Articles

Determinants of credit growth and the bank lending channel in Peru: a loan level analysis

BIS Working Papers

No 803

 

Determinants of credit growth and the bank lending channel in Peru: a loan level analysis

by José Bustamante, Walter Cuba and Rafael Nivin

 

Monetary and Economic Department

July 2019

 

JEL classification: D22, D84, E31

Keywords: inflation expectations, firms' survey, new information.

This publication is available o...

Read more...

A loan-level analysis of bank lending in Mexico

UAA

BIS Working Papers

No 802

 

A loan-level analysis of bank lending in Mexico

by Carlos Cantú, Roberto Lobato, Calixto López and Fabrizio López-Gallo

 

Monetary and Economic Department

July 2019

 

JEL classification: D22, D84, E31

Keywords: inflation expectations, firms' survey, new information.

This publication is available on the BIS website (www.bis.org).

The internationalization of domestic banks and the credit channel: an empirical assessment

UAA

BIS Working Papers

No 801

 

The internationalization of domestic banks and the credit channel: an empirical assessment

by Paola Morales, Daniel Osorio and Juan Sebastián Lemus-Esquivel

 

Monetary and Economic Department

July 2019

 

JEL classification: D22, D84, E31

Keywords: inflation expectations, firms' survey, new information.

This publication is available on the BIS website (www.bis.o...

Banks’ business model and credit supply in Chile: the role of a stateowned bank

UAA

BIS Working Papers

No 800

 

Banks’ business model and credit supply in Chile: the role of a stateowned bank

by Miguel Biron, Felipe Cordova and Antonio Lemus

 

Monetary and Economic Department

July 2019

 

JEL classification: D22, D84, E31

Keywords: inflation expectations, firms' survey, new information.

This publication is available on the BIS website (www.bis.org).

...

Monetary policy surprises and employment: evidence from matched bank-firm loan data on the bank lending-channel

UAA

BIS Working Papers

No 799

 

Monetary policy surprises and employment: evidence from matched bank-firm loan data on the bank lending-channel

by Rodrigo Barbone Gonzalez

 

Monetary and Economic Department

July 2019

 

JEL classification: D22, D84, E31

Keywords: inflation expectations, firms' survey, new information.

This publication is available on the BIS website (www.bis.org).

How do bank-specific characteristics affect lending? New evidence based on credit registry data from Latin America

UAA

BIS Working Papers

No 798

 

How do bank-specific characteristics affect lending? New evidence based on credit registry data from Latin America

by Carlos Cantú, Stijn Claessens and Leonardo Gambacorta

 

Monetary and Economic Department

July 2019

Paper produced as part of the BIS Consultative Council for the Americas (CCA) research project on “Changes in banks' business models and their impact on bank ...

Monetary policy spillovers, capital controls and exchange rate flexibility, and the financial channel of exchange rates

UAA

BIS Working Papers

No 797

 

Monetary policy spillovers, capital controls and exchange rate flexibility, and the financial channel of exchange rates

by Georgios Georgiadis and Feng Zhu

 

Monetary and Economic Department

July 2019

 

JEL classification: D22, D84, E31

Keywords: inflation expectations, firms' survey, new information.

This publication is available on the BIS website (...

Measuring contagion risk in international banking

UAA

BIS Working Papers

No 796

 

Measuring contagion risk in international banking

by Stefan Avdjiev, Paolo Giudici and Alessandro Spelta

 

Monetary and Economic Department

July 2019

 

JEL classification: D22, D84, E31

Keywords: inflation expectations, firms' survey, new information.

This publication is available on the BIS website (www.bis.org).

 

©...

Unintended consequences of unemployment insurance benefits: the role of banks

UAA

BIS Working Papers

No 795

 

Unintended consequences of unemployment insurance benefits: the role of banks

by Yavuz Arslan, Ahmet Degerli and Gazi Kabaş

 

Monetary and Economic Department

July 2019

 

JEL classification: D22, D84, E31

Keywords: inflation expectations, firms' survey, new information.

This publication is available on the BIS website (www.bis.org).

 <...

Why have interest rates fallen far below the return on capital?

UAA

BIS Working Papers

No 794

 

Why have interest rates fallen far below the return on capital?

by Magali Marx, Benoît Mojon and François R Velde

 

Monetary and Economic Department

July 2019

 

JEL classification: D22, D84, E31

Keywords: inflation expectations, firms' survey, new information.

This publication is available on the BIS website (www.bis.org).

 ...

Global real rates: a secular approach

UAA

BIS Working Papers

No 793

 

Global real rates: a secular approach

by Pierre-Olivier Gourinchas and Hélène Rey

 

Monetary and Economic Department

June 2019

 

JEL classification: D22, D84, E31

Keywords: inflation expectations, firms' survey, new information.

This publication is available on the BIS website (www.bis.org).

 

© Ban...

Is the financial system sufficiently resilient: a research programme and policy agenda

UAA

BIS Working Papers

No 792

 

Is the financial system sufficiently resilient: a research programme and policy agenda

by Paul Tucker

 

Monetary and Economic Department

June 2019

 

JEL classification: D22, D84, E31

Keywords: inflation expectations, firms' survey, new information.

This publication is available on the BIS website (www.bis.org).

 

©

Has globalization changed the inflation process?

UAA

BIS Working Papers

No 791

 

Has globalization changed the inflation process?

by Kristin J. Forbes

 

Monetary and Economic Department

June 2019

 

JEL classification: D22, D84, E31

Keywords: inflation expectations, firms' survey, new information.

This publication is available on the BIS website (www.bis.org).

 

© Bank for International Settle...

Are international banks different? Evidence on bank performance and strategy

UAA

BIS Working Papers

No 790

 

Are international banks different? Evidence on bank performance and strategy

by Ata Can Bertay, Asli Demirgüç-Kunt and Harry Huizinga

 

Monetary and Economic Department

June 2019

 

JEL classification: D22, D84, E31

Keywords: inflation expectations, firms' survey, new information.

This publication is available on the BIS website (www.bis.or...

Inflation and deflationary biases in inflation expectations

UAA

BIS Working Papers

No 789

 

Inflation and deflationary biases in inflation expectations

by Michael J. Lamla, Damjan Pfajfar and Lea Rendell

 

Monetary and Economic Department

June 2019

 

JEL classification: D22, D84, E31

Keywords: inflation expectations, firms' survey, new information.

This publication is available on the BIS website (www.bis.org).

 

Do SVARs with sign restrictions not identify unconventional monetary policy shocks?

UAA

BIS Working Papers

No 788

 

Do SVARs with sign restrictions not identify unconventional monetary policy shocks?

by Jef Boeckx, Maarten Dossche, Alessandro Galesi, Boris Hofmann and Gert Peersman

 

Monetary and Economic Department

June 2019

 

JEL classification: D22, D84, E31

Keywords: inflation expectations, firms' survey, new information.

This publication is available on the BI...

Industry heterogeneity and exchange rate pass-through

UAA

BIS Working Papers

No 787

 

Industry heterogeneity and exchange rate pass-through

by Camila Casas

 

Monetary and Economic Department

May 2019

 

JEL classification: D22, D84, E31

Keywords: inflation expectations, firms' survey, new information.

This publication is available on the BIS website (www.bis.org).

 

© Bank for International Settlem...

Estimating the effect of exchange rate changes on total exports

UAA

BIS Working Papers

No 786

 

Estimating the effect of exchange rate changes on total exports

by Thierry Mayer and Walter Steingress

 

Monetary and Economic Department

May 2019

 

JEL classification: D22, D84, E31

Keywords: inflation expectations, firms' survey, new information.

This publication is available on the BIS website (www.bis.org).

 

©

Effects of a mandatory local currency pricing law on the exchange rate pass-through

UAA

BIS Working Papers

No 785

 

Effects of a mandatory local currency pricing law on the exchange rate pass-through

by Renzo Castellares and Hiroshi Toma

 

Monetary and Economic Department

May 2019

Paper produced as part of the BIS Consultative Council for the Americas (CCA) Research Network project "Exchange rates: key drivers and effects on inflation and trade”.

