initiatives that will help close data gaps include the G20 Data Gaps Initiative, which recommends the collection of consistent banklevel data for joint analyses and enhancements to existing sets of aggregate statistics, and enhancements to the BIS international banking statistics. Systemic risk in global banking: what can available data tell us and what more data are needed? 2012-04-11T12:41:00Z BIS Abstract http://www.bis.org/publ/work376.htm Full text http://www.bis.org/publ/work376.pdf Eugenio Cerutti Stijn Claessens Patrick McGuire Eugenio Cerutti, Stijn Claessens and Patrick McGuire 2012-04 Bank for International Settlements Working papers F21 F34 G15 G18 Y1 http://www.bis.org/publ/work375.pdf Bank for International Settlements Working papers by Frank Packer and Haibin Zhu Loan loss provisioning practices of Asian banks 2012-04-05T17:38:59Z In the wake of the Asian financial crisis, many regimes in Asia adopted stricter provisioning requirements, as well as discretionary measures, with the objective of increasing provisioning in good times in response to rising levels of risk. Based on a final sample of 240 banks in 12 Asian economies, the evidence is that countercyclical loan loss provisioning has dominated throughout emerging Asia, most strikingly so in the case of India. Thus, loan loss provisioning did not simply become more conservative at all points in time subsequent to the Asian financial crisis, but actively leaned in a fashion that ameliorated swings in earnings and the macroeconomy. Loan loss provisioning practices of Asian banks 2012-04-05T17:38:59Z BIS Abstract http://www.bis.org/publ/work375.htm Full text http://www.bis.org/publ/work375.pdf Haibin Zhu Frank Packer Frank Packer and Haibin Zhu 2012-04 Bank for International Settlements Working papers G21 G28 http://www.bis.org/publ/qtrpdf/r_qt1203f.pdf Bank for International Settlements Quarterly Review by Morten Bech FX volume during the financial crisis and now 2012-03-19T17:40:00Z This special feature looks at trading activity in the foreign exchange (FX) market. By using information from surveys conducted by FX committees around the world as well as settlement data from CLS Bank, I analyse how global FX market activity was affected by the recent financial crisis. I show that FX activity continued to grow during the first year of the crisis but experienced a sharp drop after the Lehman bankruptcy, from which it recovered only slowly. I estimate that global FX activity was around $4.7 trillion a day on average in October 2011, compared with $4.0 trillion reported by the latest triennial central bank survey of foreign exchange activity conducted in April 2010. FX volume during the financial crisis and now 2012-03-19T17:40:00Z BIS Abstract http://www.bis.org/publ/qtrpdf/r_qt1203f.htm Full text http://www.bis.org/publ/qtrpdf/r_qt1203f.pdf Morten L. Bech Morten Bech 2012-03 Bank for International Settlements Quarterly Review C82 F31 G15 http://www.bis.org/publ/qtrpdf/r_qt1203g.pdf Bank for International Settlements Quarterly Review by Jing Yang and Kostas Tsatsaronis Bank stock returns, leverage and the business cycle 2012-03-19T17:40:00Z The returns on bank stocks rise and fall with the business cycle, making bank equity financing cheaper in the boom and dearer during a recession. This provides support for prudential tools that give incentives for banks to build capital buffers at times when the cost of equity is lower. In addition, banks with higher leverage face a higher cost of equity, which suggests that higher capital ratios are associated with lower funding costs. Bank stock returns, leverage and the business cycle 2012-03-19T17:40:00Z BIS Abstract http://www.bis.org/publ/qtrpdf/r_qt1203g.htm Full text http://www.bis.org/publ/qtrpdf/r_qt1203g.pdf Jing Yang Kostas Tsatsaronis Jing Yang and Kostas Tsatsaronis 2012-03 Bank for International Settlements Quarterly Review G21 G28 G3 http://www.bis.org/publ/qtrpdf/r_qt1203e.pdf Bank for International Settlements Quarterly Review by Jack Meaning and Feng Zhu The impact of Federal Reserve asset purchase programmes: another twist 2012-03-19T17:40:00Z This article examines the effectiveness of recent