Bank for International Settlements

Displaying 41-80 of 84 results

  • White Papers // Jun 2010

    Research On Global Financial Stability: The Use Of BIS International Financial Statistics

    A major focus of the recent literature on the determination of optimal portfolios in open-economy macroeconomic models has been on the role of currency movements in determining portfolio returns that may hedge various macroeconomic shocks. However, there is little empirical evidence on the foreign currency exposures that are embedded in...

    Provided By Bank for International Settlements

  • White Papers // Jun 2010

    Chronicle Of Currency Collapses: Re-Examining The Effects On Output

    The impact of currency collapses (ie large nominal depreciations or devaluations) on real output remains unsettled in the empirical macroeconomic literature. This paper provides new empirical evidence on this relationship using a dataset for 108 emerging and developing economies for the period 1960-2006. The authors provide estimates of how these...

    Provided By Bank for International Settlements

  • White Papers // Jun 2010

    Banks And Financial Intermediation In Emerging Asia: Reforms And New Risks

    The conventional view is that microeconomic reforms after the 1997 - 98 Asian financial crisis have greatly strengthened banking systems in Asia. Banks have become better capitalized, external exposures have been reduced and credit risk has been managed more effectively. But this conventional view does not take enough account of...

    Provided By Bank for International Settlements

  • White Papers // May 2010

    Toward A Global Risk Map

    Global risk maps are unified databases that provide risk exposure data to supervisors and the broader financial market community worldwide. The authors think of them as giant matrices that track the bilateral (firm-level) exposures of banks, non-bank financial institutions and other relevant market participants. While useful in principle, these giant...

    Provided By Bank for International Settlements

  • White Papers // May 2010

    Attributing Systemic Risk To Individual Institutions

    An operational macroprudential approach to financial stability requires tools that attribute system-wide risk to individual institutions. Making use of constructs from game theory, the authors propose an attribution methodology that has a number of appealing features: it can be used in conjunction with popular risk measures, it provides measures of...

    Provided By Bank for International Settlements

  • White Papers // Apr 2010

    Oil Shocks And Optimal Monetary Policy

    In practice, central banks have been confronted with a trade-o? between stabilizing inflation and output when dealing with rising oil prices. This contrasts with the result in the standard New Keynesian model that ensuring complete price stability is the optimal thing to do, even when an oil shock leads to...

    Provided By Bank for International Settlements

  • White Papers // Mar 2010

    Household Decisions, Credit Markets And The Macroeconomy: Implications For The Design Of Central Bank Models

    It is widely acknowledged that the recent generation of DSGE models failed to incorporate many of the liquidity and financial accelerator mechanisms revealed in the global financial crisis that began in 2007. This paper complements the papers presented at the 2009 BIS annual conference focused on the role of banks...

    Provided By Bank for International Settlements

  • White Papers // Mar 2010

    Fear Of Fire Sales And The Credit Freeze

    Is there any need to "Clean" up a banking system in the midst of a crisis, by closing or recapitalizing weak banks and taking bad assets off bank balance sheets, or can one wait till the crisis is over? The authors argue that an "Overhang" of impaired banks that may...

    Provided By Bank for International Settlements

  • White Papers // Mar 2010

    Financial Intermediation And The Post-Crisis Financial System

    Securitization was meant to disperse credit risk to those who were better able to bear it. In practice, securitization appears to have concentrated the risks in the financial intermediary sector itself. This paper outlines an accounting framework for the financial system for assessing the impact of securitization on financial stability....

    Provided By Bank for International Settlements

  • White Papers // Mar 2010

    Illiquidity And All Its Friends

    The recent crisis was characterized by massive illiquidity. This paper reviews what we know and don't know about illiquidity and all its friends: market freezes, fire sales, contagion, and ultimately insolvencies and bailouts. It first explains why liquidity cannot easily be apprehended through a single statistics, and asks whether liquidity...

    Provided By Bank for International Settlements

  • White Papers // Mar 2010

    Accounting Alchemy

    The controversy about the choice among accounting alternatives is often based on arguments suggesting heuristic behavior by market participants and firm managers. Debates focus on whether accounting methodology systematically alters reported earnings and whether this effect may add or subtract economic value independently of any effect on underlying cash flows....

