Five things to know about commodity trading firms

The systemic importance of commodity trading firms (CTFs) deserves attention. Key points to understand are CTFs’ core business is logistics, storage and processing,...

The toxic combination of leverage and bubbles

A 145-year empirical analysis suggests that asset price surges are most dangerous when they are associated with rising financial leverage. The combination of housing price bubbles...

Why money markets remain vulnerable

New theoretical work shows that money markets remain fragile as long as there is a connection between asset prices, secured funding and unsecured funding. The degree...

Collateral and liquidity

A new BIS paper illustrates how debt and collateralization create liquidity. In particular, money markets rely on excessive and obfuscated debt collateral to contain...

Climate change and systemic financial risk

The rise in global temperatures calls for a lower-carbon economy overtime. This poses systemic financial risk in two ways. First, large fossil-fuel reserves may...

The rise and risks of euro area shadow banking

The non-bank financial sector in the euro area has doubled in size over the last 10 years. It has become a concern for three...

On collateral chains

A new IMF paper investigates the role of shadow banks in securitization and collateral intermediation. One important forward-looking concern is the potential vulnerability of...

Mutual funds and market dislocations

The IMF Financial Stability Report highlights two systemic weaknesses of plain-vanilla mutual funds: incentives for end investors to rush for the exit in distress...

China housing and global base metal prices

China consumes half of the world’s base metal supply. Its housing market is the most metal-intensive large sector. A new quantitative study shows that...

The impact of regulatory reform on money markets

A new CGFS paper suggests that bank regulatory capital and liquidity changes may reduce liquidity in money markets, create steeper short-term yield...

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R tidyverse for macro trading research

The tidyverse is a collection of packages that facilitate data science with R. It is particularly powerful for macro trading research because it...

Nowcasting with MIDAS regressions

Nowcasting macro-financial indicators requires combining low-frequency and high-frequency time series. Mixed data sampling (MIDAS) regressions explain a low-frequency variable based on high-frequency variables and...

Market-implied macro shocks

Combinations of equity returns and yield-curve changes can be used to classify market-implied underlying macro news. The methodology is structural vector autoregression. Theoretical ‘restrictions’...

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