 

JEL classification:...

Import prices and invoice currency: evidence from Chile

UAA

BIS Working Papers

No 784

 

Import prices and invoice currency: evidence from Chile

by Fernando Giuliano and Emiliano Luttini

 

Monetary and Economic Department

May 2019

Paper produced as part of the BIS Consultative Council for the Americas (CCA) Research Network project "Exchange rates: key drivers and effects on inflation and trade”.

 

JEL classification: D22, D84, E31

Dominant Currency Debt

UAA

BIS Working Papers

No 783

 

Dominant Currency Debt

by Egemen Eren and Semyon Malamud

 

Monetary and Economic Department

May 2019

 

JEL classification: D22, D84, E31

Keywords: inflation expectations, firms' survey, new information.

This publication is available on the BIS website (www.bis.org).

 

© Bank for International Settlements 2019. Al...

How does the interaction of macroprudential and monetary policies affect cross-border bank lending?

UAA

BIS Working Papers

No 782

 

How does the interaction of macroprudential and monetary policies affect cross-border bank lending?

by Előd Takáts and Judit Temesvary

 

Monetary and Economic Department

May 2019

 

JEL classification: D22, D84, E31

Keywords: inflation expectations, firms' survey, new information.

This publication is available on the BIS website (www.bis.org).<...

New information and inflation expectations among firms

UAA

BIS Working Papers

No 781

 

New information and inflation expectations among firms

by Serafin Frache and Rodrigo Lluberas

 

Monetary and Economic Department

April 2019

Paper produced as part of the BIS Consultative Council for the Americas (CCA) research conference on "Microdata and economic research at central banks”, hosted by the Central Bank of Brazil, Rio de Janeiro, 4–5 June 2018

&nbs...

Can regulation on loan-lossprovisions for credit risk affect the mortgage market? Evidence from administrative data in Chile

UAA

BIS Working Papers

No 780

 

Can regulation on loan-lossprovisions for credit risk affect the mortgage market? Evidence from administrative data in Chile

by Mauricio Calani

 

Monetary and Economic Department

April 2019

Paper produced as part of the BIS Consultative Council for the Americas (CCA) research conference on "Microdata and economic research at central banks”, hosted by the Central Bank of Brazil, ...

BigTech and the changing structure of financial intermediation

UAA

BIS Working Papers

No 779

 

BigTech and the changing structure of financial intermediation

by Jon Frost, Leonardo Gambacorta, Yi Huang, Hyun Song Shin and Pablo Zbinden

 

Monetary and Economic Department

April 2019

 

JEL classification: E51, G23, O31

Keywords: BigTech, FinTech, credit markets, data, technology, network effects, regulation

 

This publication is availab...

Does informality facilitate inflation stability?

UAA

BIS Working Papers

No 778

 

Does informality facilitate inflation stability?

by Enrique Alberola and Carlos Urrutia

 

Monetary and Economic Department

April 2019

 

JEL classification: E26. E31, E52

Keywords: informality, inflation, monetary policy

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for Internati...

What anchors for the natural rate of interest?

UAA

BIS Working Papers

No 777

 

What anchors for the natural rate of interest?

by Claudio Borio, Piti Disyatat and Phurichai Rungcharoenkitkul

 

Monetary and Economic Department

March 2019

 

JEL classification: E32, E40, E44, E50, E52

Keywords: Real interest rate, natural interest rate, saving, investment, inflation, monetary policy, safe asset shortage hypothesis

 

This ...

Can an ageing workforce explain low inflation?

UAA

BIS Working Papers

No 776

 

Can an ageing workforce explain low inflation?

by Benoit Mojon and Xavier Ragot

 

Monetary and Economic Department

March 2019

 

JEL classification: E5, J3

Keywords: Low inflation, ageing economy, Phillips curve

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for International Sett...

Bond risk premia and the exchange rate

UAA

BIS Working Papers

No 775

 

Bond risk premia and the exchange rate

by Boris Hofmann, Ilhyock Shim and Hyun Song Shin

 

Monetary and Economic Department

March 2019

 

JEL classification: G12, G15, G23

Keywords: bond spread, capital flow, credit risk, emerging market, exchange rate.

 

This publication is available on the BIS website (www.bis.org).

 

...

FX intervention and domestic credit: evidence from highfrequency micro data

UAA

BIS Working Papers

No 774

 

FX intervention and domestic credit: evidence from highfrequency micro data

by Boris Hofmann, Hyun Song Shin and Mauricio Villamizar-Villegas

 

Monetary and Economic Department

March 2019

 

JEL classification: E58, F31, F33, F41, G20

Keywords: FX intervention, credit registry, emerging markets, financial channel of exchange rates

 

This pub...

From carry trades to trade credit: financial intermediation by nonfinancial corporations

UAA

BIS Working Papers

No 773

 

From carry trades to trade credit: financial intermediation by nonfinancial corporations

by Bryan Hardy and Felipe Saffie

 

Monetary and Economic Department

February 2019

 

JEL classification: E44, G15

Keywords: Emerging market corporate debt, currency mismatch, liability dollarization, carry trades, trade credit

 

This publication is avail...

On the global impact of risk-off shocks and policy-put frameworks

UAA

BIS Working Papers

No 772

 

On the global impact of risk-off shocks and policy-put frameworks

by Ricardo J. Caballero and Gunes Kamber

 

Monetary and Economic Department

March 2019

 

JEL classification: E40, E44, E52, E58, F30, F41, F44, G01

Keywords: Risk-off, conventional and unconventional monetary policy, policy-puts, spillovers, macroeconomic fundamentals, developed and emerging markets,...

Macroprudential policy with capital buffers

UAA

BIS Working Papers

No 771

 

Macroprudential policy with capital buffers

by Josef Schroth

 

Monetary and Economic Department

February 2019

 

JEL classification: E13, E32, E44

Keywords: Financial frictions, Financial intermediation, Regulation, Counter-cyclical capital requirements, Market discipline, Access to funding

 

This publication is available on the BIS website ...

The expansionary lower bound: contractionary monetary easing and the trilemma

UAA

BIS Working Papers

No 770

 

The expansionary lower bound: contractionary monetary easing and the trilemma

by Paolo Cavallino and Damiano Sandri

 

Monetary and Economic Department

February 2019

 

JEL classification: E5, F3, F42

Keywords: Monetary policy, collateral constraints, currency mismatches, carry trade, spillovers

 

This publication is available on the BIS webs...

Safe assets: made, not just born

UAA

BIS Working Papers

No 769

 

Safe assets: made, not just born

by Robert N McCauley

 

Monetary and Economic Department

February 2019

 

JEL classification: F31, F33, G15

Keywords: safe assets; US Treasury securities; agency securities; bank deposits; Eurodollars; Triffin dilemma

 

This publication is available on the BIS website (www.bis.org).

 

...

Over-the-Counter Market Liquidity and Securities Lending

UAA

BIS Working Papers

No 768

 

Over-the-Counter Market Liquidity and Securities Lending

by Nathan Foley-Fisher, Stefan Gissler and Stéphane Verani

 

Monetary and Economic Department

February 2019

 

JEL classification: G01, G12, G22, G23

Keywords: Over-the-counter markets, corporate bonds, market liquidity, securities lending, insurance companies, broker-dealers

 

...

Central counterparty capitalization and misaligned incentives

UAA

BIS Working Papers

No 767

 

Central counterparty capitalization and misaligned incentives

by Wenqian Huang

 

Monetary and Economic Department

February 2019

 

JEL classification: G01, G12, G21, G22

Keywords: Central counterparties (CCPs), capital requirement, financial stability

 

This publication is available on the BIS website (www.bis.org).

 

<...