    Provided By Bank for International Settlements

  • White Papers // Mar 2010

    The Failure Mechanics Of Dealer Banks

    The author explains the key failure mechanics of large dealer banks, and some policy implications. This is not a review of the financial crisis of 2007 - 2009. Systemic risk is considered only in passing. Both the financial crisis and the systemic importance of large dealer banks are nevertheless obvious...

    Provided By Bank for International Settlements

  • White Papers // Mar 2010

    The Future Of Public Debt: Prospects And Implications

    Since the start of the financial crisis, industrial country public debt levels have increased dramatically. And they are set to continue rising for the foreseeable future. A number of countries face the prospect of large and rising future costs related to the ageing of their populations. In this paper, the...

    Provided By Bank for International Settlements

  • White Papers // Mar 2010

    Public Governance Of Central Banks: An Approach From New Institutional Economics

    The governance of central banks has two dimensions: corporate governance and public governance. Public governance is an institutional framework whereby the general public governs a central bank by and through the legislative and executive bodies in a country. This paper argues that the literature of new institutional economics sheds new...

    Provided By Bank for International Settlements

  • White Papers // Mar 2010

    Does Monetary Policy Affect Bank Risk-Taking?

    This paper investigates the relationship between short-term interest rates and bank risk. Using a unique database that includes quarterly balance sheet information for listed banks operating in the European Union and the United States in the last decade, the authors find evidence that unusually low interest rates over an extended...

    Provided By Bank for International Settlements

  • White Papers // Feb 2010

    The Bank Lending Channel Revisited

    A central proposition in research on the role that banks play in the transmission mechanism is that monetary policy imparts a direct impact on deposits and that deposits, insofar as they constitute the supply of loanable funds, act as the driving force of bank lending. This paper argues that the...

    Provided By Bank for International Settlements

  • White Papers // Feb 2010

    Vendor Models For Credit Risk Measurement And Management

    A number of vendors produce and sell products that are designed to support credit-risk measurement and management functions within financial institutions. Such products may comprise risk measurement models, data, or systems developed by external commercial entities. Interest in such vendor products has grown recently, as financial institutions seek to meet...

    Provided By Bank for International Settlements

  • White Papers // Dec 2009

    K C Chakrabarty: Mobile Commerce, Mobile Banking-The Emerging Paradigm

    It is indeed a privilege for the author to be here at the "India Telecom 2009" event being organised by the Department of Telecom, Government of India, in collaboration with FICCI. I thank Mr. J.S. Deepak, Joint Secretary, Department of Telecom for extending the author an invitation and providing the...

    Provided By Bank for International Settlements

  • White Papers // Dec 2009

    Consumption And Real Exchange Rates In Professional Forecasts

    Standard models of international risk sharing with complete asset markets predict a positive association between relative consumption growth and real exchange-rate depreciations across countries. The striking lack of evidence for this link the consumption/realexchange-rate anomaly or Backus-Smith puzzle has prompted research on risk-sharing indicators with incomplete asset markets. That research...

    Provided By Bank for International Settlements

  • White Papers // Dec 2009

    The Risk Of Relying On Reputational Capital: A Case Study Of The 2007 Failure Of New Century Financial

    The quality of newly originated subprime mortgages had been visibly deteriorating for some time before the window for such loans was shut in 2007. Nevertheless, a bankruptcy court's directed ex post examination of New Century Financial, one of the largest originators of subprime mortgages, discovered no change, over time, in...

    Provided By Bank for International Settlements

  • White Papers // Dec 2009

    Monetary Policy And The Measurement Of Inflation: Prices, Wages And Expectations

    Inflation measurement is fundamental to the conduct of monetary policy. Price indices form the foundation of central bank policy frameworks around the world. They serve as guides to decision-making, as well as providing the primary mechanism for holding independent policymakers accountable. The purpose of this paper was to explore three...

    Provided By Bank for International Settlements

  • White Papers // Nov 2009

    Ten Propositions About Liquidity Crises

    What are liquidity crises? And what can be done to address them? This short paper brings together some personal reflections on this issue, largely based on previous work. In the process, it questions a number of commonly held beliefs that have become part of the conventional wisdom. The paper is...

    Provided By Bank for International Settlements

  • White Papers // Nov 2009

    Unconventional Monetary Policies: An Appraisal

    The recent global financial crisis has led central banks to rely heavily on "Unconventional" monetary policies. This alternative approach to policy has generated much discussion and a heated and at times confusing debate. The debate has been complicated by the use of different definitions and conflicting views of the mechanisms...

