http://www.bis.org/list/papers/index.rss Research papers from the Bank for International Settlements, including the Quarterly Review, BIS Papers and BIS Working Papers series. en http://www.bis.org/publ/bcbs_wp21.htm Abstract of the BCBS Working Paper "Models and tools for macroprudential analysis" (Basel Committee Working Paper No. 21) - May 2012 Models and tools for macroprudential analysis 2012-05-15T07:43:00Z Models and tools for macroprudential analysis 2012-05-15T07:43:00Z BIS financial accelerator financial stability macroprudential transmission channels Financial system liquidity channel PDF version http://www.bis.org/publ/bcbs_wp21.pdf 15 May 2012 Bank for International Settlements: BCBS Working Papers 21 http://www.bis.org/publ/bcbs_wp20.htm Abstract of the BCBS Working Paper "The policy implications of transmission channels between the financial system and the real economy" (Basel Committee Working Paper No. 20) - May 2012 The policy implications of transmission channels between the financial system and the real economy 2012-05-15T07:40:00Z The policy implications of transmission channels between the financial system and the real economy 2012-05-15T07:40:00Z BIS financial accelerator financial stability macroprudential transmission channels Financial system liquidity channel PDF version http://www.bis.org/publ/bcbs_wp20.pdf 15 May 2012 Bank for International Settlements: BCBS Working Papers 20 http://www.bis.org/publ/work379.htm Abstract of BIS Working Papers No 379 When capital adequacy and interest rate policy are substitutes (and when they are not) 2012-05-07T12:32:00Z Prudential instruments are commonly seen as the tools that can be used to deliver the macroprudential policy goals of reducing the frequency and severity of financial crises. And interest rates are traditionally viewed as the means to deliver the macroeconomic stabilisation goals of low, stable inflation and sustainable, stable growth. But, at the macroeconomic level, these two sets of policy tools have quite a bit in common. We use a simple macroeconomic model to study the extent to which capital adequacy requirements and interest rates might be substitutes in meeting the objective of stabilising the economy. We find that in our model both are substitutes for achieving conventional monetary policy objectives. In addition, we show that, in principle, they can both be used to meet financial stability objectives. This implies a need to coordinate the use of macroprudential and traditional monetary policy tools, a need that has clear implications for the construction of the policy framework designed to deliver the joint objectives of macroeconomic and financial stability. When capital adequacy and interest rate policy are substitutes (and when they are not) 2012-05-07T12:32:00Z BIS monetary policy financial stability policy capital adequacy policy PDF version http://www.bis.org/publ/work379.pdf Stephen G Cecchetti Cecchetti Mr Economic Adviser, Head of Monetary and Economic Department Bank for International Settlements Marion Kohler Kohler Ms Senior Economist Stephen G Cecchetti and Marion Kohler 7 May 2012 Bank for International Settlements: Working Papers 379 E5 G2 http://www.bis.org/publ/bcbs219.htm Abstract of "Fundamental review of the trading book - consultative document", May 2012 This consultative document sets out a revised market risk framework and proposes a number of specific measures to improve trading book capital requirements. These proposals reflect the Committee's increased focus on achieving a regulatory framework that can be implemented consistently by supervisors and which achieves comparable levels of capital across jurisdictions. Fundamental review of the trading book - consultative document 2012-05-03T10:00:00Z This consultative document sets out a revised market risk framework and proposes a number of specific measures to improve trading book capital requirements. These proposals reflect the Committee's increased focus on achieving a regulatory framework that can be implemented consistently by supervisors and which achieves comparable levels of capital across jurisdictions. Fundamental review of the trading book - consultative document 2012-05-03T10:00:00Z BIS Basel II PDF version http://www.bis.org/publ/bcbs219.pdf 3 May 2012 Bank for International Settlements: BCBS Publications http://www.bis.org/publ/work378.htm Abstract of BIS Working Papers No 378 Ensuring price stability in post-crisis Asia: lessons from the recovery 2012-04-19T08:36:00Z 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 2012-04-19T08:36:00Z BIS central banking commodity prices monetary policy frameworks in Aisa international financial crisis financial stability and monetary policy PDF version http://www.bis.org/publ/work378.pdf Andrew Filardo Filardo Mr Head of Economics for Asia & the Pacific Bank for International Settlements Andrew Filardo 19 Apr 2012 Bank for International Settlements: Working Papers 378 E5 E6 E3 F4 http://www.bis.org/publ/cpss101.htm Abstract of "Principles for financial market infrastructures, assessment methodology and disclosure framework", April 2012 Principles for financial market infrastructures, assessment methodology and disclosure framework 2012-04-16T08:00:00Z The report Principles for financial market infrastructures contains new and more demanding international standards for payment, clearing and settlement systems, including central counterparties. Issued by the CPSS and the International Organization of Securities Commissions (IOSCO), the new standards (called "principles") are designed to ensure that the infrastructure supporting global financial markets is more robust and thus well placed to withstand financial shocks. At the same time as publishing the final version of the principles, CPSS and IOSCO have issued two related documents for public consultation, namely an assessment methodology and a disclosure framework for these new principles. Principles for financial market infrastructures, assessment