Working Papers - last 12 months

BIS Working Papers are written by economists from the BIS and, occasionally, from central banks or academic institutions. Some of these papers have been presented at BIS meetings or at events organised by other organisations. The views expressed in them are those of the authors and not necessarily those of the BIS.

Date Titles
Feb 2018
No 705

An explanation of negative swap spreads: demand for duration from underfunded pension plans

by Sven Klingler and Suresh Sundaresan

Feb 2018
No 704

Are credit rating agencies discredited? Measuring market price effects from agency sovereign debt announcements

by Mahir Binici, Michael M Hutchison and Evan Weicheng Miao

Feb 2018
No 703

The negative interest rate policy and the yield curve

by Dora Xia and Jing Cynthia Wu

Feb 2018
No 702

Cross-stock market spillovers through variance risk premiums and equity flows

by Masazumi Hattori, Ilhyock Shim and Yoshihiko Sugihara

Feb 2018
No 701

Mapping shadow banking in China: structure and dynamics

by Torsten Ehlers, Steven Kong and Feng Zhu

Feb 2018
No 700

The perils of approximating fixed-horizon inflation forecasts with fixed-event forecasts

by James Yetman

Feb 2018
No 699

Deflation expectations

by Ryan Niladri Banerjee and Aaron Mehrotra

Feb 2018
No 698

Money and trust: lessons from the 1620s for money in the digital age

by Isabel Schnabel and Hyun Song Shin

Feb 2018
No 697

Are banks opaque? Evidence from insider trading

by Fabrizio Spargoli and Christian Upper

Jan 2018
No 696

Monetary policy spillovers, global commodity prices and cooperation

by Andrew Filardo, Marco Jacopo Lombardi, Carlos Montoro and Massimo Ferrari

Jan 2018
No 695

The dollar exchange rate as a global risk factor: evidence from investment

by Stefan Avdjiev, Valentina Bruno, Catherine Koch and Hyun Song Shin

Jan 2018
No 694

Exchange rates and the working capital channel of trade fluctuations

by Valentina Bruno, Se-Jik Kim and Hyun Song Shin

Jan 2018
No 693

Family first? Nepotism and corporate investment

by Gianpaolo Parise, Fabrizio Leone and Carlo Sommavilla

Jan 2018
No 692

Central bank forward guidance and the signal value of market prices

by Stephen Morris and Hyun Song Shin

Jan 2018
No 691

Effectiveness of unconventional monetary policies in a low interest rate environment

by Andrew Filardo and Jouchi Nakajima

Jan 2018
No 690

Nonlinear state and shock dependence of exchange rate pass through on prices

by Hernán Rincón-Castro and Norberto Rodríguez-Niño

Jan 2018
No 689

Estimating unknown arbitrage costs: evidence from a three-regime threshold vector error correction model

by Kristyna Ters and Jörg Urban

Jan 2018
No 688

Global factors and trend inflation

by Güneş Kamber and Benjamin Wong

Jan 2018
No 687

Searching for yield abroad: risk-taking through foreign investment in U.S. bonds

by John Ammer, Stijn Claessens, Alexandra Tabova and Caleb Wroblewski

Jan 2018
No 686

Determinants of bank profitability in emerging markets

by Emanuel Kohlscheen, Andrés Murcia Pabón and Julieta Contreras

Dec 2017
No 685

Why so low for so long? A long-term view of real interest rates

by Claudio Borio, Piti Disyatat, Mikael Juselius and Phurichai Rungcharoenkitkul

Dec 2017
No 684

Triffin: dilemma or myth?

by Michael Bordo and Robert N McCauley

Dec 2017
No 683

Can macroprudential measures make cross-border lending more resilient?

by Előd Takáts and Judit Temesvary

Dec 2017
No 682

Bank business models: popularity and performance

by Rungporn Roengpitya, Nikola Tarashev, Kostas Tsatsaronis and Alan Villegas

Dec 2017
No 681

Corporate leverage in EMEs: did the global financial crisis change the determinants?

by Snehal S Herwadkar

Dec 2017
No 680

The macroeconomic effects of asset purchases revisited

by Henning Hesse, Boris Hofmann and James Weber

Dec 2017
No 679

Syndicated loans and CDS positioning

by Iñaki Aldasoro and Andreas Barth

Nov 2017
No 678

CoCo issuance and bank fragility

by Stefan Avdjiev, Bilyana Bogdanova, Patrick Bolton, Wei Jiang and Anastasia Kartasheva

Nov 2017
No 677

Macroeconomic implications of financial imperfections: a survey

by Stijn Claessens and M Ayhan Kose

Nov 2017
No 676

Asset prices and macroeconomic outcomes: a survey

by Stijn Claessens and M Ayhan Kose

Nov 2017
No 675

Macroprudential Policies in Peru: The effects of Dynamic Provisioning and Conditional Reserve Requirements

by Elias Minaya, José Lupú and Miguel Cabello

Nov 2017
No 674

Credit supply responses to reserve requirement: loan-level evidence from macroprudential policy

by João Barata R B Barroso, Rodrigo Barbone Gonzalez and Bernardus F Nazar Van Doornik

Nov 2017
No 673

Loan-to-value policy and housing finance: effects on constrained borrowers

by Douglas Kiarelly Godoy de Araujo, João Barata R B Barroso and Rodrigo Barbone Gonzalez

Nov 2017
No 672

Capital and currency-based macroprudential policies: an evaluation using credit registry data

by Horacio A Aguirre and Gastón Repetto

Nov 2017
No 671

Capital misallocation and financial development: A sector-level analysis

by Daniela Marconi and Christian Upper

Nov 2017
No 670

Policy Rules for Capital Controls

by Gurnain Kaur Pasricha

Nov 2017
No 669

Credit misallocation during the European financial crisis

by Fabiano Schivardi, Enrico Sette and Guido Tabellini

Oct 2017
No 668

Financial and real shocks and the effectiveness of monetary and macroprudential policies in Latin American countries

by Javier Garcia-Cicco, Markus Kirchner, Julio Carrillo, Diego Rodríguez, Fernando Perez, Rocío Gondo, Carlos Montoro and Roberto Chang

Oct 2017
No 667

Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors

by Todd E Clark, Michael W McCracken and Elmar Mertens

Oct 2017
No 666

Bank capital allocation under multiple constraints

by Tirupam Goel, Ulf Lewrick and Nikola Tarashev