    Provided By Bank for International Settlements

  • White Papers // Nov 2009

    Globalization, Labor Markets And International Adjustment

    The theme of this paper is the impact of globalization and population trends, in particular various forms of labor mobility, on labor markets and inflation. Of course, labor has always been mobile, to a greater or lesser degree. But for a long while the macroeconomic impact of labor mobility did...

    Provided By Bank for International Settlements

  • White Papers // Oct 2009

    The US Dollar Shortage In Global Banking And The International Policy Response

    Among the policy responses to the global financial crisis, the international provision of US dollars via central bank swap lines stands out. This paper studies the build-up of stresses on banks' balance sheets that led to this coordinated policy response. Using the BIS international banking statistics, the authors reconstruct the...

    Provided By Bank for International Settlements

  • White Papers // Oct 2009

    Mutual Guarantee Institutions And Small Business Finance

    A large body of literature has shown that small firms experience difficulties in accessing the credit market due to informational asymmetries. Banks can overcome these asymmetries through relationship lending, or at least mitigate their effects by asking for collateral. Small firms, especially if they are young, have little collateral and...

    Provided By Bank for International Settlements

  • White Papers // Sep 2009

    Incentives And Tranche Retention In Securitisation: A Screening Model

    This paper examines the power of different contractual mechanisms to influence an origination's choice of costly effort to screen borrowers when the originator plans to securitize its loans. The analysis focuses on three potential mechanisms: the originator holds a "Vertical slice", or share of the portfolio; the originator holds the...

    Provided By Bank for International Settlements

  • White Papers // Sep 2009

    Time To Buy Or Just Buying Time? The Market Reaction To Bank Rescue Packages

    This paper reviews the market reaction to bank rescue packages announced in six countries between October 2008 and January 2009. The paper distinguishes the impact on creditors as seen in the change of CDS spreads from the impact on shareholders as seen in the movement of bank stock prices. Government...

    Provided By Bank for International Settlements

  • White Papers // Aug 2009

    International Portfolio Rebalancing And Exchange Rate Fluctuations In Thailand

    The authors present empirical evidence that the Thai exchange rate is driven in part by international investors' cross-border portfolio rebalancing decisions. This results are based on two comprehensive, daily-frequency datasets of foreign exchange and equity market capital flows undertaken by nonresident investors in Thailand in 2005 and 2006. The authors...

    Provided By Bank for International Settlements

  • White Papers // Jul 2009

    China's Evolving External Wealth And Rising Creditor Position

    China's emergence as a major player in world trade is well known, but its rising role in global finance is perhaps underappreciated. China is the second largest creditor in the world today, with a net creditor position of exceeding 30% of GDP in 2007. In this paper, the authors test...

    Provided By Bank for International Settlements

  • White Papers // Jul 2009

    From Turmoil To Crisis: Dislocations In The FX Swap Market Before And After The Failure Of Lehman Brothers

    This paper investigates dislocations in the foreign exchange (FX) swap market between the US dollar and three major European currencies. After the failure of Lehman Brothers in September 2008, deviations from covered interest parity (CIP) were negatively associated with the creditworthiness of US financial institutions (as well as that of...

    Provided By Bank for International Settlements

  • White Papers // Jun 2009

    Towards An Operational Framework For Financial Stability: "Fuzzy" Measurement And Its Consequences

    Over the last decade or so, addressing financial instability has become a policy priority. Despite the efforts made, policymakers are still a long way from developing a satisfactory operational framework. A major challenge complicating this task is the "Fuzziness" with which financial (in)stability can be measured. The authors review the...

    Provided By Bank for International Settlements

  • White Papers // May 2009

    Credit Card Lending Distress In Korea In 2003

    This paper, which is based partly on Kang and Ma (2007), aims to uncover the causes of the crisis and draw relevant policy lessons from it, specifically the authority to shed light on three questions. First, why did competition in credit card lending, a line of business that is well...

    Provided By Bank for International Settlements

  • White Papers // May 2009

    Communication Of Monetary Policy Decisions By Central Banks: What Is Revealed And Why

    Central banks around the world have done much in recent years to refine the way they communicate their assessments of economic conditions and their decisions relating to the stance of monetary policy. This has reflected two main factors. First, a global trend towards greater central bank autonomy has been accompanied...