Federal Reserve asset purchase programmes. We estimate that once we control for factors such as the size and the maturity profile of Treasury issuance, the new Maturity Extension Program (MEP) could have an impact comparable to the one we estimate for the Large-Scale Asset Purchase (LSAP) programme. The effectiveness of such programmes is limited by Treasury debt management policy. Indeed, the Treasury's extension of the average maturity of outstanding debt during LSAP is likely to have pushed up the 10-year bond yield significantly. The impact of Federal Reserve asset purchase programmes: another twist 2012-03-19T17:40:00Z BIS Abstract http://www.bis.org/publ/qtrpdf/r_qt1203e.htm Full text http://www.bis.org/publ/qtrpdf/r_qt1203e.pdf Feng Zhu Jack Meaning Jack Meaning and Feng Zhu 2012-03 Bank for International Settlements Quarterly Review E52 E63 http://www.bis.org/publ/work374.pdf Bank for International Settlements Working papers by Economic Variables by Charlotte Christiansen, Maik Schmeling and Andreas Schrimpf A Comprehensive Look at Financial Volatility Prediction by Economic Variables 2012-03-06T17:40:00Z We investigate if asset return volatility is predictable by macroeconomic and financial variables and shed light on the economic drivers of financial volatility. Our approach is distinct due to its comprehensiveness: First, we employ a data-rich forecast methodology to handle a large set of potential predictors in a Bayesian Model Averaging approach, and, second, we take a look at multiple asset classes (equities, foreign exchange, bonds, and commodities) over long time spans. We find that proxies for credit risk and funding (il)liquidity consistently show up as common predictors of volatility across asset classes. Variables capturing time-varying risk premia also perform well as predictors of volatility. While forecasts by macro-finance augmented models also achieve forecasting gains out-of-sample relative to autoregressive benchmarks, the performance varies across asset classes and over time. A Comprehensive Look at Financial Volatility Prediction by Economic Variables 2012-03-06T17:40:00Z BIS Abstract http://www.bis.org/publ/work374.htm Full text http://www.bis.org/publ/work374.pdf Maik Schmeling Charlotte Christiansen Andreas Schrimpf Economic Variables by Charlotte Christiansen, Maik Schmeling and Andreas Schrimpf 2012-03 Bank for International Settlements Working papers C53 G12 G15 G17 http://www.bis.org/publ/work373.pdf Bank for International Settlements Working papers by Daniel Heller and Nicholas Vause Collateral requirements for mandatory central clearing of over-the-counter derivatives 2012-03-06T12:41:00Z By the end of 2012, all standardised over-the-counter (OTC) derivatives must be cleared with central counterparties (CCPs). In this paper, we estimate the amount of collateral that CCPs should demand to clear safely all interest rate swap and credit default swap positions of the major derivatives dealers. Our estimates are based on potential losses on a set of hypothetical dealer portfolios that replicate several aspects of the way that derivatives positions are distributed within and across dealer portfolios in practice. Our results suggest that major dealers already have sufficient unencumbered assets to meet initial margin requirements, but that some of them may need to increase their cash holdings to meet variation margin calls. We also find that default funds worth only a small fraction of dealers' equity appear sufficient to protect CCPs against almost all possible losses that could arise from the default of one or more dealers, especially if initial margin requirements take into account the tail risks and time variation in risk of cleared portfolios. Finally, we find that concentrating clearing of OTC derivatives in a single CCP could economise on collateral requirements without undermining the robustness of central clearing. Collateral requirements for mandatory central clearing of over-the-counter derivatives 2012-03-06T12:41:00Z BIS Abstract http://www.bis.org/publ/work373.htm Full text http://www.bis.org/publ/work373.pdf Daniel Heller Nicholas Vause Daniel Heller and Nicholas Vause 2012-03 Bank for International Settlements Working papers G24 G28 http://www.ijcb.org/journal/ijcb12q1a1.pdf IJCB International Journal of Central Banking by Ruy Lama and Juan Pablo Medina Is Exchange Rate Stabilization an Appropriate Cure for the Dutch Disease? 