Asia Office Publications

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

Displaying 71-80 of 183
Publication BIS Working Paper No 813 24 Sep 2019
Modelling yields at the lower bound through regime shifts
We compute steady-state economic growth - defined as the rate of growth that the economy would converge to in the absence of new shocks. This rate can be computed in real-We propose a regime-switching approach to deal with the lower bound on nominal…
Authors: Peter Hördahl and Oreste Tristani
Publication BIS Working Paper No 806 27 Aug 2019
Geographic spread of currency trading: the renminbi and other EM currencies
This paper studies the ongoing diffusion of renminbi trading across the globe, the first such research of an international currency. It analyses the distribution in offshore renminbi trading in 2013 and 2016, using comprehensive data from the Triennial…
Authors: Yin-Wong Cheung, Robert N McCauley and Chang Shu
Publication BIS Working Paper No 805 09 Aug 2019
Exchange rate puzzles: evidence from rigidly fixed nominal exchange rate systems
We examine several major exchange rate puzzles: the excess volatility of real exchange rates; their excess reaction to the real interest rate differentials; the uncovered interest rate parity (UIP) puzzle; the excess persistence of real exchange rates;…
Authors: Charles Engel and Feng Zhu
Publication BIS Working Paper No 797 25 Jul 2019
Monetary policy spillovers, capital controls and exchange rate flexibility, and the financial channel of exchange rates
We assess the empirical validity of the trilemma or impossible trinity in the 2000s for a large sample of advanced and emerging market economies. To do so, we estimate Taylor rule-type monetary policy ...
Authors: Georgios Georgiadis and Feng Zhu
Publication BIS Working Paper No 775 18 Mar 2019
Bond risk premia and the exchange rate
In emerging market economies, currency appreciation goes hand in hand with compressed sovereign bond spreads, even for local currency sovereign bonds. This yield compression comes from a reduction in the credit risk premium. Crucially, the relevant…
Authors: Boris Hofmann, Ilhyock Shim and Hyun Song Shin
Publication BIS Working Paper No 759 29 Nov 2018
Assessing inflation expectations anchoring for heterogeneous agents: analysts, businesses and trade unions
Forecasts of agents who are actively involved in the setting of prices and wages are less readily available than those of professional analysts, but may be more relevant for understanding inflation dynamics. Here we compare inflation expectations…
Authors: Ken Miyajima and James Yetman
Publication BIS Working Paper No 745 19 Sep 2018
Financial stress in lender countries and capital outflows from emerging market economies
We investigate if financial stress in countries where international banks are headquartered is a major driver of banking outflows from emerging market economies (EMEs). We find that when financial stress measured by sovereign or bank CDS spread or…
Authors: Ilhyock Shim and Kwanho Shin
Publication BIS Working Paper No 740 27 Aug 2018
The macroeconomic effects of macroprudential policy
Central banks increasingly rely on macroprudential measures to manage the financial cycle, but the effects of such policies on the core objectives of monetary policy to stabilize output and inflation are largely unknown. In this paper we quantify the…
Authors: Björn Richter, Moritz Schularick and Ilhyock Shim
Publication BIS Working Paper No 728 14 Jun 2018
Accumulation of foreign currency reserves and risk-taking
Our starting point is to ask if the accumulation of official foreign exchange reserves may have unintended consequences in the form of increased private sector risk-taking. This is a topical question, given the ...
Authors: Rasmus Fatum and James Yetman
Publication BIS Working Paper No 727 11 Jun 2018
Recent RMB policy and currency co-movements
How do the Chinese authorities fix the centre of the renminbi's daily trading band? To what extent do other emerging market currencies track renminbi moves against the dollar? Both questions interest policymakers, academics and market participants. ...
Authors: Robert N McCauley and Chang Shu

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