    Provided By Bank for International Settlements

  • White Papers // May 2009

    Another Look At Global Disinflation

    This paper highlights relative price adjustments taking place in the global economy as important sources of the lower levels of inflation rates observed in the recent decades. Using a markup model, it shows substantial effects from declines in wage costs and import prices relative to consumer prices. Out of the...

    Provided By Bank for International Settlements

  • White Papers // Apr 2009

    China's Exchange Rate Policy And Asian Trade

    This paper shows empirically that China's trade balance is sensitive to fluctuations in the real effective exchange rate of the renminbi. However, the current size of the trade surplus is such that exchange rate policy alone will probably not be able to address the imbalance. The potential reduction in the...

    Provided By Bank for International Settlements

  • White Papers // Apr 2009

    Measuring Portfolio Credit Risk Correctly: Why Parameter Uncertainty Matters

    Why should risk management systems account for parameter uncertainty? In order to answer this question, this paper lets an investor in a credit portfolio face non-diversifiable estimation-driven uncertainty about two parameters: probability of default and asset-return correlation. Bayesian inference reveals that - for realistic assumptions about the portfolio's credit quality...

    Provided By Bank for International Settlements

  • White Papers // Mar 2009

    The Pricing Of Subprime Mortgage Risk In Good Times And Bad: Evidence From The ABX.HE Indices

    This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of indices, which have become a key barometer of mortgage market conditions during the recent financial crisis. After an introduction into ABX index mechanics and a discussion of historical pricing patterns,...

    Provided By Bank for International Settlements

  • White Papers // Mar 2009

    Credit Frictions And Optimal Monetary Policy

    The authors extend the basic (representative-household) New Keynesian [NK] model of the monetary transmission mechanism to allow for a spread between the interest rate available to savers and borrowers, that can vary for either exogenous or endogenous reasons. The authors find that the mere existence of a positive average spread...

    Provided By Bank for International Settlements

  • White Papers // Mar 2009

    Has The Monetary Transmission Process In The Euro Area Changed? Evidence Based On VAR Estimates

    Empirical evidence on whether the euro area monetary transmission process has changed is, at best, mixed. The authors argue that this inconclusiveness is likely to be due to the fact that existing empirical studies concentrate on the effects of a particular development on a specific transmission channel. Another problem of...

    Provided By Bank for International Settlements

  • White Papers // Jul 2011

    The International Propagation Of The Financial Crisis Of 2008 And A Comparison With 1931

    The authors examine the international propagation of the financial crisis of 2008, and compare it with that of the crisis of 1931. They argue that the collateral squeeze in the United States, which became intense after the failure of Lehman Brothers created doubts about the stability of other financial companies,...

    Provided By Bank for International Settlements

  • White Papers // Oct 2009

    The US Dollar Shortage In Global Banking And The International Policy Response

    Among the policy responses to the global financial crisis, the international provision of US dollars via central bank swap lines stands out. This paper studies the build-up of stresses on banks' balance sheets that led to this coordinated policy response. Using the BIS international banking statistics, the authors reconstruct the...

    Provided By Bank for International Settlements

  • White Papers // Oct 2009

    Mutual Guarantee Institutions And Small Business Finance

    A large body of literature has shown that small firms experience difficulties in accessing the credit market due to informational asymmetries. Banks can overcome these asymmetries through relationship lending, or at least mitigate their effects by asking for collateral. Small firms, especially if they are young, have little collateral and...

    Provided By Bank for International Settlements

  • White Papers // Sep 2009

    Incentives And Tranche Retention In Securitisation: A Screening Model

    This paper examines the power of different contractual mechanisms to influence an origination's choice of costly effort to screen borrowers when the originator plans to securitize its loans. The analysis focuses on three potential mechanisms: the originator holds a "Vertical slice", or share of the portfolio; the originator holds the...

    Provided By Bank for International Settlements

  • White Papers // Sep 2009

    Time To Buy Or Just Buying Time? The Market Reaction To Bank Rescue Packages

    This paper reviews the market reaction to bank rescue packages announced in six countries between October 2008 and January 2009. The paper distinguishes the impact on creditors as seen in the change of CDS spreads from the impact on shareholders as seen in the movement of bank stock prices. Government...

    Provided By Bank for International Settlements

  • White Papers // Aug 2009

    International Portfolio Rebalancing And Exchange Rate Fluctuations In Thailand

    The authors present empirical evidence that the Thai exchange rate is driven in part by international investors' cross-border portfolio rebalancing decisions. This results are based on two comprehensive, daily-frequency datasets of foreign exchange and equity market capital flows undertaken by nonresident investors in Thailand in 2005 and 2006. The authors...