methodology and disclosure framework 2012-04-16T08:00:00Z BIS 16 Apr 2012 Bank for International Settlements: CPSS Publications 101 http://www.bis.org/publ/bcbs218.htm Abstract of "Peer review of supervisory authorities' implementation of stress testing principles", April 2012. Stress testing is an important tool used by banks to identify the potential for unexpected adverse outcomes across a range of risks and scenarios. In 2009, the Committee reviewed the performance of stress testing practices during the financial crisis and published recommendations for banks and supervisors entitled Principles for sound stress testing practices and supervision. As part of its mandate to assess the implementation of standards across countries and to foster the promotion of good supervisory practice, the Committee's Standards Implementation Group (SIG) conducted a peer review during 2011 of supervisory authorities' implementation of the principles. The review found that ... Peer review of supervisory authorities' implementation of stress testing principles 2012-04-13T11:50:00Z Stress testing is an important tool used by banks to identify the potential for unexpected adverse outcomes across a range of risks and scenarios. In 2009, the Committee reviewed the performance of stress testing practices during the financial crisis and published recommendations for banks and supervisors entitled Principles for sound stress testing practices and supervision. As part of its mandate to assess the implementation of standards across countries and to foster the promotion of good supervisory practice, the Committee's Standards Implementation Group (SIG) conducted a peer review during 2011 of supervisory authorities' implementation of the principles. The review found that stress testing has become a key component of the supervisory assessment process as well as a tool for contingency planning and communication. Countries are, however, at varying stages of maturity in the implementation of the principles; as a result, more work remains to be done to fully implement the principles in many countries. Overall, the review found the 2009 stress testing principles to be generally effective. The Committee, however, will continue to monitor implementation of the principles and determine whether, in the future, additional guidance might be necessary. Peer review of supervisory authorities' implementation of stress testing principles 2012-04-13T11:50:00Z BIS Stress testing implementation peer review PDF version http://www.bis.org/publ/bcbs218.pdf 13 Apr 2012 Bank for International Settlements: BCBS Publications http://www.bis.org/publ/work377.htm Abstract of BIS Working Papers No 377 Rapid credit growth and international credit: Challenges for Asia 2012-04-12T14:44:00Z 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 2012-04-12T14:44:00Z BIS emerging markets international credit credit booms cross-border lending PDF version http://www.bis.org/publ/work377.pdf Stefan Avdjiev Avdjiev Mr Economist Bank for International Settlements Robert N McCauley McCauley Mr Senior Advisor Bank for International Settlements Patrick McGuire McGuire Mr Senior Economist Bank for International Settlements Stefan Avdjiev, Robert N McCauley and Patrick McGuire 12 Apr 2012 Bank for International Settlements: Working Papers 377 E32 F34 F43 http://www.bis.org/publ/bcbs217.htm Abstract of "Results of the Basel III monitoring exercise as of 30 June 2011", April 2012. This report summarises the aggregate results of the latest Basel III monitoring exercise, using data as of 30 June 2011. The Committee believes that the information contained in the report will provide the relevant stakeholders with a useful benchmark for analysis. Results of the Basel III monitoring exercise as of 30 June 2011 2012-04-12T13:00:00Z This report summarises the aggregate results of the latest Basel III monitoring exercise, using data as of 30 June 2011. The Committee believes that the information contained in the report will provide the relevant stakeholders with a useful benchmark for analysis. Results of the Basel III monitoring exercise as of 30 June 2011 2012-04-12T13:00:00Z BIS QIS basel iii impact PDF version http://www.bis.org/publ/bcbs217.pdf 12 Apr 2012 Bank for International Settlements: BCBS Publications http://www.bis.org/publ/work376.htm Abstract of BIS Working Papers No 376 Systemic risk in global banking: what can available data tell us and what more data are needed? 2012-04-11T07:27:00Z 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? 2012-04-11T07:27:00Z BIS vulnerabilities contagion banking system Systemic risks international PDF version http://www.bis.org/publ/work376.pdf Eugenio Cerutti Cerutti Mr International Monetary Fund Stijn Claessens Claessens Mr International Monetary Fund Patrick McGuire McGuire Mr Senior Economist Bank for International Settlements Eugenio Cerutti, Stijn Claessens and Patrick McGuire 11 Apr 2012 Bank for International Settlements: Working Papers 376 G15 G18 F21 Y1 F34 http://www.bis.org/publ/work375.htm Abstract of BIS Working Papers No 375 Loan loss provisioning practices of Asian banks 2012-04-05T11:39:00Z 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 2012-04-05T11:39:00Z BIS macroprudential policy loan loss provisioning financial system procyclicality international accounting standards earnings smoothing PDF version http://www.bis.org/publ/work375.pdf Frank Packer Packer Mr Head of Financial Stability and Markets for Asia & the Pacific Bank for International Settlements Haibin Zhu Zhu Mr Senior Economist Bank for International Settlements Frank Packer and Haibin Zhu 5 Apr 2012 Bank for International Settlements: Working Papers 375 G21 G28 http://www.bis.org/ifc/publ/ifcwork08.htm Abstract of Irving Fisher Committee Working Papers No 8 Residency/Local and Nationality/Global Views of Financial Positions 2012-04-04T12:24:00Z Residency/Local and Nationality/Global Views of Financial Positions 2012-04-04T12:24:00Z BIS PDF version