Risk endogeneity at the lender/investor-of-last-resort

UAA

BIS Working Papers

No 766

 

Risk endogeneity at the lender/investor-of-lastresort

by Diego Caballero, André Lucas, Bernd Schwaab and Xin Zhang

 

Monetary and Economic Department

January 2019

 

JEL classification: G21, C33

Keywords: Credit risk, risk measurement, central bank, lender-of-last-resort, unconventional monetary policy

 

This publication is available ...

Beyond the doomsday economics of “proof-ofwork” in cryptocurrencies

UAA

BIS Working Papers

No 765

 

Beyond the doomsday economics of “proof-ofwork” in cryptocurrencies

by Raphael Auer

 

Monetary and Economic Department

January 2019

 

JEL classification: D40, D20, E42, E51, F31, G12, G28, G32, G38, L10, L50

Keywords: Cryptocurrencies, cryptoassets, digital currencies, blockchain, proof-of-work, proof-of-stake, distributed ledger technology, consensus, ...

Global Banking, Financial Spillovers, and Macroprudential Policy Coordination

UAA

BIS Working Papers

No 764

 

Global Banking, Financial Spillovers, and Macroprudential Policy Coordination

by Pierre-Richard Agénor and Luiz A. Pereira da Silva

 

Monetary and Economic Department

January 2019

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.or...

On money, debt, trust and central banking

UAA

BIS Working Papers

No 763

 

On money, debt, trust and central banking

by Claudio Borio

 

Monetary and Economic Department

January 2019

 

JEL classification: E00, E30, E40, E50, G21, N20

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for International Settlements 2017. All rights reserved. Brief excerpts may be reprod...

Central banks and debt: emerging risks to the effectiveness of monetary policy in Africa?

Image uaa

BIS Working Papers

No 99

 

Central banks and debt: emerging risks to the effectiveness of monetary policy in Africa?

by Benedicte Vibe Christensen and Jochen Schanz

 

Monetary and Economic Department

October 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.b...

Low for long or turning point?

uaa

BIS Working Papers

No 98

 

Low for long or turning point?

 

Monetary and Economic Department

July 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for International Settlements 2017. All rights reserved. Brief excerpts may...

A key currency view of global imbalances

UAA

BIS Working Papers

No 762

 

A key currency view of global imbalances

by Hiro Ito and Robert N McCauley

 

Monetary and Economic Department

November 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for Internationa...

Non-Monetary News in Central Bank Communication

Upload pictures

BIS Working Papers

No 761

 

Non-Monetary News in Central Bank Communication

by Anna Cieslak and Andreas Schrimpf

 

Monetary and Economic Department

November 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org).

 

© B...

Gross Capital Flows by Banks, Corporates and Sovereigns

uaa

BIS Working Papers

No 760

 

Gross Capital Flows by Banks, Corporates and Sovereigns

by Stefan Avdjiev, Bryan Hardy, Şebnem Kalemli-Özcan and Luis Servén

 

Monetary and Economic Department

December 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org)....

Assessing inflation expectations anchoring for heterogeneous agents: analysts, businesses and trade unions

Image uaa

BIS Working Papers

No 759

 

Assessing inflation expectations anchoring for heterogeneous agents: analysts, businesses and trade unions

by Ken Miyajima and James Yetman

 

Monetary and Economic Department

November 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (ww...

Foreign currency borrowing, balance sheet shocks and real outcomes

Imgisto

BIS Working Papers

No 758

 

Foreign currency borrowing, balance sheet shocks and real outcomes

by Bryan Hardy

 

Monetary and Economic Department

November 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for Inte...

Explaining Monetary Spillovers: The Matrix Reloaded

Imagisto.com

BIS Working Papers

No 757

 

Explaining Monetary Spillovers: The Matrix Reloaded

by Jonathan Kearns, Andreas Schrimpf and Fan Dora Xia

 

Monetary and Economic Department

October 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org).

 

...

Financial structure and income inequality

Image upload

BIS Working Papers

No 756

 

Financial structure and income inequality

by Michael Brei, Giovanni Ferri and Leonardo Gambacorta

 

Monetary and Economic Department

November 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org).

 

Measuring financial cycle time

BIS Working Papers

No 755

 

Measuring financial cycle time

by Andrew Filardo, Marco Lombardi and Marek Raczko

 

Monetary and Economic Department

October 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for International Settlements 2017. All rights reserved. Brief...

Euro area unconventional monetary policy and bank resilience

BIS Working Papers

No 754

 

Euro area unconventional monetary policy and bank resilience

by Fernando Avalos and Emmanuel C Mamatzakis

 

Monetary and Economic Department

November 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for International Settlements 2017. ...

Currency depreciation and emerging market corporate distress

BIS Working Papers

No 753

 

Currency depreciation and emerging market corporate distress

By Valentina Bruno and Hyun Song Shin

 

Monetary and Economic Department

October 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for International Settlements 2017. All righ...

The effects of prudential regulation, financial development, and financial openness on economic growth

BIS Working Papers

No 752

 

The effects of prudential regulation, financial development, and financial openness on economic growth

By Pierre-Richard Agénor, Leonardo Gambacorta, Enisse Kharroubi, and Luiz A Pereira da Silva

 

Monetary and Economic Department

October 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS websit...

Exchange rates and prices: evidence from the 2015 swiss franc appreciation

BIS Working Papers

No 751

 

Exchange rates and prices: evidence from the 2015 swiss franc appreciation

by Raphael Auer, Ariel Burstein and Sarah M Lein

 

Monetary and Economic Department

October 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for International S...

Forward guidance and heterogeneous beliefs

BIS Working Papers

No 750

 

Forward guidance and heterogeneous beliefs

by Philippe Andrade, Gaetano Gaballo, Eric Mengus and Benoit Mojon

 

Monetary and Economic Department

October 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for International Settlements 2017...

Whatever it takes. What’s the impact of a major nonconventional monetary policy intervention?

BIS Working Papers

No 749

 

Whatever it takes. What’s the impact of a major nonconventional monetary policy intervention?

by Carlo Alcaraz, Stijn Claessens, Gabriel Cuadra, David Marques-Ibanez and Horacio Sapriza

 

Monetary and Economic Department

October 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.o...

Domestic and global output gaps as inflation drivers: what does the Phillips curve tell?

BIS Working Papers

No 748

 

Domestic and global output gaps as inflation drivers: what does the Phillips curve tell?

by Martina Jašová, Richhild Moessner and Előd Takáts

 

Monetary and Economic Department

May 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org).

 

How do credit ratings affect bank lending under capital constraints?

BIS Working Papers

No 747

 

How do credit ratings affect bank lending under capital constraints?

by Stijn Claessens, Andy Law and Teng Wang

 

Monetary and Economic Department

September 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for International Settlements ...

What drives local lending by global banks?

BIS Working Papers

No 746

 

What drives local lending by global banks?

by Stefan Avdjiev, Uluc Aysun and Ralf Hepp

 

Monetary and Economic Department

May 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for International Settlements 2017. All rights reserved. Brie...

Financial stress in lender countries and capital outflows from emerging market economies

BIS Working Papers

No 745

 

Financial stress in lender countries and capital outflows from emerging market economies

by Ilhyock Shim and Kwanho Shin

 

Monetary and Economic Department

September 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for International Settlements 2017. Al...

Why you should use the Hodrick-Prescott filter – at least to generate credit gaps

BIS Working Papers

No 744

 

Why you should use the Hodrick-Prescott filter – at least to generate credit gaps

by Mathias Drehmann and James Yetman

 

Monetary and Economic Department

September 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for Internationa...

An intermediation-based model of exchange rates

BIS Working Papers

No 743

 

An intermediation-based model of exchange rates

by Semyon Malamud and Andreas Schrimpf

 

Monetary and Economic Department

September 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for International Settlements 2017. All rights reserved...

Quantitative or qualitative forward guidance: Does it matter?

BIS Working Papers

No 742

 

Quantitative or qualitative forward guidance: Does it matter?

by Gunda-Alexandra Detmers, Özer Karagedikli and Richhild Moessner

 

Monetary and Economic Department

May 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for Internatio...