2012-03-01T12:39:59Z This paper evaluates how successful a policy of exchange rate stabilization is in counteracting the negative effects of a Dutch disease episode. We consider a small open-economy model that incorporates nominal rigidities and a learning-bydoing externality in the tradable sector. The paper shows that leaning against an appreciated exchange rate can prevent an inefficient loss of tradable output but at the cost of generating a misallocation of resources in other sectors of the economy. The paper also finds that welfare is a decreasing function of exchange rate intervention. These results suggest that stabilizing the nominal exchange rate in response to a Dutch disease episode could be highly distortionary. Is Exchange Rate Stabilization an Appropriate Cure for the Dutch Disease? 2012-03-01T12:39:59Z Abstract http://www.ijcb.org/journal/ijcb12q1a1.htm Full text http://www.ijcb.org/journal/ijcb12q1a1.pdf Ruy Lama Juan Pablo Medina Ruy Lama and Juan Pablo Medina 201202-03 IJCB International Journal of Central Banking E52 F31 F41 http://www.ijcb.org/journal/ijcb12q1a3.pdf IJCB International Journal of Central Banking by Jon Faust DSGE Models: I Smell a Rat (and It Smells Good) 2012-03-01T12:39:59Z DSGE models have now reached a point where they can and do serve an important role in the monetary policy process. From the standpoint of real-world policymaking, however, there remain important areas of omission and coarse approximation in these models. I argue that macroeconomics should follow other fields such as toxicology in having a formal literature on how best to use models that are far from perfect as a basis for public policy. DSGE Models: I Smell a Rat (and It Smells Good) 2012-03-01T12:39:59Z Abstract http://www.ijcb.org/journal/ijcb12q1a3.htm Full text http://www.ijcb.org/journal/ijcb12q1a3.pdf Jon Faust Jon Faust 201202-03 IJCB International Journal of Central Banking E20 E30 E60 http://www.ijcb.org/journal/ijcb12q1a6.pdf IJCB International Journal of Central Banking by Michael D. Bordo, Owen F. Humpage, and Anna J. Schwartz The Federal Reserve as an Informed Foreign Exchange Trader: 1973-1995 2012-03-01T12:39:59Z If official interventions convey private information useful for price discovery in foreign exchange markets, then they should have value as a forecast of near-term exchange rate movements. Using a set of standard criteria, we show that approximately 60 percent of all U.S. foreign exchange interventions between 1973 and 1995 were successful in this sense. This percentage, however, is no better than random. U.S. intervention sales and purchases of foreign exchange were incapable of forecasting dollar appreciations or depreciations. U.S. interventions, however, were associated with more moderate dollar movements in a manner consistent with leaning against the wind, but only 22 percent of all U.S. interventions conformed to this pattern. We also found that the larger the size of an intervention, the greater was its probability of success. In this context, most U.S. interventions appear to have been too small to have had a high probability of success. Other potential characteristics of intervention-notably, coordination and secrecy-did not seem to influence our success rates. The Federal Reserve as an Informed Foreign Exchange Trader: 1973-1995 2012-03-01T12:39:59Z Abstract http://www.ijcb.org/journal/ijcb12q1a6.htm Full text http://www.ijcb.org/journal/ijcb12q1a6.pdf Michael D. Bordo Anna J. Schwartz Owen F. Humpage Michael D. Bordo, Owen F. Humpage, and Anna J. Schwartz 201202-03 IJCB International Journal of Central Banking E52 E58 F31 http://www.ijcb.org/journal/ijcb12q1a4.pdf IJCB International Journal of Central Banking by Christian Glocker and Pascal Towbin Reserve Requirements for Price and Financial Stability: When Are They Effective? 