Summary of Quarterly Bulletin
Winter 2004
Each article is available as a
separate pdf file; click on the appropriate title to access
the relevant file. Alternatively you may download the complete
issue 
(1.9M). |
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Markets and operations
(177k) |
This article reviews developments since the Autumn 2004 Quarterly Bulletin in sterling financial markets, UK market structure and the Bank's official operations. |
| Research and analysis | Research work published by the Bank is intended
to contribute to debate, and does not necessarily reflect
the views of the Bank or of MPC members. British household indebtedness and financial stress: a household-level picture
(154k) (by Orla May, Merxe Tudela and Garry Young of the Bank's MacroPrudential Risks Division). This article summarises the main results of a survey carried out for the Bank in September 2004 about household borrowing, housing wealth and attitudes to debt. The survey was designed to provide a comprehensive, up-to-date picture of household indebtedness. It found significant differences between homeowners and renters: renters are more likely to have debt problems, but their share of total household debt is small. The vast majority of debt is owed by homeowners, very few of whom (by historical standards) show signs of having problems at present. While 40% of total outstanding household debt is owed by those spending more than a quarter of their gross income on servicing their debts, the share of debt owed by those currently with debt problems is lower than a decade ago. NMG Research survey questionnaire
(38k)The new sterling ERI
(181k) (by Birone Lynch and Simon Whitaker of the Bank's Structural Economic Analysis Division). This article explains proposals for a new sterling trade-weighted effective exchange rate index. The existing index is based on trade patterns in manufactured goods in 1989-91. The proposed new index would reflect more recent trade patterns, incorporate services trade and a broader set of countries, including those in Asia. We are inviting comments on the proposed method with a view to publishing the new index on a regular basis from Spring 2005. Using option prices to measure financial market views about balances of risk to future asset prices
(190k) (by Damien Lynch and Nikolaos Panigirtzoglou of the Bank's Monetary Instruments and Markets Division and George Kapetanios of the Bank's Conjunctural Assessment and Projections Division). Probability density functions (pdfs), implied by prices of traded options, are often used by the Bank to examine financial market expectations about future levels of different asset prices. This article examines how information about one aspect of such expectations - views on balances of risk - for future asset prices may be inferred from the degree of asymmetry of an implied pdf. We first look at the general issue of choosing a statistic to summarise the degree of asymmetry of any pdf. The choice of units when measuring changes in the underlying asset price is then considered. Finally, we examine empirically the implications of using various asymmetry measures when relating the information from option-implied pdfs to market views about balances of risk to future asset prices. |
| Reports | The foreign exchange and over-the-counter
derivatives markets in the United Kingdom
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