Reserve requirements and capital flows in Latin America

BIS Working Papers

No 741

 

Reserve requirements and capital flows in Latin America

by Michael Brei and Ramon Moreno

 

Monetary and Economic Department

May 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for International Settlements 2017. All rights reserved. Br...

The macroeconomic effects of macroprudential policy

BIS Working Papers

No 740

 

The macroeconomic effects of macroprudential policy

by Björn Richter, Moritz Schularick and Ilhyock Shim

 

Monetary and Economic Department

August 2018

 

JEL classification: E58, G28

Keywords: macroprudential policy, loan-to-value ratios, local projections, narrative approach

 

This publication is available on the BIS website (www.bis.org).

 

© Bank fo...

The economics of revoking NAFTA

BIS Working Papers

No 739

 

The economics of revoking NAFTA

by Raphael Auer, Barthélémy Bonadio and Andrei A. Levchenko

 

Monetary and Economic Department

August 2018

 

JEL classification: F11, F13, F16, F62, J62, R13

Keywords: NAFTA, quantitative trade models, distributional effects, protectionism

 

This publication is available on the BIS website (www.bis.org).

 

© Ban...

Bank solvency risk and funding cost interactions in a small open economy: Evidence from Korea

BIS Working Papers

No 738

 

Bank solvency risk and funding cost interactions in a small open economy: Evidence from Korea

by Iñaki Aldasoro and Kyounghoon Park

 

Monetary and Economic Department

August 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for I...

Transmission of monetary policy through global banks: whose policy matters?

BIS Working Papers

No 737

 

Transmission of monetary policy through global banks: whose policy matters?

by Stefan Avdjiev, Cathérine Koch, Patrick McGuire, and Goetz von Peter

 

Monetary and Economic Department

August 2018

 

JEL classification: E59, F42, G21

Keywords: International banking, dollar lending, global funding currency, monetary policy transmission, international spillovers

 

This publication is avai...

The role of household debt heterogeneity on consumption: Evidence from Japanese household data

BIS Working Papers

No 736

 

The role of household debt heterogeneity on consumption: Evidence from Japanese household data

by Jouchi Nakajima

 

Monetary and Economic Department

July 2018

 

JEL classification: D14, D81, D84, E21, G11

Keywords: household debt, marginal propensity to consume, precautionary saving motive

 

This publication is available on the BIS website (www.bis.org).

 

©...

Gauging procyclicality and financial vulnerability in Asia through the BIS banking and financial statistics

BIS Working Papers

No 735

 

Gauging procyclicality and financial vulnerability in Asia through the BIS banking and financial statistics

by Stefan Avdjiev, Bat-el Berger and Hyun Song Shin

 

Monetary and Economic Department

July 2018

 

JEL classification: F32, F34, G01

Keywords: Asian Financial Crisis, international bank lending, procyclicality, financial stability

 

This publication is available on the BIS website (ww...

Payments, credit and asset prices

BIS Working Papers

No 734

 

Payments, credit and asset prices

by Monika Piazzesi and Martin Schneider

 

Monetary and Economic Department

May 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for International Settlements 2017. All rights reserved. Brief excerpts ma...

A risk-centric model of demand recessions and macroprudential policy

BIS Working Papers

No 733

 

A risk-centric model of demand recessions and macroprudential policy

by Ricardo J Caballero and Alp Simsek

 

Monetary and Economic Department

July 2018

 

JEL classification: E00, E12, E21, E22, E30, E40, G00, G01, G11

Keywords: Risk gap, output gap, risk-premium shocks, aggregate demand, liquidity trap,“rstar”, Sharpe ratio, monetary and macroprudential policy, heterogeneous beliefs, speculation, endogen...

The global factor in neutral policy rates: Some implications for exchange rates, monetary policy, and policy coordination

BIS Working Papers

No 732

 

The global factor in neutral policy rates: Some implications for exchange rates, monetary policy, and policy coordination

by Richard Clarida

 

Monetary and Economic Department

July 2018

 

JEL classification: E4, E5, F3, F31

Keywords: monetary policy, policy coordination, exchange rates, r*

 

This publication is available on the BIS website (www.bis.org).

 

©...

The likelihood of effective lower bound events

BIS Working Papers

No 731

 

The likelihood of effective lower bound events

by Michal Franta

 

Monetary and Economic Department

June 2018

 

JEL classification: E37, E52, C11

Keywords: effective lower bound, ELB risk, mean adjustment, panel VAR, regime change

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for International Settlements 2017. All rights reserve...

U.S. monetary policy and fluctuations of international bank lending

BIS Working Papers

No 730

 

U.S. monetary policy and fluctuations of international bank lending

by Stefan Avdjiev and Galina Hale

 

Monetary and Economic Department

June 2018

 

JEL classification: F21, F32, F34

Keywords: Monetary policy spillovers, capital flows, bank lending

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for International Settlements 2017....

Has inflation targeting become less credible?

BIS Working Papers

No 729

 

Has inflation targeting become less credible?

by Nathan Sussman and Osnat Zohar

 

Monetary and Economic Department

June 2018

 

JEL classification: E52, E58, E31, E32

Keywords: Inflation targeting, inflation expectations, monetary policy, oil prices, anchoring, credibility

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for Interna...

Accumulation of foreign currency reserves and risk-taking

BIS Working Papers

No 728

 

Accumulation of foreign currency reserves and risk-taking

by Rasmus Fatum and James Yetman

 

Monetary and Economic Department

June 2018

 

JEL classification: F31, G15

Keywords: Foreign exchange reserves; risk-taking; implied volatility; credit default swaps

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for International Settleme...

Recent RMB policy and currency co-movements

BIS Working Papers

No 727

 

Recent RMB policy and currency co-movements

Robert N McCauley and Chang Shu

 

Monetary and Economic Department

June 2018

 

JEL classification: F31, F33

Keywords: exchange-rate determination; renminbi (CNY) policy, renminbi zone, spillovers, renminbi internationalisation

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for Internati...

Residential investment and economic activity: evidence from the past five decades

BIS Working Papers

No 726

 

Residential investment and economic activity: evidence from the past five decades

by Emanuel Kohlscheen, Aaron Mehrotra and Dubravko Mihaljek

 

Monetary and Economic Department

June 2018

 

JEL classification: E22, E32, E37, E43, E52, F44

Keywords: housing markets, residential investment, house prices, business cycles, construction, interest rates, recession forecasts

 

This publication is a...

Identifying oil price shocks and their consequences: the role of expectations in the crude oil market

BIS Working Papers

No 725

 

Identifying oil price shocks and their consequences: the role of expectations in the crude oil market

by Takuji Fueki, Hiroka Higashi, Naoto Higashio, Jouchi Nakajima, Shinsuke Ohyama and Yoichiro Tamanyu

 

Monetary and Economic Department

May 2018

 

JEL classification: C32, E44, G12, G15

Keywords: Oil demand and supply, oil price, structural vector autoregressive model

 

This publication is...

Do small bank deposits run more than large ones? Three event studies of contagion and financial inclusion

BIS Working Papers

No 724

 

Do small bank deposits run more than large ones? Three event studies of contagion and financial inclusion

by Dante B Canlas, Johnny Noe E Ravalo and Eli M Remolona

 

Monetary and Economic Department

May 2018

 

JEL classification: G21, G28, C21, O35

Keywords: Financial inclusion, financial stability, contagion, bank run, event study, selection bias

 

This publication is available on the BIS ...

The cross-border credit channel and lending standards surveys

BIS Working Papers

No 723

 

The cross-border credit channel and lending standards surveys

by Andrew Filardo and Pierre Siklos

 

Monetary and Economic Department

May 2018

 

JEL classification: F44, F36, F15, E5, E32

Keywords: global VAR, lending standards and credit conditions, unconventional monetary policies, spillovers

 

This publication is available on the BIS website (www.bis.org).

