Quantitative easing and the collateral problem
Another (IMF) paper of Manmohan Singh deals with the influence of non-conventional monetary policy on collateralized borrowing. In past years, quantitative easing (QE) has absorbed collateral...
Collateral framework: risks and policies
The rising importance of high-quality collateral for financial transactions brings new systemic risks, such as potential collateral shortages and secured funding constraints in crisis times....
The Federal Reserve’s strategy after tapering
William Dudley provided an update of the Fed’s strategy for normalizing monetary policy. Under appropriate economic conditions, policy rates could begin rising in 2015,...
Critical transitions in financial markets
Critical transitions in financial markets are shifts in prices and operational structure to a new equilibrium after reaching a tipping point. “Complexity theory” helps...
The evolution of China’s monetary policy
China’s economy has long relied on compressed interest rates in conjunction with strict capital controls and a tightly managed exchange rate. A new ADBI...
The demographic compression of interest rates
Declining population growth and rising dependency ratios in the developed world have been one key factor behind the decline in nominal and real interest...
BIS re-interpretation of TARGET2 (im-)balances
In an easily readable working paper Stephen Cecchetti and colleagues explain the connection between euro area break-up concerns, Target2 balances, and financial conditions. This...
How convenience yields have compressed real interest rates
Real interest rates on ‘safe’ assets such as high-quality government bonds had been stationary around 2% for more than a century until the 1980s....
The impact of non-conventional monetary policy on banks
Non-conventional monetary policy seems to benefit banks' balance sheets. After all, it offers cheap refinancing and credit market support. However, an empirical analysis by...
Measuring non-conventional monetary policy surprises
A new paper proposes a measure for monetary policy surprises that arise from asset purchases and forward guidance. The idea is to estimate the...
RECENT ARTICLES
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’...