    Provided By Bank for International Settlements

  • White Papers // Jul 2009

    China's Evolving External Wealth And Rising Creditor Position

    China's emergence as a major player in world trade is well known, but its rising role in global finance is perhaps underappreciated. China is the second largest creditor in the world today, with a net creditor position of exceeding 30% of GDP in 2007. In this paper, the authors test...

    Provided By Bank for International Settlements

  • White Papers // Jul 2009

    From Turmoil To Crisis: Dislocations In The FX Swap Market Before And After The Failure Of Lehman Brothers

    This paper investigates dislocations in the foreign exchange (FX) swap market between the US dollar and three major European currencies. After the failure of Lehman Brothers in September 2008, deviations from covered interest parity (CIP) were negatively associated with the creditworthiness of US financial institutions (as well as that of...

    Provided By Bank for International Settlements

  • White Papers // Jun 2009

    Towards An Operational Framework For Financial Stability: "Fuzzy" Measurement And Its Consequences

    Over the last decade or so, addressing financial instability has become a policy priority. Despite the efforts made, policymakers are still a long way from developing a satisfactory operational framework. A major challenge complicating this task is the "Fuzziness" with which financial (in)stability can be measured. The authors review the...

    Provided By Bank for International Settlements

  • White Papers // May 2009

    Another Look At Global Disinflation

    This paper highlights relative price adjustments taking place in the global economy as important sources of the lower levels of inflation rates observed in the recent decades. Using a markup model, it shows substantial effects from declines in wage costs and import prices relative to consumer prices. Out of the...

    Provided By Bank for International Settlements

  • White Papers // Apr 2009

    China's Exchange Rate Policy And Asian Trade

    This paper shows empirically that China's trade balance is sensitive to fluctuations in the real effective exchange rate of the renminbi. However, the current size of the trade surplus is such that exchange rate policy alone will probably not be able to address the imbalance. The potential reduction in the...

    Provided By Bank for International Settlements

  • White Papers // Apr 2009

    Measuring Portfolio Credit Risk Correctly: Why Parameter Uncertainty Matters

    Why should risk management systems account for parameter uncertainty? In order to answer this question, this paper lets an investor in a credit portfolio face non-diversifiable estimation-driven uncertainty about two parameters: probability of default and asset-return correlation. Bayesian inference reveals that - for realistic assumptions about the portfolio's credit quality...

    Provided By Bank for International Settlements

  • White Papers // Mar 2009

    The Pricing Of Subprime Mortgage Risk In Good Times And Bad: Evidence From The ABX.HE Indices

    This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of indices, which have become a key barometer of mortgage market conditions during the recent financial crisis. After an introduction into ABX index mechanics and a discussion of historical pricing patterns,...

    Provided By Bank for International Settlements

  • White Papers // Mar 2009

    Credit Frictions And Optimal Monetary Policy

    The authors extend the basic (representative-household) New Keynesian [NK] model of the monetary transmission mechanism to allow for a spread between the interest rate available to savers and borrowers, that can vary for either exogenous or endogenous reasons. The authors find that the mere existence of a positive average spread...

    Provided By Bank for International Settlements

  • White Papers // Mar 2009

    Has The Monetary Transmission Process In The Euro Area Changed? Evidence Based On VAR Estimates

    Empirical evidence on whether the euro area monetary transmission process has changed is, at best, mixed. The authors argue that this inconclusiveness is likely to be due to the fact that existing empirical studies concentrate on the effects of a particular development on a specific transmission channel. Another problem of...

    Provided By Bank for International Settlements

  • White Papers // Mar 2009

    Inflation Expectations, Uncertainty And Monetary Policy

    In this paper the author focuses on two particular, and related, deviations from the assumption that all agents have the same probability distribution and that they optimally process all information available up to some date t. The author considers the implications of agents' being able to process information only at...

    Provided By Bank for International Settlements

  • White Papers // Mar 2009

    Talking About Monetary Policy: The Virtues (And Vices?) Of Central Bank Communication

    Central banks, which used to be so secretive, are communicating more and more these days about their monetary policy. This development has proceeded hand in glove with a burgeoning new scholarly literature on the subject. The empirical evidence, reviewed selectively here, suggests that communication can move financial markets, enhance the...

