Asia Office Publications

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

Displaying 61-70 of 183
Publication BIS Bulletin No 18 20 May 2020
EME bond portfolio flows and long-term interest rates during the Covid-19 pandemic
Bond portfolio outflows from emerging market economies (EMEs) are typically associated with currency depreciation and rising domestic long-term interest rates. This relationship asserted itself in a particularly stark way during the Covid-19 crisis in mid…
Authors: Peter Hördahl and Ilhyock Shim
Publication BIS Bulletin No 17 19 May 2020
On health and privacy: technology to combat the pandemic
Technology has been harnessed in the fight against the Covid-19 pandemic, eg to administer remote medical consultations, analyse aggregate movements and track paths of contact. Successful applications are predicated on broad public support. They must…
Authors: Carlos Cantú, Gong Cheng, Sebastian Doerr, Jon Frost and Leonardo Gambacorta
Publication BIS Bulletin No 14 12 May 2020
US dollar funding markets during the Covid-19 crisis - the money market fund turmoil
Short-term dollar funding markets experienced severe dislocations in mid-March 2020, with funding diverted from unsecured funding markets as investors withdrew and switched to secured funding markets and government MMFs. Outflows from US prime MMFs led to…
Authors: Egemen Eren, Andreas Schrimpf and Vladyslav Sushko
Publication BIS Bulletin No 15 12 May 2020
US dollar funding markets during the Covid-19 crisis - the international dimension
Dislocations in domestic US dollar money markets reverberated globally. Non-US banks lost a substantial part of funding from money market funds and had to borrow at shorter maturities. Nevertheless, the severity of dollar funding strains varied…
Authors: Egemen Eren, Andreas Schrimpf and Vladyslav Sushko
Publication BIS Working Paper No 856 14 Apr 2020
Volatility spillovers and capital buffers among the G-SIBs
We assess the dynamics of volatility spillovers among global systemically important banks (G-SIBs). We measure spillovers using vector-autoregressive models of range volatility of the equity prices of G-SIBs, together with machine learning methods. We…
Authors: Paul D McNelis and James Yetman
Publication BIS Bulletin No 5 07 Apr 2020
Emerging market economy exchange rates and local currency bond markets amid the Covid-19 pandemic
Borrowing through domestic currency bonds has not insulated emerging market economies (EMEs) from the financial shock unleashed by Covid-19; EME local currency bond spreads spiked amid sharp currency depreciations and capital outflows. Portfolio investors…
Authors: Boris Hofmann, Ilhyock Shim and Hyun Song Shin
Publication BIS Bulletin No 2 02 Apr 2020
Leverage and margin spirals in fixed income markets during the Covid-19 crisis
For a two-week period in mid-March 2020, government bond markets experienced uncharacteristic turbulence, sometimes selling off sharply in risk-off episodes when they would normally attract safe haven flows. Evidence in the US Treasury market points to…
Authors: Andreas Schrimpf, Hyun Song Shin and Vladyslav Sushko
Publication BIS Working Paper No 836 13 Jan 2020
FX spot and swap market liquidity spillovers
We study the joint evolution of foreign exchange (FX) spot and swap market liquidity. Trading in FX swaps exceeds that of spot, yet this market segment has been largely ignored in prior research on liquidity in FX markets.
Authors: Ingomar Krohn and Vladyslav Sushko
Publication BIS Working Paper No 830 17 Dec 2019
De jure benchmark bonds
Benchmark bonds help to improve market efficiency. They seem to arise spontaneously in deep and liquid markets. Can governments help to create them where markets are too small?
Authors: Eli M Remolona and James Yetman
Publication BIS Working Paper No 814 27 Sep 2019
Interest rate spillovers from the United States: expectations, term premia and macro-financial vulnerabilities
We analyse how movements in the components of sovereign bond yields in the United States affect long-term rates in 10 advanced and 21 emerging economies. The paper documents significant global spillovers from both the expectations and term premia…
Authors: Aaron Mehrotra, Richhild Moessner and Chang Shu

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