Asia Office Publications

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

Displaying 101-110 of 183
Publication BIS Working Paper No 579 12 Sep 2016
Regional pull vs global push factors: China and US influence on Asia-Pacific financial markets
This paper compares spillovers from the US and Chinese financial markets to the rest of Asia-Pacific. Structural VAR analysis points to the growing influence of Chinese equities and currency movements. In normal times China's influence in the equity…
Authors: Chang Shu, Dong He, Jinyue Dong and Honglin Wang
Publication BIS Working Paper No 574 04 Aug 2016
Low long-term interest rates as a global phenomenon
International linkages between interest rates in different currencies are strong, and ultra-low rates have become a global phenomenon. This paper compares how interest rates in advanced economies and in emerging economies are conditioned by two global…
Authors: Peter Hördahl, Jhuvesh Sobrun and Philip Turner
Publication BIS Working Paper No 567 13 Jun 2016
Understanding the changing equilibrium real interest rates in Asia-Pacific
This paper studies the evolution of the equilibrium real interest rate (ie natural or neutral interest rate) in Asia-Pacific. I take an empirical approach to estimate the rate, simple estimates suggest that except for China, and Thailand since 2005, the…
Author: Feng Zhu
Publication BIS Working Paper No 538 18 Jan 2016
Sovereign yields and the risk-taking channel of currency appreciation
Currency appreciation goes hand in hand with easier financial conditions and compressed sovereign bond spreads, even for local currency sovereign bonds. This yield compression comes from a ...
Authors: Boris Hofmann, Ilhyock Shim and Hyun Song Shin
Publication BIS Working Paper No 533 24 Dec 2015
Managing price and financial stability objectives - what can we learn from the Asia-Pacific region?
The international financial crisis led many central banks to adopt explicit financial stability objectives. This raises the question of how central banks deal with policy trade-offs resulting from potential conflicts between price and financial stability…
Authors: Soyoung Kim and Aaron Mehrotra
Publication BIS Working Paper No 527 13 Nov 2015
Expectations and risk premia at 8:30am: Macroeconomic announcements and the yield curve
We investigate the movements of the yield curve after the release of major U.S. macroeconomic announcements through the lenses of an arbitrage-free dynamic term structure model with macroeconomic fundamentals. Combining estimated yield responses obtained…
Authors: Peter Hördahl, Eli M Remolona and Giorgio Valente
Publication BIS Working Paper No 523 16 Oct 2015
The evolution of inflation expectations in Canada and the US
We model inflation forecasts as monotonically diverging from an estimated long-run anchor point towards actual inflation as the forecast horizon shortens. Fitting the model with forecaster-level data for Canada and the US, we identify three key…
Author: James Yetman
Publication BIS Working Paper No 519 09 Oct 2015
The hunt for duration: not waving but drowning?
Long-term interest rates in Europe fell sharply in 2014 to historically low levels. This development is often attributed to yield-chasing in anticipation of quantitative easing (QE) by the European Central Bank (ECB). We examine how portfolio adjustments…
Authors: Dietrich Domanski, Hyun Song Shin and Vladyslav Sushko
Publication BIS Working Paper No 509 24 Aug 2015
Investor redemptions and fund manager sales of emerging market bonds: how are they related?
Lending to emerging market economies (EMEs) through bond purchases has surged since 2009. What are the risks of a sudden stop? Bond mutual funds may curtail credit through two channels. The first is redemptions by ultimate investors. The second is…
Authors: Jimmy Shek, Ilhyock Shim and Hyun Song Shin
Publication BIS Working Paper No 502 11 Jun 2015
Comparative assessment of macroprudential policies
This paper provides a comparative assessment of the effectiveness of macroprudential policies in 12 Asia-Pacific economies, using comprehensive databases of domestic macroprudential policies and capital flow management (CFM) policies. We find that banking…
Authors: Valentina Bruno, Ilhyock Shim and Hyun Song Shin

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