    Provided By Bank for International Settlements

  • White Papers // Mar 2009

    In Search Of Monetary Stability: The Evolution Of Monetary Policy

    The mid-1980s began a period that might, in retrospect, be seen as the golden age of monetary policy. Worldwide inflation rates, which had come down from the high levels reached in the 1970s, were at the lowest level seen in a long time. In the real economy, low and stable...

    Provided By Bank for International Settlements

  • White Papers // Apr 2005

    CMBS Loan Losses: Property Type Highlights and Trends

    This paper provides an analysis of defaults and losses within the major property types. The property type sector analysis highlights how certain default resolution characteristics and outcomes differ by property type and addresses differences in disposition modes, as well as in the timing, frequency, and size of losses experienced within...

    Provided By Bank for International Settlements

  • White Papers // Dec 2009

    K C Chakrabarty: Mobile Commerce, Mobile Banking-The Emerging Paradigm

    It is indeed a privilege for the author to be here at the "India Telecom 2009" event being organised by the Department of Telecom, Government of India, in collaboration with FICCI. I thank Mr. J.S. Deepak, Joint Secretary, Department of Telecom for extending the author an invitation and providing the...

    Provided By Bank for International Settlements

  • White Papers // May 2009

    Credit Card Lending Distress In Korea In 2003

    This paper, which is based partly on Kang and Ma (2007), aims to uncover the causes of the crisis and draw relevant policy lessons from it, specifically the authority to shed light on three questions. First, why did competition in credit card lending, a line of business that is well...

    Provided By Bank for International Settlements

  • White Papers // Nov 2010

    The Governance Of Financial Regulation: Reform Lessons From The Recent Crisis

    There was a systemic failure of financial regulation: senior policymakers repeatedly enacted and implemented policies that stabilized the global financial system. They maintained these policies even as they learned of the consequences of their policies during the decade before the crisis. The crisis does not primarily reflect an absence of...

    Provided By Bank for International Settlements

  • White Papers // Dec 2010

    Why Issue Bonds Offshore?

    This paper asks why Asia-Pacific residents issue debt in offshore markets and considers the implications for domestic debt markets. The authors use unit record data for bond issuance by non-government residents of Australia, Hong Kong, Korea, Japan and Singapore to link the decision to issue offshore to potential benefits. The...

    Provided By Bank for International Settlements

  • White Papers // Nov 2010

    To Err Is Human: Rating Agencies And The Interwar Foreign Government Debt Crisis

    The authors compare the banking crises in 2008-09 and in the Great Depression, and analyze differences in the policy response to the two crises in light of the prevailing international monetary systems. The scale of the 2008-09 banking crisis, as measured by falls in international short-term indebtedness and total bank...

    Provided By Bank for International Settlements

  • White Papers // Dec 2010

    Banking Crises And The International Monetary System In The Great Depression And Now

    The authors compare the banking crises in 2008-09 and in the Great Depression, and analyze differences in the policy response to the two crises in light of the prevailing international monetary systems. The scale of the 2008-09 banking crisis, as measured by falls in international short-term indebtedness and total bank...

    Provided By Bank for International Settlements

  • White Papers // Nov 2010

    The Impact Of CDS Trading On The Bond Market: Evidence From Asia

    This paper investigates the impact of CDS trading on the development of the bond market in Asia. In general, CDS trading has lowered the cost of issuing bonds and enhanced the liquidity in the bond market. The positive impact is stronger for smaller firms, non-financial firms and those firms with...

    Provided By Bank for International Settlements

  • White Papers // Nov 2010

    Central Banks And Competition Authorities: Institutional Comparisons And New Concerns

    The establishment of independent authorities for monetary policy and for competition policy was part of the institutional consensus of the Great Moderation. The paper contrasts how policy has operated in the two spheres, especially as regards the role of law. It then discusses the application of competition policy to banks...

    Provided By Bank for International Settlements

  • White Papers // Nov 2010

    Minimizing Monetary Policy

    The response of leading central banks to the current financial crisis has raised the magnitude of the financial and governance risks they face. An evaluation of the financial strength of a number of those banks suggests that they are in little danger of being forced by financial losses to alter...

