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Bank of England
(62 results)-
White Papers
Forecasting In The Presence Of Recent Structural Change
December 1, 2010, 12:00am PST
The authors examine how to forecast after a recent break. They consider monitoring for change and then combining forecasts from models that do and do not use data before the change; and robust...
Provided by Bank of England
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White Papers
Monetary Policy, Capital Inflows And The Housing Boom
November 1, 2010, 12:00am PDT
A range of hypotheses have been put forward to explain the boom in house prices that occurred in the United States from the mid-1990s to 2007. This paper considers the relative importance of two...
Provided by Bank of England
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White Papers
The Impact Of Payment Splitting On Liquidity Requirements In RTGS
October 1, 2010, 12:00am PDT
This paper examines the impact that payment splitting could have upon the liquidity requirements and efficiency of a large-value payment system, such as the United Kingdom's CHAPS. Using the Bank...
Provided by Bank of England
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White Papers
Monetary Policy Rules And Foreign Currency Positions
October 1, 2010, 12:00am PDT
Using an endogenous portfolio choice model, this paper examines how different monetary policy regimes can lead to different foreign currency positions by changing the cyclical properties of the...
Provided by Bank of England
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White Papers
DSGE Model Restrictions For Structural VAR Identification
October 1, 2010, 12:00am PDT
The identification of reduced-form VAR model had been the subject of numerous debates in the literature. Different sets of identifying assumptions can lead to very different conclusions in the...
Provided by Bank of England
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White Papers
Changes In The Transmission Of Monetary Policy: Evidence From A Time-Varying Factor-Augmented VAR
October 1, 2010, 12:00am PDT
This paper re-examines the evolution of the US monetary transmission mechanism using an empirical framework that incorporates substantially more information than the standard tri-variate VAR model...
Provided by Bank of England
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White Papers
Liquidity-Saving Mechanisms And Bank Behaviour
July 1, 2010, 12:00am PDT
This paper investigates the effect of Liquidity-Saving Mechanisms (LSMs) in interbank payment systems. The authors model a stylized two-stream payment system where banks choose how much liquidity...
Provided by Bank of England
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White Papers
Liquidity Costs And Tiering In Large-Value Payment Systems
July 1, 2010, 12:00am PDT
This paper develops and simulates a model of the emergence of networks in an interbank, RTGS payment system. A number of banks, faced with random streams of payment orders, choose whether to link...
Provided by Bank of England
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White Papers
The Sterling Unsecured Loan Market During 2006 - 08: Insights From Network Theory
July 1, 2010, 12:00am PDT
The authors model the unsecured overnight market in the United Kingdom as a network of relationships and examine how the structure has changed over the recent period of crisis. Using established...
Provided by Bank of England
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White Papers
Evolving Macroeconomic Dynamics In A Small Open Economy: An Estimated Markov-Switching DSGE Model For The United Kingdom
July 1, 2010, 12:00am PDT
This paper carries out a systematic investigation into the possibility of structural shifts in the UK economy using a Markov-switching Dynamic Stochastic General Equilibrium (DSGE) model. The...
Provided by Bank of England
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White Papers
Using Estimated Models To Assess Nominal And Real Rigidities In The United Kingdom
July 1, 2010, 12:00am PDT
This paper aims to contribute to the understanding of inflation dynamics in the United Kingdom by estimating two dynamic stochastic general equilibrium models and assessing the role of nominal and...
Provided by Bank of England
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White Papers
The Financial Market Impact Of Quantitative Easing
August 1, 2010, 12:00am PDT
As part of its response to the global banking crisis and a sharp downturn in domestic economic prospects, the Bank of England's Monetary Policy Committee (MPC) began a program of large-scale asset...
Provided by Bank of England
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White Papers
Time-Varying Inflation Expectations And Economic Fluctuations In The United Kingdom: A Structural VAR Analysis
June 1, 2010, 12:00am PDT
This paper examines how the interaction between inflation expectations and nominal and real macroeconomic variables has evolved for the United Kingdom over the post-WWII period until 2007. The...
