Research

• External Publications in Refereed Journals 2015-2018

  2018

  • Threshold-based forward guidance
    (Lena Boneva, Richard Harrison and Matt Waldron), Journal of Economic Dynamics and Control, Volume 90
  • Optimal pay regulation for too-big-to-fail banks
    (John Thanassoulis and Misa Tanaka), Journal of Financial Intermediation, Vol. 33
  • The impact of EU and non-EU immigration on British wages
    (Stephen Nickell and Jumana Saleheen), IZA Journal of Development and Migration
  • Network reconstruction with UK CDS trade repository data
    (William Abel and Laura Silvestri), Quantitative Finance, Vol. 17, Issue 12
  • When arm’s length is too far: relationship banking over the credit cycle
    (Thorsten Beck, Hans Degryse, Ralph De Haas and Neeltje van Horen), Journal of Financial Economics, Vol. 127, Issue 1
  • An interdisciplinary model for macroeconomics
    (Andrew Haldane and Arthur Turrell), Oxford Review of Economic Policy, Vol. 34, Issue 1-2
  • An agent-based model of corporate bond trading
    (Karen Braun-Munzinger, Zijun Liu and Arthur Turrell), Quantitative Finance, Vol. 18, Issue 4
  • What do the prices of UK inflation-linked securities say on inflation expectations, risk premia and liquidity risks?
    (Iryna Kaminska, Zhuoshi Liu, Jon Relleen and Elisabetta Vangelista), Journal of Banking & Finance, Vol.  88
  • Volatility in equity markets and monetary policy rate uncertainty
    (Iryna Kaminska and Matt Roberts-Sklar), Journal of Empirical Finance, Vol. 45
    
     

  2017

  • Initial margin model sensitivity analysis and volatility estimation
    (Melanie Houllier and David Murphy) Journal of Financial Market Infrastructures, Vol. 5, No. 4
  • Interactions among High-Frequency Traders
    (Evangelos Benos, James Brugler, Erik Hjalmarsson and Filip Zikes) Journal of Financial and Quantitative Analysis, Vol. 52, Issue 4
  • Statistical mechanics of complex economies
    (Marco Bardoscia, Giacomo Livan, Matteo Marsili), Journal of Statistical Mechanics: Theory and Experiment
  • Managing market liquidity risk in central counterparties
    (Evangelos Benos, Pedro Gurrola-Perez and Michael Wood), Journal of Financial Market Infrastructures, