Asia Office Publications

Browse through the latest publications produced by, or in collaboration with, the Asia Office.

Displaying 31-40 of 184
Publication BIS Working Paper No 1114 04 Aug 2023
The term structure of inflation forecasts disagreement and monetary policy transmission
The term structure of inflation forecasts disagreement in the US can be summarized by two components: disagreement about the trend inflation, and disagreement about the cyclical inflation. While the former has identical impacts on forecasts disagreement…
Authors: Alessandro Barbera, Dora Xia and Sonya Zhu
Publication BIS Working Paper No 1105 08 Jun 2023
The demand for government debt
We document that the sectoral composition and marginal buyers of government debt differ notably across jurisdictions and over time. We use instrumental variables derived from monetary policy surprises to estimate the demand elasticities of various sectors…
Authors: Egemen Eren, Andreas Schrimpf and Dora Xia
Publication BIS Working Paper No 1105 08 Jun 2023
The demand for government debt
We document that the sectoral composition and marginal buyers of government debt differ notably across jurisdictions and have evolved significantly over time. Focusing on the United States, we estimate the yield elasticity of demand across sectors using…
Authors: Egemen Eren, Andreas Schrimpf and Dora Xia
Publication BIS Working Paper No 1084 17 Mar 2023
Big tech credit and monetary policy transmission: micro-level evidence from China
This paper studies monetary policy transmission through BigTech and traditional banks. By comparing business loans made by a BigTech bank with those made by traditional banks, it finds that BigTech credit amplifies monetary policy transmission mainly…
Authors: Yiping Huang, Xiang Li, Han Qiu and Changhua Yu
Publication BIS Working Paper No 1068 25 Jan 2023
Forecasting swap rate volatility with information from swaptions
We examine the predictability of the model-free implied volatility from swaptions on future realized volatility of the underlying swap rates. The model-free implied volatility demonstrates significant predictability on future realized volatility of swap…
Authors: Amanda Liu and Jinming Xie
Publication BIS Working Paper No 1057 13 Dec 2022
Macro-financial stability frameworks: experience and challenges
Since the 2008–9 Great Financial Crisis, major advanced economies (AEs) have used monetary and macroprudential policies to achieve macroeconomic and financial stability. Emerging market economies (EMEs) have, in addition, combined interest rate…
Authors: Claudio Borio, Ilhyock Shim and Hyun Song Shin
Publication 31 Oct 2022
Foreign exchange markets in Asia-Pacific
A report by a Study Group established by the Asian Consultative Council of the Bank for International Settlements. Under the direction of the Asian Consultative Council of the BIS, in April 2021 the BIS Representative Office for Asia and the Pacific…
Publication BIS Working Paper No 1045 25 Oct 2022
The term structure of carbon premia
This paper explores a carbon premium – the extra yield investors demand to buy bonds issued by firms with more greenhouse gas emissions – in the US corporate bond market. We analyse a carbon premium along two channels, via panel regression…
Authors: Dora Xia and Omar Zulaica
Publication BIS Working Paper No 1038 01 Sep 2022
Building portfolios of sovereign securities with decreasing carbon footprints
We propose a strategy to build portfolios of sovereign securities with progressively declining carbon footprints. Passive investors could use it as a new Paris-consistent benchmark to construct a "net zero" (NZ) portfolio while tracking closely the risk…
Authors: Gong Cheng, Eric Jondeau and Benoit Mojon
Publication BIS Working Paper No 1034 19 Jul 2022
Debt sustainability and monetary policy: the case of ECB asset purchases
We incorporate monetary policy into a model of stochastic debt sustainability analysis and evaluate the impact of unconventional policies on sovereign debt dynamics. The model optimizes debt financing to trade off financing cost with refinancing risk.
Authors: Enrique Alberola-Ila, Gong Cheng, Andrea Consiglio and Stavros A Zenios

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