Provided by Bank of England
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White Papers
Deep Habits And The Cyclical Behaviour Of Equilibrium Unemployment And Vacancies
June 1, 2010, 12:00am PDT
The authors extend the standard textbook search and matching model by introducing deep habits in consumption. The cyclical fluctuations of vacancies and unemployment in the model can replicate...
Provided by Bank of England
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White Papers
Liquidity-Saving Mechanisms In Collateral-Based RTGS Payment Systems
June 1, 2010, 12:00am PDT
This paper studies banks' incentives regarding the timing of payment submissions in a collateral-based RTGS payment system and how these incentives change with the introduction of a...
Provided by Bank of England
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White Papers
Evolving UK Macroeconomic Dynamics: A Time-Varying Factor Augmented VAR
March 1, 2010, 12:00am PST
Changes in monetary policy and shifts in dynamics of the macro economy are typically described using empirical models that only include a limited amount of information. Examples of such models...
Provided by Bank of England
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White Papers
Imperfect Credit Markets: Implications For Monetary Policy
March 1, 2010, 12:00am PST
The authors develop a model for monetary policy analysis that features significant feedback from asset prices to macroeconomic quantities. The feedback is caused by credit market imperfections,...
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White Papers
The Geographical Composition Of National External Balance Sheets: 1980 - 2005
March 1, 2010, 12:00am PST
This paper constructs a data set on stocks of bilateral external assets and liabilities for a group of 18 countries, including developed and emerging economies. The data set covers the years 1980...
Provided by Bank of England
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White Papers
Contagion In Financial Networks
March 1, 2010, 12:00am PST
This paper develops an analytical model of contagion in financial networks with arbitrary structure. The authors explore how the probability and potential impact of contagion is influenced by...
Provided by Bank of England
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White Papers
Time-Varying Dynamics Of The Real Exchange Rate. A Structural VAR Analysis
March 1, 2010, 12:00am PST
This paper is to explore the evolution of real exchange rate dynamics over time. The authors use a time-varying structural vector auto regression to investigate the role of demand, supply and...
Provided by Bank of England
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White Papers
Evaluating And Estimating A DSGE Model For The United Kingdom
March 1, 2010, 12:00am PST
The authors build a small open economy dynamic stochastic general equilibrium model, featuring many types of nominal and real frictions that have become standard in the literature. In an attempt...
Provided by Bank of England
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White Papers
International Spillover Effects And Monetary Policy Activism
November 1, 2009, 12:00am PDT
This paper examines how the preferences of a large economy's central bank affect the trade-off between output and inflation volatility faced by the central bank of a small open economy by...
Provided by Bank of England
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White Papers
Endogenous Choice Of Bank Liquidity: The Role Of Fire Sales
November 1, 2009, 12:00am PDT
Banks' liquidity is a crucial determinant of the adversity of banking crises. In this paper, the authors consider the effect of fire sales and entry during crises on banks' ex-ante choice of...
Provided by Bank of England
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White Papers
How Do Different Models Of Foreign Exchange Settlement Influence The Risks And Benefits Of Global Liquidity Management?
August 1, 2009, 12:00am PDT
Large, international banking groups have sought to centralize their cross-currency liquidity management: liquidity shortages in one currency are financed using liquidity surpluses in another...
Provided by Bank of England
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White Papers
International Financial Transmission: Emerging And Mature Markets
August 1, 2009, 12:00am PDT
With an increasingly integrated global financial system, the authors frequently observe that shocks to individual asset markets affect financial markets worldwide. The aim of this paper is to...
Provided by Bank of England
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White Papers
Funding Liquidity Risk In A Quantitative Model Of Systemic Stability
June 1, 2009, 12:00am PDT
The authors demonstrate how the introduction of liability-side feedbacks affects the properties of a quantitative model of systemic risk. The model is known as RAMSI and is still in its...
Provided by Bank of England
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White Papers
Payment Systems, Inside Money And Financial Intermediation
June 1, 2009, 12:00am PDT
The authors assess the impact of introducing an efficient payment system on financial intermediation. Two channels are investigated. Innovations in wholesale payments technology enhance the...