2012-03-01T12:39:59Z Reserve requirements are a prominent policy instrument in many emerging countries. The present study investigates the circumstances under which reserve requirements are an appropriate policy tool for price or financial stability. We consider a small open-economy model with sticky prices, financial frictions, and a banking sector that is subject to legal reserve requirements and compute optimal interest rate and reserve requirement rules. Overall, our results indicate that reserve requirements can support the price stability objective only if financial frictions are important and lead to substantial improvements if there is a financial stability objective. Contrary to a conventional interest rate policy, reserve requirements become more effective when there is foreign currency debt. Reserve Requirements for Price and Financial Stability: When Are They Effective? 2012-03-01T12:39:59Z Abstract http://www.ijcb.org/journal/ijcb12q1a4.htm Full text http://www.ijcb.org/journal/ijcb12q1a4.pdf Christian Glocker Pascal Towbin Christian Glocker and Pascal Towbin 201202-03 IJCB International Journal of Central Banking E52 E58 F41 G18 http://www.ijcb.org/journal/ijcb12q1a8.pdf IJCB International Journal of Central Banking by Robert G. King Central Banking in an Open Economy 2012-03-01T12:39:59Z Issues in open-economy central banking are explored using two papers from this issue of the IJCB. Central Banking in an Open Economy 2012-03-01T12:39:59Z Abstract http://www.ijcb.org/journal/ijcb12q1a8.htm Full text http://www.ijcb.org/journal/ijcb12q1a8.pdf Robert G. King Robert G. King 201202-03 IJCB International Journal of Central Banking E50 F33 http://www.ijcb.org/journal/ijcb12q1a9.pdf IJCB International Journal of Central Banking by Gianluigi Ferrucci, Rebeca Jiménez-Rodriguez, and Luca Onorante Food Price Pass-Through in the Euro Area: Non-Linearities and the Role of the Common Agricultural Policy 2012-03-01T12:39:59Z In this paper we analyze the pass-through of a commodity price shock along the food price chain in the euro area. Departing from the existing literature, which focuses on food commodity prices as quoted in international markets, we use a novel database that accounts for the role of the Common Agricultural Policy in the European Union. We model several departures from the linear pass-through benchmark and compare alternative specifications with aggregate and disaggregate data. Overall, when the appropriate data set and methodology are used, it is possible to identify a significant and long-lasting pass-through. The results of our regressions are applied to the food price shock in the 2007-08 period; a decomposition exercise shows that commodity prices are the main determinant of the increase in producer and consumer prices, thus solving the puzzle highlighted in the existing literature for the euro area. Food Price Pass-Through in the Euro Area: Non-Linearities and the Role of the Common Agricultural Policy 2012-03-01T12:39:59Z Abstract http://www.ijcb.org/journal/ijcb12q1a9.htm Full text http://www.ijcb.org/journal/ijcb12q1a9.pdf Gianluigi Ferrucci Luca Onorante Rebeca Jiménez-Rodriguez Gianluigi Ferrucci, Rebeca Jiménez-Rodriguez, and Luca Onorante 201202-03 IJCB International Journal of Central Banking C32 C53 E30 Q17 http://www.bis.org/publ/work372.pdf Bank for International Settlements Working papers by Paul Castillo and Carlos Montoro Inflation Dynamics in the Presence of Informal Labour Markets 2012-02-21T17:38:59Z In this paper we analyse the effects of informal labour markets on the dynamics of inflation and on the transmission of aggregate demand and supply shocks. In doing so, we incorporate the informal sector in a modified New Keynesian model with labour market frictions as in the Diamond-Mortensen-Pissarides model. Our main results show that the informal economy generates a "buffer" effect that diminishes the pressure of demand shocks on inflation. This finding is consistent with the empirical literature on the effects of informal labour markets in business cycle fluctuations. This result implies that, in economies with large informal labour markets, changes in interest rates are more effective in stimulating real output and there is less impact on