 

&c...

The enduring link between demography and inflation

BIS Working Papers

No 722

 

The enduring link between demography and inflation

by Mikael Juselius and Előd Takáts

 

Monetary and Economic Department

May 2018

 

JEL classification: demography, ageing, inflation, monetary policy

Keywords: E31, E52, J11

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for International Settlements 2017. All rights reserve...

Effects of asset purchases and financial stability measures on term premia in the euro area

BIS Working Papers

No 721

 

Effects of asset purchases and financial stability measures on term premia in the euro area

Richhild Moessner

 

Monetary and Economic Department

May 2018

 

JEL classification: E58, G15

Keywords: Monetary policy, asset purchases, financial stability, term premia

 

This publication is available on the BIS website (www.bis.org).

 

© Bank for I...

Could a higher inflation target enhance macroeconomic stability?

BIS Working Papers

No 720

 

Could a higher inflation target enhance macroeconomic stability?

by José Dorich, Nicholas Labelle St‐Pierre, Vadym Lepetyuk and Rhys R. Mendes

 

Monetary and Economic Department

May 2018

 

JEL classification: E32, E37, E43, E52

Keywords: inflation target, effective lower bound, unconventional monetary policy, quantitative easing, forward guidance

 

This publication...

Channels of US monetary policy spillovers to international bond markets

BIS Working Papers

No 719

 

Channels of US monetary policy spillovers to international bond markets

by Elias Albagli, Luis Ceballos, Sebastian Claro, and Damian Romero

 

Monetary and Economic Department

May 2018

 

JEL classification: E43, G12, G15

Keywords: monetary policy spillovers, risk neutral rates, term premia

 

This publication is available on the BIS website (www.bis.org).

 

...

Breaking the trilemma: the effects of financial regulations on foreign assets

BIS Working Papers

No 718

 

Breaking the trilemma: the effects of financial regulations on foreign assets

by David Perez-Reyna and Mauricio Villamizar-Villegas

 

Monetary and Economic Department

May 2018

Paper produced as part of the BIS Consultative Council for the Americas (CCA) research conference on "Low interest rates, monetary policy and international spillovers" hosted by the Federal Reserve Board,...

Financial and price stability in emerging markets: the role of the interest rate

BIS Working Papers

No 717

 

Financial and price stability in emerging markets: the role of the interest rate

by Lorenzo Menna and Martin Tobal

 

Monetary and Economic Department

May 2018

Paper produced as part of the BIS Consultative Council for the Americas (CCA) research conference on "Low interest rates, monetary policy and international spillovers" hosted by the Federal Reserve Board, Washington DC, 2...

Macro-financial linkages: the role of liquidity dependence

BIS Working Papers

No 716

 

Macro-financial linkages: the role of liquidity dependence

by Alexey Ponomarenko, Anna Rozhkova and Sergei Seleznev

 

Monetary and Economic Department

April 2018

 

JEL classification: G2, O16, C32

Keywords: liquidity dependence, macro-financial linkages, Smooth Transition Bayesian VAR

 

This publication is available on the BIS website (ww...

A Time Series Model of Interest Rates With the Effective Lower Bound

BIS Working Papers

No 715

 

A time series model of interest rates with the effective lower bound

by Benjamin K. Johannsen and Elmar Mertens

 

Monetary and Economic Department

April 2018

 

JEL classification: C32, C34, C53, E43, E47

Keywords: Shadow Rate, Effective Lower Bound, Trend Real Rate, Monetary Policy Shocks, Bayesian Time Series

 

This publication is availa...

Do interest rates play a major role in monetary policy transmission in China?

BIS Working Papers

No 714

 

Do interest rates play a major role in monetary policy transmission in China?

by Güneş Kamber and M S Mohanty

 

Monetary and Economic Department

April 2018

 

JEL classification: E31, C11, C32

Keywords: inflation; unobserved components; professional forecasts; sticky information; stochastic volatility; t...

Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility

BIS Working Papers

No 713

 

Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility

by Elmar Mertens and James M. Nason

 

Monetary and Economic Department

April 2018

 

JEL classification: E31, C11, C32

Keywords: inflation; unobserved components; professional forecasts; sticky information; s...

Firms’ credit risk and the onshore transmission of the global financial cycle

BIS Working Papers

No 712

 

Firms’ credit risk and the onshore transmission of the global financial cycle

by Ramon Moreno and Jose Maria Serena-Garralda

 

Monetary and Economic Department

March 2018

 

JEL classification: F24, F36, G15, G30

Keywords: International bonds, Credit Risk, Global risk appetite, Firm-level data

&...

Credit Supply and Productivity Growth

BIS Working Papers

No 711

 

Credit Supply and Productivity Growth

by Francesco Manaresi and Nicola Pierri

 

Monetary and Economic Department

March 2018

 

JEL classification: D22, D24, G21

Keywords: credit supply, productivity, export, management, IT adoption

 

This publication is available on the BIS website (ww...

Exchange rate appreciations and corporate risk taking

BIS Working Papers

No 710

 

Exchange rate appreciations and corporate risk taking

by Sebnem Kalemli-Ozcan, Xiaoxi Liu and Ilhyock Shim

 

Monetary and Economic Department

March 2018

 

JEL classification: E0, F0, F1

Keywords: capital flows, exchange rates, FX borrowing, firm heterogeneity, firm leverage

 

This pub...

Does sovereign risk in local and foreign currency differ?

BIS Working Papers

No 709

 

Does sovereign risk in local and foreign currency differ?

by Marlene Amstad, Frank Packer and Jimmy Shek

 

Monetary and Economic Department

March 2018

 

JEL classification: G15, F30, G21, G28

Keywords: Global banks, dollar funding, money market funds, relationship frictions, US Money Market Fund reform

...

Global imbalances from a stock perspective. The asymmetry between creditors and debtors

BIS Working Papers

No 707

 

Global imbalances from a stock perspective. The asymmetry between creditors and debtors

by Enrique Alberola, Ángel Estrada and Francesca Viani

 

Monetary and Economic Department

March 2018

 

JEL classification: E32, E40, E44, E50, E52

Keywords: monetary policy, financial stability, financial cycle, natural interest rate, inflation

 

...

Monetary policy in the grip of a pincer movement

BIS Working Papers

No 706

 

Monetary policy in the grip of a pincer movement

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

 

Monetary and Economic Department

March 2018

 

JEL classification: E32, E40, E44, E50, E52

Keywords: monetary policy, financial stability, financial cycle, natural interest rate, i...

An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans

BIS Working Papers

No 705

 

An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans

by Sven Klingler and Suresh Sundaresan

 

Monetary and Economic Department

February 2018

 

JEL classification: D40, G10, G12, G13, G15, G22, G23

Keywords: duration, swap spreads, balance sheet constraints, funding statu...

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

BIS Working Papers

No 704

 

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

by Mahir Binici, Michael Hutchison and Evan Weicheng Miao

 

Monetary and Economic Department

February 2018

 

JEL classification: G2

Keywords: shadow banking, wealth management products (WMPs), struc...

The negative interest rate policy and the yield curve

BIS Working Papers

No 703

 

The negative interest rate policy and the yield curve

by Jing Cynthia Wu and Fan Dora Xia

 

Monetary and Economic Department

February 2018

 

JEL classification: G2

Keywords: shadow banking, wealth management products (WMPs), structured credit intermediation, investment receivables, entrusted loans, trust loans...

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

BIS Working Papers

No 702

 

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

by Masazumi Hattori, Ilhyock Shim and Yoshihiko Sugihara

 

Monetary and Economic Department

February 2018

 

JEL classification: G2

Keywords: shadow banking, wealth management products (WMPs), structured credit intermediation, invest...

Mapping shadow banking in China: structure and dynamics

BIS Working Papers

No 701

 

Mapping shadow banking in China: structure and dynamics

by Torsten Ehlers, Steven Kong and Feng Zhu

 

Monetary and Economic Department

February 2018

 

JEL classification: G2

Keywords: shadow banking, wealth management products (WMPs), structured credit intermediation, investment receivables, entrusted loans, t...