Provided by Bank of England
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White Papers
Banks~ Intraday Liquidity Management During Operational Outages: Theory And Evidence From The UK Payment System
June 1, 2009, 12:00am PDT
The authors investigate how settlement banks in CHAPS, the United Kingdom's large-value payment system, deal with operational risk. In particular, they are interested in payments behavior towards...
Provided by Bank of England
-
White Papers
Multivariate Methods For Monitoring Structural Change
June 1, 2009, 12:00am PDT
Detection of structural change is a critical empirical activity, but continuous 'Monitoring' of time series for structural changes in real time raises well-known econometric issues. These have...
Provided by Bank of England
-
White Papers
Labour Market Flows: Facts From The United Kingdom
April 1, 2009, 12:00am PDT
In this paper the author uses the Labor Force Survey to obtain stylized facts about worker gross flows in the United Kingdom. The author analyses the size and cyclicality of the flows between...
Provided by Bank of England
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White Papers
Common Determinants Of Currency Crises: Role Of External Balance Sheet Variables
April 1, 2009, 12:00am PDT
This paper investigates the role of external balance sheet variables as determinants of currency crises in Emerging Market (EME) and advanced economies. A random effect probit model is used in a...
Provided by Bank of England
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White Papers
Foreign Exchange Rate Risk In A Small Open Economy
March 1, 2009, 12:00am PST
Resolving the forward premium puzzle requires a volatile foreign exchange rate risk premium that covaries negatively with the expected depreciation rate. Earlier work has shown how models...
Provided by Bank of England
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White Papers
Dynamics Of The Term Structure Of UK Interest Rates
March 1, 2009, 12:00am PST
This paper models the evolution of monetary policy, the term structure of interest rates and the UK economy across policy regimes. The authors model the interaction between the macro economy and...
Provided by Bank of England
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White Papers
Output Costs Of Sovereign Crises: Some Empirical Estimates
February 1, 2009, 12:00am PST
Avoiding the broader output losses to their economy is likely to be the key reason why governments avoid debt crises. Despite this, there has been little work that seeks to quantify output losses...
Provided by Bank of England
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White Papers
Why Do Risk Premia Vary Over Time? A Theoretical Investigation Under Habit Formation
February 1, 2009, 12:00am PST
Empirical evidence suggests that risk premia are higher at business cycle troughs than they are at peaks. Existing asset pricing theories ascribe moves in risk premia to changes in volatility or...
Provided by Bank of England
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White Papers
Extracting Inflation Expectations And Inflation Risk Premia From The Term Structure: A Joint Model Of The UK Nominal And Real Yield Curves
February 1, 2009, 12:00am PST
This paper analyses the nominal and real interest rate term structures in the United Kingdom over the fifteen-year period that the UK monetary authorities have pursued an explicit inflation...
Provided by Bank of England
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White Papers
Globalisation, Import Prices And Inflation Dynamics
December 1, 2008, 12:00am PST
In this paper the authors model the role of open-economy effects within a New Keynesian Phillips Curve (NKPC) via the inclusion of intermediate imports in firms' production technology. Using this...
Provided by Bank of England
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White Papers
Understanding The Real Rate Conundrum: An Application Of No-Arbitrage Finance Models To The UK Real Yield Curve
December 1, 2008, 12:00am PST
Long-horizon interest rates in the major international bond markets fell sharply during 2004 and 2005, at the same time as US policy rates were rising; a phenomenon famously described as a...
Provided by Bank of England
-
White Papers
Measuring Monetary Policy Expectations From Financial Market Instruments
November 1, 2008, 12:00am PDT
This paper reviews the main instruments and associated yield curves that can be used to measure financial market participants' expectations of future UK monetary policy rates. The authors attempt...
Provided by Bank of England
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White Papers
The Conduct Of Global Monetary Policy And Domestic Stability
January 1, 2009, 12:00am PST
This paper is to examine how important an improvement in global monetary policy might be for the macroeconomic performance of a small open economy such as the United Kingdom. The paper contributes...