    Provided By Bank for International Settlements

  • White Papers // Nov 2010

    The Federal Reserve, The Bank Of England And The Rise Of The Dollar As An International Currency, 1914-39

    This paper provides new evidence on the rise of the dollar as an international currency, focusing on its role in the conduct of trade and the provision of trade credit. The authors show that the shift to the dollar occurred much earlier than conventionally supposed: during and immediately after World...

    Provided By Bank for International Settlements

  • White Papers // Nov 2010

    Central Banks: Between Internationalization And Domestic Political Control

    The paper examines the exercise, the efficiency, and the legitimacy of the monetary policy-making process. The goal of central bank autonomy in recent times is the outcome of a demand for price stability. The realization of autonomy is also a consequence of the fragmentation of national decision making, in federal...

    Provided By Bank for International Settlements

  • White Papers // Oct 2010

    The Changing Role Of Central Banks

    Although Central Banks have pursued the same objectives throughout their existence, primarily price and financial stability, the interpretation of their role in doing so has varied. So the search is now on for additional macro-prudential (counter-cyclical) instruments. The use of such instruments will need to be associated with controlled variations...

    Provided By Bank for International Settlements

  • White Papers // Oct 2010

    Inflation Risk Premia In The US And The Euro Area

    The authors use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia in the United States and the euro area. To sharpen the estimation, they include in the information set macro data and survey data on inflation and interest rate expectations at various future horizons,...

    Provided By Bank for International Settlements

  • White Papers // Nov 2010

    Mapping Capital And Liquidity Requirements To Bank Lending Spreads

    This paper outlines a methodology for mapping the increases in capital and liquidity requirements proposed under Basel III to bank lending spreads. The higher cost associated with a one percentage point increase in the capital ratio can be recovered by increasing lending spreads by 15 basis points for a representative...

    Provided By Bank for International Settlements

  • White Papers // Oct 2010

    Stochastic Volatility, Long Run Risks, And Aggregate Stock Market Fluctuations

    What are the main drivers of fluctuations in the aggregate US stock market? In this paper, the authors attempt to resolve the long-lasting debate surrounding this question by designing and solving a consumption-based asset pricing model which incorporates stochastic volatility, long-run risks in consumption and dividends, and Epstein-Zin preferences. These...

    Provided By Bank for International Settlements

  • White Papers // Oct 2010

    Interbank Tiering And Money Center Banks

    This paper provides evidence that interbank markets are tiered rather than that, in the sense that most banks do not lend to each other directly but through money center banks acting as intermediaries. The authors capture the concept of tiering by developing a core-periphery model, and devise a procedure for...

    Provided By Bank for International Settlements

  • White Papers // Sep 2010

    The Evolving Renminbi Regime And Implications For Asian Currency Stability

    The Chinese authorities described the management of the renminbi after its 2005 unpegging from the US dollar as involving a basket of trading partner currencies. Outside analysts have detected few signs of such management. The authors find that, in the two years from mid-2006 to mid-2008, the renminbi strengthened gradually...

    Provided By Bank for International Settlements

  • White Papers // Sep 2010

    Offshore Markets For The Domestic Currency: Monetary And Financial Stability Issues

    The authors show in this paper that offshore markets intermediate a large chunk of financial transactions in major reserve currencies such as the US dollar. The authors argue that, for emerging market economies that are interested in seeing some international use of their currencies, offshore markets can help to increase...

    Provided By Bank for International Settlements

  • White Papers // Sep 2010

    Macroeconomic And Interest Rate Volatility Under Alternative Monetary Operating Procedures

    During the financial crisis of 2007/08 the level and volatility of interest rate spreads increased dramatically. This paper examines how the choice of the target interest rate for monetary policy affects the volatility of inflation, the output gap and the yield curve. The authors consider three monetary policy operating procedures...

    Provided By Bank for International Settlements

  • White Papers // Aug 2010

    Ageing And Asset Prices

    The paper investigates how ageing will affect asset prices. A small model is used to show that economic and demographic factors drive asset, and in particular house, prices. These factors are estimated in a panel regression framework encompassing BIS real house price data from 22 advanced economies between 1970 and...

    Provided By Bank for International Settlements

  • White Papers // Jul 2010

    Countercyclical Capital Buffers: Exploring Options

    This paper provides some general lessons for the design of countercyclical capital buffers. Its main empirical contribution is to analyze conditioning variables which could guide the build-up and release of capital. A major distinction for countercyclical capital schemes is whether conditioning variables are bank-specific or system-wide. The evidence presented in...

    Provided By Bank for International Settlements