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

BIS Working Papers

No 700

 

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

by James Yetman

 

Monetary and Economic Department

February 2018

 

JEL classification: E31, E58

Keywords: deflation; inflation expectations; forecast disagreement; monetary policy

 

This publicat...

Deflation expectations

BIS Working Papers

No 699

 

Deflation expectations

by Ryan Banerjee and Aaron Mehrotra

 

Monetary and Economic Department

February 2018

 

JEL classification: E31, E58

Keywords: deflation; inflation expectations; forecast disagreement; monetary policy

 

This publication is available on the BIS website (www.bis.org...

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

BIS Working Papers

No 698

 

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

by Isabel Schnabel and Hyun Song Shin

 

Monetary and Economic Department

February 2018

 

JEL classification: E42, E58, N13.

Keywords: Gresham’s Law; debasement; common knowledge; central banks

 

This publication...

Are Banks Opaque? Evidence from Insider Trading

BIS Working Papers

No 697

 

Are Banks Opaque? Evidence from Insider Trading

by Fabrizio Spargoli and Christian Upper

 

Monetary and Economic Department

January 2018

 

JEL classification: G14, G20, G21

Keywords: bank opacity, insider trading, financial stability

 

This publication is available on the BIS website (...

Monetary policy spillovers, global commodity prices and cooperation

BIS Working Papers

No 696

 

Monetary policy spillovers, global commodity prices and cooperation

by Andrew Filardo, Marco Lombardi, Carlos Montoro and Massimo Ferrar

 

Monetary and Economic Department

January 2018

 

JEL classification: F36, F41, G20

Keywords: global value chains, dollar invoicing, global liquidity

 

...

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

BIS Working Papers

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

 

Monetary and Economic Department

January 2018

 

JEL classification: F36, F41, G20

Keywords: global value chains, dollar invoicing, global liquidity

 ...

Exchange Rates and the Working Capital Channel of Trade Fluctuations

BIS Working Papers

No 694

 

Exchange Rates and the Working Capital Channel of Trade Fluctuations

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

 

Monetary and Economic Department

January 2018

 

JEL classification: F36, F41, G20

Keywords: global value chains, dollar invoicing, global liquidity

 

This publicati...

Family first? Nepotism and corporate investment

BIS Working Papers

No 693

 

Family first? Nepotism and corporate investment

by Gianpaolo Parise, Fabrizio Leone and Carlo Sommavilla

 

Monetary and Economic Department

January 2018

 

JEL classification: G31, G40, J33

Keywords: nepotism, investment, moral hazard, hiring practices, family ties

 

This publication i...

Central Bank Forward Guidance and the Signal Value of Market Prices

BIS Working Papers

No 692

 

Central Bank Forward Guidance and the Signal Value of Market Prices

by Stephen Morris and Hyun Song Shin

 

Monetary and Economic Department

January 2018

 

JEL classification: D82, E43, E58

Keywords: Central bank communication, market expectations, crowding out

 

This publication is ava...

Effectiveness of unconventional monetary policies in a low interest rate environment

BIS Working Papers

No 691

 

Effectiveness of unconventional monetary policies in a low interest rate environment

by Andrew Filardo and Jouchi Nakajima

 

Monetary and Economic Department

January 2018

 

JEL classification: E43, E44, E52, E58.

Keywords: lending rate, quantitative easing, timevarying parameter VAR model, unconventional mone...

Nonlinear state and shock dependence of exchange rate passthrough on prices

BIS Working Papers

No 690

 

Nonlinear state and shock dependence of exchange rate passthrough on prices

by Hernán Rincón-Castro and Norberto Rodríguez-Niño

 

Monetary and Economic Department

January 2018

 

JEL classification: JEL: F31, E31, E52, C51, C52

Keywords: Exchange rate pass-through to prices, pricing ...

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

BIS Working Papers

No 689

 

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

by Kristyna Ters and Jörg Urban

 

Monetary and Economic Department

January 2018

 

JEL classification: G12, G14 and G15

Keywords: Transaction cost, arbitrage, basis, threshold, regime switch, intraday,...

Global Factors and Trend Inflation

BIS Working Papers

No 688

 

Global Factors and Trend Inflation

by Gunes Kamber and Benjamin Wong

 

Monetary and Economic Department

January 2018

 

JEL classification: C32, E31, F41

Keywords: Trend inflation, foreign shocks, BeveridgeNelson decomposition

 

BIS Working Papers are written by members of the Monetary...

Searching for Yield Abroad: Risk-Taking through Foreign Investment in U.S. Bonds

BIS Working Papers

No 687

 

Searching for Yield Abroad: Risk-Taking through Foreign Investment in U.S. Bonds

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

 

Monetary and Economic Department

January 2018

 

JEL classification: F21, F34, G11, G20.

Keywords: low interest rates, search for yield, portfolio choice, corpora...

Determinants of bank profitability in emerging markets

BIS Working Papers

No 686

 

Determinants of bank profitability in emerging markets

by E. Kohlscheen, A. Murcia and J. Contreras

 

Monetary and Economic Department

January 2018

 

JEL classification: E32, E43, G21.

Keywords: bank profitability, credit, risk premia, emerging markets, interest rates.

 

BIS Working P...

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

BIS Working Papers

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

 

Monetary and Economic Department

December 2017

 

JEL classification: E32, E40, E44, E50, E52.

Keywords: Real interest rate, natural interest rate, saving, investmen...

Triffin: dilemma or myth?

BIS Working Papers

No 684

 

Triffin: dilemma or myth?

by Michael D Bordo and Robert N McCauley

 

Monetary and Economic Department

December 2017

 

JEL classification: F32, F33, F34, F41, H63.

Keywords: Triffin dilemma, Foreign exchange reserves, Gold, US current account, Safe assets, World’s banker

 

BIS Wor...

Can macroprudential measures make crossborder lending more resilient?

BIS Working Papers

No 683

 

Can macroprudential measures make crossborder lending more resilient?

by Előd Takáts and Judit Temesvary

 

Monetary and Economic Department

December 2017

 

JEL codes: F34; F42; G21; G38

Keywords: Taper tantrum; cross-border claims; macroprudential policy; diff-in-diff analysis

 

...

Bank business models: popularity and performance

BIS Working Papers

No 682

 

Bank business models: popularity and performance

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

 

Monetary and Economic Department

December 2017

 

JEL classification: D20, G21, L21, L25

Keywords: Balance sheet characteristics, cluster analysis, discriminant analysis, model trans...

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

BIS Working Papers

No 681

 

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

by Snehal S. Herwadkar

 

Monetary and Economic Department

December 2017

 

JEL classification: G30, G32.

Keywords: dynamic capital structure, corporate leverage, emerging market economies, global financial crisis.

&n...

The Macroeconomic Effects of Asset Purchases Revisited

BIS Working Papers

No 680

 

The Macroeconomic Effects of Asset Purchases Revisited

by Henning Hesse, Boris Hofmann, James Weber

 

Monetary and Economic Department

December 2017

 

JEL classification: E50, E51, E52.

Keywords: unconventional monetary policy, asset purchases, monetary transmission.

 

BIS Working Pap...

Syndicated loans and CDS positioning

BIS Working Papers

No 679

 

Syndicated loans and CDS positioning

by Iñaki Aldasoro, Andreas Barth

 

Monetary and Economic Department

December 2017

 

JEL classification: G21, G28

Keywords: syndicated loans, CDS, speculation, capital regulation, EMIR, cross-border lending, asymmetric information

 

BIS Worki...

CoCo issuance and bank fragility

BIS Working Papers

No 678

 

CoCo issuance and bank fragility

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

 

Monetary and Economic Department

November 2017

 

JEL classification: G01, G21, G28, G32

Keywords: CoCos, Contingent Convertible Capital, Bank Capital Regulation, Basel III

 ...