inflation. Furthermore, the model produces cyclical flows from informal to formal employment, consistent with the data. Inflation Dynamics in the Presence of Informal Labour Markets 2012-02-21T17:38:59Z BIS Abstract http://www.bis.org/publ/work372.htm Full text http://www.bis.org/publ/work372.pdf Carlos Montoro Paul Castillo Paul Castillo and Carlos Montoro 2012-02 Bank for International Settlements Working papers E32 E50 J64 O17 http://www.bis.org/publ/work371.pdf Bank for International Settlements Working papers by Makoto Nirei, Theodoros Stamatiou and Vladyslav Sushko Stochastic Herding in Financial Markets Evidence from Institutional Investor Equity Portfolios 2012-02-17T17:42:00Z We estimate a structural model of herding behavior in which feedback arises due to mutual concerns of traders over the unobservable "true" level of market liquidity. In a herding regime, random shocks are exacerbated by endogenous feedback, producing a dampened power-law in the uctuation of largest sales. The key to the uctuation is that each trader responds not only to private information, but also to the aggregate behavior of others. Applying the model to the data on portfolios of institutional investors (fund managers), we nd that the empirical distribution is consistent with model predictions. A stock's realized illiquidity propagates herding and raises the probability of observing a sell-off. The distribution function itself has desirable properties for evaluating "tail risk". Stochastic Herding in Financial Markets Evidence from Institutional Investor Equity Portfolios 2012-02-17T17:42:00Z BIS Abstract http://www.bis.org/publ/work371.htm Full text http://www.bis.org/publ/work371.pdf Makoto Nirei Theodoros Stamatiou Vladyslav Sushko Makoto Nirei, Theodoros Stamatiou and Vladyslav Sushko 2012-02 Bank for International Settlements Working papers C16 D80 G14 G20 http://www.ijcb.org/journal/ijcb12q0a9.pdf IJCB International Journal of Central Banking by Richard Clarida Get Real: Interpreting Nominal Exchange Rate Fluctuations 2012-02-09T12:41:00Z This paper derives a structural relationship between the nominal exchange rate, national price levels, and observed yields on long-maturity inflation-indexed bonds. This relationship can be interpreted as defining the (conditional) riskneutral fair value of the exchange rate between two countries in which inflation-indexed bonds are issued. We derive a novel, empirically observable measure of the risk premium that can open up a wedge between the observed level of the nominal exchange rate and its risk-neutral fair value. We relate our measure of the risk premium reflected in the level of the nominal exchange rate to the familiar Fama measure of the risk premium reflected in rates of return on foreign currency investments. We take our theory to a data set spanning the period January 2001-February 2011 and study high-frequency, realtime decompositions of pound, euro, and yen exchange rates into their risk-neutral fair value and risk premium components. The relative importance of these two factors varies depending on the subsample studied. However, subsamples in which, contrary to the Meese-Rogoff (1983) puzzle, 30 to 60 percent of the fluctuations in daily exchange rate changes are explained by contemporaneous changes in risk-neutral fair value are not uncommon.JEL Codes: F31, F32, F37. Get Real: Interpreting Nominal Exchange Rate Fluctuations 2012-02-09T12:41:00Z Abstract http://www.ijcb.org/journal/ijcb12q0a9.htm Full text http://www.ijcb.org/journal/ijcb12q0a9.pdf Richard Clarida Richard Clarida 2012-02 IJCB International Journal of Central Banking http://www.ijcb.org/journal/ijcb12q0a3.pdf IJCB International Journal of Central Banking by Kenneth N. Kuttner and Adam S. Posen How Flexible Can Inflation Targeting Be and Still Work?. 2012-02-09T12:41:00Z This paper takes up the issue of the flexibility of inflationtargeting regimes, with the specific goal of determining whether the monetary policy of the Bank of England, which has a formal inflation target, has been any less flexible than that of the Federal Reserve, which does not have such a target. The empirical analysis uses the speed of