Provided by Bank of England
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White Papers
Monetary Policy And Data Uncertainty: A Case Study Of Distribution, Hotels And Catering Growth
December 1, 2007, 12:00am PST
This paper is a case study of the real world monetary policy data uncertainty problem. The initial and the latest release for growth rates of the distribution, hotels and catering sector are...
Provided by Bank of England
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White Papers
Cyclical Risk Aversion, Precautionary Saving And Monetary Policy
April 1, 2011, 12:00am PDT
This paper analyses the conduct of monetary policy in an environment in which cyclical swings in risk appetite affect households' propensity to save. It uses a New Keynesian model featuring...
Provided by Bank of England
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White Papers
International Credit Constraints, Trade And Financial Markets Linkages And The Output Correlation Puzzle Preliminary, Do Not Cite Or Circulate
February 15, 2010, 12:00am PST
Do open economy models with credit constraints resolve the output correlation puzzle? Building on Deverex & Yetman (2009), the authors develop a two good open economy model with international...
Provided by Bank of England
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White Papers
Global Rebalancing: The Macroeconomic Impact On The United Kingdom
April 1, 2011, 12:00am PDT
This paper considers the implications for the United States, the United Kingdom and the Rest Of the World (ROW) of shocks that may contribute to a further reduction in global current account...
Provided by Bank of England
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White Papers
Asset Pricing Implications Of A New Keynesian Model
July 1, 2009, 12:00am PDT
To match the stylized facts of goods and labor markets, the canonical New Keynesian model augments the optimizing neoclassical growth model with nominal and real rigidities. The authors ask what...
Provided by Bank of England
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White Papers
A Model Of Market Surprises
June 1, 2007, 12:00am PDT
This paper presents a theory to link improvements in transparency about monetary policy objectives to improvements in transparency about monetary policy actions and then to the conditional...
Provided by Bank of England
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White Papers
The Impact Of Yuan Revaluation On The Asian Region
July 1, 2007, 12:00am PDT
This paper studies how an appreciation of the yuan affects the exports of other Asian countries. It finds mixed effects. Countries that export consumer goods to China or compete in third markets...
Provided by Bank of England
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White Papers
Escaping Nash And Volatile Inflation
July 1, 2007, 12:00am PDT
This paper suggests that the United Kingdom, United States and other countries may have escaped from volatile inflation equilibrium. The argument builds on the story proposed by Tom Sargent in The...
Provided by Bank of England
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White Papers
Wage Flexibility In Britain: Some Micro And Macro Evidence
July 1, 2007, 12:00am PDT
This paper uses the British New Earnings Survey (NES) to derive both macro and micro measures of wage rigidities. The data set spans the 1975-2000 period, with wage observations covering...
Provided by Bank of England
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White Papers
Business Cycle Fluctuations And Excess Sensitivity Of Private Consumption
November 1, 2007, 12:00am PDT
The authors investigate whether business cycle fluctuations affect the degree of excess sensitivity of private consumption growth to disposable income growth. Using multivariate state space...
Provided by Bank of England
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White Papers
A State Space Approach To Extracting The Signal From Uncertain Data
November 1, 2007, 12:00am PDT
Most macroeconomic data are uncertain - they are estimates rather than perfect measures. Use of these uncertain data to form an assessment of current activity can be viewed as a problem of signal...
Provided by Bank of England
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White Papers
Risks And Efficiency Gains Of A Tiered Structure In Large-Value Payments: A Simulation Approach
January 1, 2008, 12:00am PST
The large-value payment system in the United Kingdom (CHAPS) is highly tiered: a few settlement banks make payments on behalf of many customer banks. This paper makes use of a simulation approach...
Provided by Bank of England
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White Papers
Monetary Policy Shifts And Inflation Dynamics
January 1, 2008, 12:00am PST
The New Keynesian Phillips Curve plays a central role in modern macroeconomic theory. A vast empirical literature has estimated this structural relationship over various post-war full samples....