Macroeconomic implications of financial imperfections: a survey

BIS Working Papers

No 677

 

Macroeconomic implications of financial imperfections: a survey

by Stijn Claessens and M Ayhan Kose

 

Monetary and Economic Department

November 2017

 

JEL classification: D53, E21, E32, E44, E51, F36, F44, F65, G01, G10, G12, G14, G15, G21

Keywords: asset prices, balance sheets, credit, financial accelerator, financial intermediation, financial linkages, international linkages, le...

Asset prices and macroeconomic outcomes: a survey

BIS Working Papers

No 676

 

Asset prices and macroeconomic outcomes: a survey

by Stijn Claessens and M Ayhan Kose

 

Monetary and Economic Department

November 2017

 

JEL classification: D53, E21, E32, E44, E51, F36, F44, F65, G01, G10, G12, G14, G15, G21

Keywords: equity prices, exchange rates, house prices, interest rates, credit, outpu...

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

BIS Working Papers

No 675

 

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

by Elias Minaya, José Lupú and Miguel Cabello

 

Monetary and Economic Department

November 2017

 

Paper produced as part of the BIS Consultative Council for the Americas (CCA) research project on &ldq...

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

BIS Working Papers

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

 

Monetary and Economic Department

November 2017

 

Paper produced as part of the BIS Consultative Council for the Americas (CCA)...

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

BIS Working Papers

No 673

 

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

by Douglas Kiarelly Godoy de Araujo, Joao Barata Ribeiro Blanco Barroso and Rodrigo Barbone Gonzalez

 

Monetary and Economic Department

November 2017

 

Paper produced as part of the BIS Consultative Council for the Americas (CCA) research projec...

Capital and currencybased macroprudential policies: an evaluation using credit registry data

BIS Working Papers

No 672

 

Capital and currencybased macroprudential policies: an evaluation using credit registry data

by Horacio Aguirre and Gastón Repetto

 

Monetary and Economic Department

November 2017

 

Paper produced as part of the BIS Consultative Council for the Americas (CCA) research project on “The impact of macroprudenti...

Capital misallocation and financial development: A sector-level analysis

BIS Working Papers

No 671

 

Capital misallocation and financial development: A sector-level analysis

by Daniela Marconi and Christian Upper

 

Monetary and Economic Department

November 2017

 

JEL classification: E22, E23, O16, O47

Keywords: Factor allocation, Total factor productivity, Financial development

 

BIS ...

Policy rules for capital controls

BIS Working Papers

No 670

 

Policy rules for capital controls

by Gurnain Kaur Pasricha

 

Monetary and Economic Department

November 2017

 

JEL classification: F3, F4, F5, G0, G1

Keywords: capital controls, macroprudential policy, competitiveness motivations, capital flows, emerging markets, policy rules

 

BIS Work...

Credit misallocation during the European financial crisis

BIS Working Papers

No 669

 

Credit misallocation during the European financial crisis

by Fabiano Schivardi, Enrico Sette and Guido Tabellini

 

Monetary and Economic Department

October 2017

 

JEL classification: D23, E24, G21

Keywords: bank capitalization, zombie lending, capital misallocation

 

BIS Working Papers...

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

BIS Working Papers

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 Rodriguez, Fernando Perez, Rocio Gondo, Carlos Montoro and Roberto Chang

 

Monetary and Economic Department

October 2017

 

JEL classificatio...

Modeling Time-Varying Uncertainty of MultipleHorizon Forecast Errors

BIS Working Papers

No 667

 

Modeling Time-Varying Uncertainty of Multiple Horizon Forecast Errors

by Todd E Clark, Michael W McCracken and Elmar Mertens

 

Monetary and Economic Department

October 2017

 

JEL classification: E37, C53

Keywords: Stochastic volatility, survey forecasts, fan charts

 

BIS Working Papers...

Bank Capital Allocation under Multiple Constraints

BIS Working Papers

No 666

 

Bank Capital Allocation under Multiple Constraints

By Tirupam Goel, Ulf Lewrick and Nikola Tarashev

 

Monetary and Economic Department

October 2017

 

JEL classification: G21, G28, G3

Keywords: Internal capital market, Value-at-Risk, Leverage ratio, Risk-adjusted return on capital

 

BI...

Interest rates and house prices in the United States and around the world

BIS Working Papers

No 665

 

Interest rates and house prices in the United States and around the world

by Gregory D Sutton, Dubravko Mihaljek and Agne Subelyte

 

Monetary and Economic Department

October 2017

 

JEL classification: E39, E43, E58, G12, R31, R32.

Keywords: interest rates, house prices, monetary policy, bank lending channel, random walk, house p...

Is the price right? Swing pricing and investor redemptions

BIS Working Papers

No 664

 

Is the price right? Swing pricing and investor redemptions

by Ulf Lewrick and Jochen Schanz

 

Monetary and Economic Department

October 2017

 

JEL classification: G01, G23, G28, C72

Keywords: Financial stability, mutual funds, regulation, market liquidity

 

BIS Working Papers are writte...

Liquidity risk in markets with trading frictions: What can swing pricing achieve?

BIS Working Papers

No 663

 

Liquidity risk in markets with trading frictions: What can swing pricing achieve?

by Ulf Lewrick and Jochen Schanz

 

Monetary and Economic Department

October 2017

 

JEL classification: G01, G23, G28, C72

Keywords: Financial stability, mutual funds, regulation, liquidity insurance, trading frictions

&...

The real effects of relationship lending

BIS Working Papers

No 662

 

The real effects of relationship lending

by Ryan N. Banerjee, Leonardo Gambacorta and Enrico Sette

 

Monetary and Economic Department

September 2017

 

JEL classification: E44, G21

Keywords: relationship banking, real effects of credit, credit supply

 

BIS Working Papers are written by ...

How important is the Global Financial Cycle? Evidence from capital flows

BIS Working Papers

No 661

 

How important is the Global Financial Cycle? Evidence from capital flows

by Eugenio Cerutti, Stijn Claessens and Andrew K Rose

 

Monetary and Economic Department

August 2017

 

JEL classification: F32, F36, F65, G15

Keywords: empirical, data, centre, country, panel, fit, VIX, equity, bonds, FDI, credit

...

Informal One-Sided Target Zone Model and the Swiss Franc

BIS Working Papers

No 660

 

Informal one-sided target zone model and the Swiss Franc

by Yu-Fu Chen, Michael Funke and Richhild Moessner

 

Monetary and Economic Department

August 2017

 

JEL classification: F31, E42, C61

Keywords: Swiss Franc, target zone model, exchange rate interventions

 

BIS Working Papers are ...

Effects of Capital Controls on Foreign Exchange Liquidity

BIS Working Papers

No 659

 

Effects of capital controls on foreign exchange liquidity

by Carlos A Cantú García

 

Monetary and Economic Department

August 2017

 

JEL classification: F31, F38, G11, G15

Keywords: capital flow management policies, foreign exchange market, market liquidity, market depth

 

The Distance Effect in Banking and Trade

BIS Working Papers

No 658

 

The Distance Effect in Banking and Trade

by Michael Brei and Goetz von Peter

 

Monetary and Economic Department

August 2017

 

JEL classification: F14, F34, F65, G21

Keywords: Globalization, gravity framework, distance, international trade, international banking

 

BIS Working Papers ar...

Quality Pricing-to-Market

BIS Working Papers

No 657

 

Quality Pricing-to Market

by Raphael A Auer, Thomas Chaney and Philip Sauré

 

Monetary and Economic Department

August 2017

 

JEL classification: E3, E41, F12, F4, L13

Keywords: exchange rate pass-through, intra-industry trade, monopolistic competit...

Demographics will reverse three multi-decade global trends

BIS Working Papers

No 656

 

Demographics will reverse three multi-decade global trends

by Charles Goodhart and Manoj Pradhan

 

Monetary and Economic Department

August 2017

 

JEL classification: J11, J18, E43, D63, E31, H63

Keywords: demography, globa...