inflation forecast convergence, estimated from professional forecasters' predictions at successive forecast horizons, to gauge the perceived flexibility of the central bank's response to macroeconomic shocks. Based on this criterion, there is no evidence to suggest that the Bank of England's inflation target has compelled it to be more aggressive in pursuit of low inflation than the Federal Reserve.JEL Codes: E42, E58, E65. How Flexible Can Inflation Targeting Be and Still Work?. 2012-02-09T12:41:00Z Abstract http://www.ijcb.org/journal/ijcb12q0a3.htm Full text http://www.ijcb.org/journal/ijcb12q0a3.pdf Kenneth N. Kuttner Adam S. Posen Kenneth N. Kuttner and Adam S. Posen 2012-02 IJCB International Journal of Central Banking http://www.ijcb.org/journal/ijcb12q0a1.pdf IJCB International Journal of Central Banking by Stefan Gerlach and Thomas J. Jordan Tactics and Strategy in Monetary Policy: Benjamin Friedman's Thinking and the Swiss National Bank. 2012-02-09T12:41:00Z This paper reviews the tactics and strategy of monetary policy in Switzerland, using a selection of Benjamin Friedman's papers to organize the discussion, and starting in the early 1970s, when his academic papers started to appear in scholarly journals. The review focuses on the SNB's experience with monetary targets in 1975-99, the policy strategy adopted by the SNB in 2000, and the SNB's experiences during the financial crisis that started in August 2007. On many occasions, Benjamin Friedman's and the SNB's thinking converged, while on others, they diverged.JEL Codes: E43, E53, E58. Tactics and Strategy in Monetary Policy: Benjamin Friedman's Thinking and the Swiss National Bank. 2012-02-09T12:41:00Z Abstract http://www.ijcb.org/journal/ijcb12q0a1.htm Full text http://www.ijcb.org/journal/ijcb12q0a1.pdf Thomas J. Jordan Stefan Gerlach Stefan Gerlach and Thomas J. Jordan 2012-02 IJCB International Journal of Central Banking http://www.ijcb.org/journal/ijcb12q0a5.pdf IJCB International Journal of Central Banking by Angelo Melino Inflation Targeting: A Canadian Perspective 2012-02-09T12:41:00Z Inflation targeting in Canada recently celebrated its twentieth anniversary. As a monetary policy framework, it has been extremely successful and has earned widespread support. But the recent financial crisis has provided the largest challenge to the inflation-targeting framework since the political controversy that followed its introduction. The Bank of Canada, like many other central banks, is thinking hard about how it can contribute to financial stability and how to integrate financial stability concerns with its inflation-targeting framework. I expect that we'll see a number of responses in Canada to financial stability concerns, but the basic inflation-targeting framework will not be much affected. The recent crisis has crowded out discussion of issues such as inflation targeting versus price-level-path targeting, and the appropriate rate of increase in the price level.JEL Codes: E52, E58. Inflation Targeting: A Canadian Perspective 2012-02-09T12:41:00Z Abstract http://www.ijcb.org/journal/ijcb12q0a5.htm Full text http://www.ijcb.org/journal/ijcb12q0a5.pdf Angelo Melino Angelo Melino 2012-02 IJCB International Journal of Central Banking http://www.ijcb.org/journal/ijcb12q0a7.pdf IJCB International Journal of Central Banking by Jeff Fuhrer The Role of Expectations in Inflation Dynamics 2012-02-09T12:41:00Z This paper continues this strand of research, examining the role of survey expectations in the inflation process. It reports three principal findings: (i) short-run inflation expectations appear to have a significant role in explaining U.S. inflation over the past twenty to twenty-five years; (ii) long-run expectations generally do not appear to have a direct influence on U.S. inflation over the same period, although they enter indirectly as a key determinant of the short-run expectations (the restrictions implied by "trend inflation" models of inflation are generally rejected in the data); and (iii) the paper develops a first pass at a structural model that incorporates the features discussed above, employing a "survey operator," and assesses its performance