Provided by Bank of England
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White Papers
The Integrated Impact Of Credit And Interest Rate Risk On Banks: An Economic Value And Capital Adequacy Perspective
January 1, 2008, 12:00am PST
Credit and interest rate risk in the banking book are the two most important risks faced by commercial banks. In this paper the authors derive a consistent and general framework to measure the...
Provided by Bank of England
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White Papers
Financial Innovation, Macroeconomic Stability And Systemic Crises
February 1, 2008, 12:00am PST
The authors present a general equilibrium model of intermediation designed to capture some of the key features of the modern financial system. The model incorporates financial constraints and...
Provided by Bank of England
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White Papers
Evolving International Inflation Dynamics: Evidence From A Time-Varying Dynamic Factor Model
February 1, 2008, 12:00am PST
Several industrialised countries have had a similar inflation experience in the past 30 years, with inflation high and volatile in the 1970s and the 1980s but low and stable in the most recent...
Provided by Bank of England
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White Papers
Efficient Frameworks For Sovereign Borrowing
March 1, 2008, 12:00am PST
This paper presents a theoretical model of strategic default to assess how national and international policymakers should seek to influence the cost of default and the distribution of bargaining...
Provided by Bank of England
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White Papers
International Monetary Co-Operation In A World Of Imperfect Information
March 1, 2008, 12:00am PST
This paper examines the welfare implications of international monetary co-operation using a stylised two-country New Keynesian general equilibrium model of imperfect information. The authors show...
Provided by Bank of England
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White Papers
Network Models And Financial Stability
April 1, 2008, 12:00am PDT
Systemic risk is a key concern for central banks charged with safeguarding overall financial stability. In this paper the authors investigate how systemic risk is affected by the structure of the...
Provided by Bank of England
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White Papers
Dealing With Country Diversity: Challenges For The IMF Credit Union Model
May 1, 2008, 12:00am PDT
The authors develop a model in which countries can protect themselves against shocks by subscribing to a credit union that shares the key features of the International Monetary Fund, or by...
Provided by Bank of England
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White Papers
Investigating The Structural Stability Of The Phillips Curve Relationship
May 1, 2008, 12:00am PDT
The reduced-form correlation between inflation and measures of real activity has changed substantially for the main developed economies over the post-WWII period. In this paper the authors attempt...
Provided by Bank of England
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White Papers
An Agent-Based Model Of Payment Systems
August 1, 2008, 12:00am PDT
This paper lays out and simulates a multi-agent, multi-period model of an RTGS payment system. At the beginning of the day, banks choose how much costly liquidity to allocate to the settlement...
Provided by Bank of England
-
White Papers
The Conduct Of Global Monetary Policy And Domestic Stability
January 1, 2009, 12:00am PST
This paper is to examine how important an improvement in global monetary policy might be for the macroeconomic performance of a small open economy such as the United Kingdom. The paper contributes...
Provided by Bank of England
-
White Papers
Measuring Monetary Policy Expectations From Financial Market Instruments
November 1, 2008, 12:00am PDT
This paper reviews the main instruments and associated yield curves that can be used to measure financial market participants' expectations of future UK monetary policy rates. The authors attempt...
Provided by Bank of England
-
White Papers
Understanding The Real Rate Conundrum: An Application Of No-Arbitrage Finance Models To The UK Real Yield Curve
December 1, 2008, 12:00am PST
Long-horizon interest rates in the major international bond markets fell sharply during 2004 and 2005, at the same time as US policy rates were rising; a phenomenon famously described as a...
Provided by Bank of England
-
White Papers
Globalisation, Import Prices And Inflation Dynamics
December 1, 2008, 12:00am PST
In this paper the authors model the role of open-economy effects within a New Keynesian Phillips Curve (NKPC) via the inclusion of intermediate imports in firms' production technology. Using this...
Provided by Bank of England
-
White Papers
Extracting Inflation Expectations And Inflation Risk Premia From The Term Structure: A Joint Model Of The UK Nominal And Real Yield Curves
February 1, 2009, 12:00am PST
This paper analyses the nominal and real interest rate term structures in the United Kingdom over the fifteen-year period that the UK monetary authorities have pursued an explicit inflation...