http://www.bis.org/ifc/publ/ifcwork08.pdf 4 Apr 2012 Bank for International Settlements: IFC Working Papers 8 http://www.bis.org/publ/bcbs216.htm Abstract of "Basel III regulatory consistency assessment programme", April 2011. Full, timely and consistent implementation of Basel III is fundamental to raising the resilience of the global banking system, in maintaining market confidence in regulatory ratios and in providing a level playing field. The benefits of the recent round of regulatory reforms will not be realised without implementation. To aid the implementation process, members of the Basel Committee have agreed on ... Basel III regulatory consistency assessment programme 2012-04-03T13:00:00Z Full, timely and consistent implementation of Basel III is fundamental to raising the resilience of the global banking system, in maintaining market confidence in regulatory ratios and in providing a level playing field. The benefits of the recent round of regulatory reforms will not be realised without implementation. To aid the implementation process, members of the Basel Committee have agreed on an assessment programme that will review and report on their implementation of Basel III. The assessment programme will be conducted on three levels: Level 1: ensuring the timely adoption of Basel III; Level 2: ensuring regulatory consistency with Basel III; and Level 3: ensuring consistency of risk-weighted asset outcomes. This document describes the Level 2 review programme, which utilises a peer review process to assess the compliance of individual jurisdiction's domestic regulations with the international minimum requirements defined by the Basel Committee. By identifying domestic regulations and provisions that are not consistent with the rules agreed by the Committee and by assessing and reporting on their impact on financial stability and on the international level playing field, this programme is intended to promote full and consistent implementation of Basel III. It will also facilitate an effective dialogue among members and to provide peer pressure if needed. Basel III regulatory consistency assessment programme 2012-04-03T13:00:00Z BIS basel iii implementation country review PDF version http://www.bis.org/publ/bcbs216.pdf 3 Apr 2012 Bank for International Settlements: BCBS Publications http://www.bis.org/publ/bcbs215.htm Abstract of "Progress report on Basel III implementation (update published in April 2012)", April 2011. This updated Progress report on Basel III implementation provides a high-level view of Basel Committee members' progress in adopting Basel II, Basel 2.5 and Basel III, as of end March 2012. It focuses on the status of domestic rule-making processes to ensure that the Committee's capital standards are transformed into national law or regulation according to the internationally agreed timeframes. The Committee believes that disclosure will provide additional incentive for members to fully comply with the international agreements. This report updates the Committee's October 2011 progress report. Progress report on Basel III implementation (update published in April 2012) 2012-04-03T10:53:00Z This updated Progress report on Basel III implementation provides a high-level view of Basel Committee members' progress in adopting Basel II, Basel 2.5 and Basel III, as of end March 2012. It focuses on the status of domestic rule-making processes to ensure that the Committee's capital standards are transformed into national law or regulation according to the internationally agreed timeframes. The Committee believes that disclosure will provide additional incentive for members to fully comply with the international agreements. This report updates the Committee's October 2011 progress report. Progress report on Basel III implementation (update published in April 2012) 2012-04-03T10:53:00Z BIS basel iii implementation PDF version http://www.bis.org/publ/bcbs215.pdf 3 Apr 2012 Bank for International Settlements: BCBS Publications http://www.bis.org/publ/bppdf/bispap64.htm The Bank for International Settlements (BIS) and the Monetary Authority of Singapore (MAS) jointly organised a workshop on property markets and financial stability in Singapore on 5 September 2011. The workshop aimed to bring together academics and researchers at central banks, regulatory agencies and international organisations to present and discuss ongoing theoretical and empirical work in the field. In response to their call for papers, the organisers received 67 submissions from central banks, public agencies, international organisations and academic institutions. From these, a paper selection committee comprising staff of the BIS, the MAS and academia chose seven papers organised around the following four themes: (1) lessons from the crisis; (2) house price assessment; (3) housing booms and busts; and (4) property, credit and markets. Property markets and financial stability 2012-03-29T08:43:00Z The Bank for International Settlements (BIS) and the Monetary Authority of Singapore (MAS) jointly organised a workshop on property markets and financial stability in Singapore on 5 September 2011. The workshop aimed to bring together academics and researchers at central banks, regulatory agencies and international organisations to present and discuss ongoing theoretical and empirical work in the field. In response to their call for papers, the organisers received 67 submissions from central banks, public agencies, international organisations and academic institutions. From these, a paper selection committee comprising staff of the BIS, the MAS and academia chose seven papers organised around the following four themes: (1) lessons from the crisis; (2) house price assessment; (3) housing booms and busts; and (4) property, credit and markets. Property markets and financial stability 2012-03-29T08:43:00Z BIS PDF version http://www.bis.org/publ/bppdf/bispap64.pdf 29 Mar 2012 Bank for International Settlements: BIS Papers 64 E30 R31 R21 E58 E44