in explaining inflation in the post-war period. JEL Codes: E31, E32. The Role of Expectations in Inflation Dynamics 2012-02-09T12:41:00Z Abstract http://www.ijcb.org/journal/ijcb12q0a7.htm Full text http://www.ijcb.org/journal/ijcb12q0a7.pdf Jeffrey C. Fuhrer Jeff Fuhrer 2012-02 IJCB International Journal of Central Banking http://www.bis.org/publ/work370.pdf Bank for International Settlements Working papers by Carlos Montoro and Liliana Rojas-Suarez Credit at times of stress: Latin American lessons from the global financial crisis 2012-02-07T12:39:00Z The financial systems in emerging market economies (EMEs) during the 2008-09 global financial crisis performed much better than in previous crisis episodes, albeit with significant differences across regions. For example, real credit growth in Asia and Latin America was less affected than in Central and Eastern Europe. This paper identifies the factors at both the country and the bank levels that contributed to the behaviour of real credit growth in Latin America during the global financial crisis. The resilience of real credit during the crisis was highly related to policies, measures and reforms implemented in the pre-crisis period. Credit at times of stress: Latin American lessons from the global financial crisis 2012-02-07T12:39:00Z BIS Abstract http://www.bis.org/publ/work370.htm Full text http://www.bis.org/publ/work370.pdf Carlos Montoro Liliana Rojas-Suarez Carlos Montoro and Liliana Rojas-Suarez 2012-02 Bank for International Settlements Working papers http://www.bis.org/publ/work369.pdf Bank for International Settlements Working papers by Claudio Borio, Mathias Drehmann and Kostas Tsatsaronis Stress-testing macro stress testing: does it live up to expectations? 2012-01-18T12:39:00Z We critically review the state of the art in macro stress testing, assessing its strengths and weaknesses. We argue that, given current technology, macro stress tests are ill-suited as early warning devices, ie as tools for identifying vulnerabilities during seemingly tranquil times and for triggering remedial action. By contrast, as long as properly designed, stress tests can be quite effective as crisis management and resolution tools. We also see additional side benefits, stemming largely from the way such tests can discipline thinking about financial stability. We suggest possible ways to improve their performance. Stress-testing macro stress testing: does it live up to expectations? 2012-01-18T12:39:00Z BIS Abstract http://www.bis.org/publ/work369.htm Full text http://www.bis.org/publ/work369.pdf Kostas Tsatsaronis Claudio Borio Mathias Drehmann Claudio Borio, Mathias Drehmann and Kostas Tsatsaronis 2012-01 Bank for International Settlements Working papers http://www.bis.org/publ/work368.pdf Bank for International Settlements Working papers by Srichander Ramaswamy The sustainability of pension schemes 2012-01-03T12:41:59Z Poor financial market returns and low long-term real interest rates in recent years have created challenges for the sponsors of defined benefit pension schemes. At the same time, lower payroll tax revenues in a period of high unemployment, and rising fiscal deficits in many advanced economies as economic activity has fallen, are also testing the sustainability of pay-as-you-go public pension schemes. Amendments to pension accounting rules that require corporations to regularly report the valuation differences between their defined benefit pension assets and plan liabilities on their balance sheet have made investors more aware of the pension risk exposure for the sponsors of such schemes. This paper sheds light on what effects these developments are having on the design of occupational pension schemes, and also provides some estimates for the post-employment benefits that could be delivered by these schemes under different sets of assumptions. The paper concludes by providing some policy perspectives. The sustainability of pension schemes 2012-01-03T12:41:59Z BIS Abstract http://www.bis.org/publ/work368.htm Full text http://www.bis.org/publ/work368.pdf Srichander Ramaswamy Srichander Ramaswamy 2012-01 Bank for International Settlements Working papers