Provided by Bank of England
-
White Papers
Why Do Risk Premia Vary Over Time? A Theoretical Investigation Under Habit Formation
February 1, 2009, 12:00am PST
Empirical evidence suggests that risk premia are higher at business cycle troughs than they are at peaks. Existing asset pricing theories ascribe moves in risk premia to changes in volatility or...
Provided by Bank of England
-
White Papers
Output Costs Of Sovereign Crises: Some Empirical Estimates
February 1, 2009, 12:00am PST
Avoiding the broader output losses to their economy is likely to be the key reason why governments avoid debt crises. Despite this, there has been little work that seeks to quantify output losses...
Provided by Bank of England
-
White Papers
Dynamics Of The Term Structure Of UK Interest Rates
March 1, 2009, 12:00am PST
This paper models the evolution of monetary policy, the term structure of interest rates and the UK economy across policy regimes. The authors model the interaction between the macro economy and...
Provided by Bank of England
-
White Papers
Foreign Exchange Rate Risk In A Small Open Economy
March 1, 2009, 12:00am PST
Resolving the forward premium puzzle requires a volatile foreign exchange rate risk premium that covaries negatively with the expected depreciation rate. Earlier work has shown how models...
Provided by Bank of England
-
White Papers
Common Determinants Of Currency Crises: Role Of External Balance Sheet Variables
April 1, 2009, 12:00am PDT
This paper investigates the role of external balance sheet variables as determinants of currency crises in Emerging Market (EME) and advanced economies. A random effect probit model is used in a...
Provided by Bank of England
-
White Papers
Labour Market Flows: Facts From The United Kingdom
April 1, 2009, 12:00am PDT
In this paper the author uses the Labor Force Survey to obtain stylized facts about worker gross flows in the United Kingdom. The author analyses the size and cyclicality of the flows between...
Provided by Bank of England
-
White Papers
Multivariate Methods For Monitoring Structural Change
June 1, 2009, 12:00am PDT
Detection of structural change is a critical empirical activity, but continuous 'Monitoring' of time series for structural changes in real time raises well-known econometric issues. These have...
Provided by Bank of England
-
White Papers
Banks~ Intraday Liquidity Management During Operational Outages: Theory And Evidence From The UK Payment System
June 1, 2009, 12:00am PDT
The authors investigate how settlement banks in CHAPS, the United Kingdom's large-value payment system, deal with operational risk. In particular, they are interested in payments behavior towards...
Provided by Bank of England
-
White Papers
Payment Systems, Inside Money And Financial Intermediation
June 1, 2009, 12:00am PDT
The authors assess the impact of introducing an efficient payment system on financial intermediation. Two channels are investigated. Innovations in wholesale payments technology enhance the...
Provided by Bank of England
-
White Papers
Funding Liquidity Risk In A Quantitative Model Of Systemic Stability
June 1, 2009, 12:00am PDT
The authors demonstrate how the introduction of liability-side feedbacks affects the properties of a quantitative model of systemic risk. The model is known as RAMSI and is still in its...
Provided by Bank of England
-
White Papers
International Financial Transmission: Emerging And Mature Markets
August 1, 2009, 12:00am PDT
With an increasingly integrated global financial system, the authors frequently observe that shocks to individual asset markets affect financial markets worldwide. The aim of this paper is to...
Provided by Bank of England
-
White Papers
How Do Different Models Of Foreign Exchange Settlement Influence The Risks And Benefits Of Global Liquidity Management?
August 1, 2009, 12:00am PDT
Large, international banking groups have sought to centralize their cross-currency liquidity management: liquidity shortages in one currency are financed using liquidity surpluses in another...
Provided by Bank of England
-
White Papers
Endogenous Choice Of Bank Liquidity: The Role Of Fire Sales
November 1, 2009, 12:00am PDT
Banks' liquidity is a crucial determinant of the adversity of banking crises. In this paper, the authors consider the effect of fire sales and entry during crises on banks' ex-ante choice of...
Provided by Bank of England
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