The FinTech Opportunity

BIS Working Papers

No 655

 

The FinTech Opportunity

by Thomas Philippon

 

Monetary and Economic Department

August 2017

 

JEL classification: E2, G2, N2

Keywords: FinTech, financial innovation, regulation, rents

 

BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for Int...

World changes in inequality: an overview of facts, causes, consequences and policies

BIS Working Papers

No 654

 

World changes in inequality: an overview of facts, causes, consequences and policies

by François Bourguignon

 

Monetary and Economic Department

August 2017

 

JEL classification: D31, D33, H24, F60

Keywords: inequality, labour share, redistribution, globalisation, taxation

 

BIS ...

Dollar Pricing Redux

 

BIS Working Papers

No 653

 

“Dollar pricing redux”

by Camila Casas, Federico Díez, Gita Gopinath, Pierre-Olivier Gourinchas

 

Monetary and Economic Department

August 2017

 

JEL classification: F1, F2, F3, F4

Keywords: dominant currency, terms of trade, pass-through, monetary p...

The Discontinuation of the EUR/CHF Minimum Exchange Rate in January 2015: Was it Expected?

BIS Working Papers

No 652

 

The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?

by Michael Funke, Julius Loermann and Richhild Moessner

 

Monetary and Economic Department

July 2017

 

JEL classification: C53, F31, F37

Keywords: Swiss franc, forecasting, options, risk-neutral probability densitie...

Segmented Money Markets and Covered Interest Parity Arbitrage

BIS Working Papers

No 651

 

Segmented money markets and covered interest parity arbitrage

by Dagfinn Rime, Andreas Schrimpf and Olav Syrstad

 

Monetary and Economic Department

June 2017

 

JEL classification: E43, F31, G15

Keywords: Covered Interest Parity; Money Market Segmentation; Funding Liquidity Premia; FX Swap Market; U.S. Dollar ...

Financial deglobalisation in banking?

BIS Working Papers

No 650

 

Financial deglobalisation in banking?

by Robert N McCauley, Agustín S Bénétrix, Patrick M McGuire and Goetz von Peter

 

Monetary and Economic Department

June 2017

 

JEL classification: F36, F4, G21

Keywords: Financial globalisation, international banking; consolidation; ownership

Monetary Policy Transmission and Trade-offs in the United States: Old and New

BIS Working Papers

No 649

 

Monetary Policy Transmission and Tradeoffs in the United States: Old and New

by Boris Hofmann and Gert Peersman

 

Monetary and Economic Department

June 2017

 

JEL classification: E52

Keywords: monetary policy trade-offs, monetary transmission mechanism, inflation, credit, ho...

Credit ratings of domestic and global agencies: What drives the differences in China and how are they priced?

BIS Working Papers

No 648

 

Credit ratings of domestic and global agencies: What drives the differences in China and how are they priced?

by Xianfeng Jiang and Frank Packer

 

Monetary and Economic Department

June 2017

 

JEL classification: G12, G18, G23, G24

Keywords: Credit ratings, split ratings, state-owned firms, Chinese bond marke...

The evolution of inflation expectations in Japan

BIS Working Papers

No 647

 

The evolution of inflation expectations in Japan

by Masazumi Hattori and James Yetman

 

Monetary and Economic Department

June 2017

 

JEL classification: E31, E58

Keywords: Inflation expectations, decay function, inflation targeting, deflation

 

BIS Working Papers are written by member...

Macroprudential policy and bank risk

BIS Working Papers

No 646

 

Macroprudential policy and bank risk

by Yener Altunbas, Mahir Binici and Leonardo Gambacorta

 

Monetary and Economic Department

June 2017

 

JEL classification: E43, E58, G18, G28

Keywords: macroprudential policies, effectiveness, bank risk

 

BIS Working Papers are written by members o...

Accounting for Debt Service The Painful Legacy of Credit Booms

BIS Working Papers

No 645

 

Accounting for debt service: the painful legacy of credit booms

by Mathias Drehmann, Mikael Juselius and Anton Korinek

 

Monetary and Economic Department

June 2017

 

JEL classification: E17, E44, G01, D14

Keywords: new borrowing, debt service, financial cycle, real-financial linkages

 

BIS Working Papers are written by members of the Monetary and Economic...

The shifting drivers of global liquidity

uaa

BIS Working Papers

No 644

 

The shifting drivers of global liquidity

by Stefan Avdjiev, Leonardo Gambacorta, Linda S. Goldberg and Stefano Schiaffi

 

Monetary and Economic Department

June 2017

 

JEL classification: G10, F34, G21

Keywords: Global liq...

The International Dimensions of Macroprudential Policies

BIS Working Papers

No 643

 

The international dimensions of macroprudential policies

by Pierre-Richard Agénor, Enisse Kharroubi, Leonardo Gambacorta,  Giovanni Lombardo and Luiz Pereira da Silva

 

Monetary and Economic Department

June 2017

 

JEL classification: E3, E5, F3, F5, G1

Keywords...

The Effects of Monetary Policy Shocks on Inequality in Japan

 

BIS Working Papers

No 642

The effects of monetary policy shocks on inequality in Japan

by Masayuki Inui, Nao Sudo and Tomoaki Yamada

 

 

Monetary and Economic Department

June 2017

 

 

JEL classification: E3, E4, E5

Keywords: Monetary Policy; Income, Consumption, and Weal...

China's evolving monetary policy rule: from inflation-accommodating to anti-inflation policy

BIS Working Papers

No 641

 

China’s evolving monetary policy rule: from inflationaccommodating to antiinflation policy

by Eric Girardin, Sandrine Lunven and Guonan Ma

 

Monetary and Economic Department

May 2017

 

JEL classification: E52, E58, O11, O52.

Keywords: monetary policy in China, People’s B...

Understanding the Determinants of Financial Outcomes and Choices: The Role of Noncognitive Abilities

BIS Working Papers

No 640

 

Understanding the determinants of financial outcomes and choices: the role of noncognitive abilities

by Gianpaolo Parise and Kim Peijnenburg

 

Monetary and Economic Department

May 2017

 

JEL classification: D10; D14; G02

Keywords: Noncognitive abilities, financial distress, financial choices, saving, unsecure...

Understanding the determinants of financial outcomes and choices: the role of noncognitive abilities

 

 

 

BIS Working Papers

No 640

Read more...

Supply- and demand- side factors in global banking

 

 

BIS Working Papers

No 639

Supply- and demand- side factors in global banking

Assessing fiscal policy through the lens of the financial and the commodity price cycles

 

 

BIS Working Papers

No 638

Assessing fiscal policy through the lens of the financial and the commodity price cycles

Read more...

Global value chains and effective exchange rates at the country-sector level

 

BIS Working Papers

No 637

The impact of macroprudential policies and their interaction with monetary policy: an empirical analysis using credit registry data

 

 

 

 

 

BIS Working Papers

No 636

The impact of macroprudential policies and their interaction with monetary policy: an empirical analysis using credit registry data

Read more...

Prudential policies and their impact on credit in the United States

 

 

BIS Working Papers

No 635

Prudential policies and their impact on credit in the United States

by Paul Calem, Ricardo Correa and Seung Jung Lee...

Evaluating the impact of macroprudential policies on credit growth in Colombia

Upload photo

 

 

 

 

 

BIS Working Papers

No 634

Evaluating the impact of macroprudential policies on credit growth in Colombia

Read more...

The impact of warnings published in a financial stability report on loan-to- value ratios

Image uaa

 

 

BIS Working Papers

No 633

Read more...

Is monetary policy less effective when interest rates are persistently low?

Image obx1

BIS Working Papers No 628

Is monetary policy less effective when interest rates are persistently low? by Claudio Borio and Boris Hofmann

Monetary and Economic Department April 2017

JEL classification: E43, E52 Keywords: monetary policy, low interest rates, balancesheet recession, monetary transmission

BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subject...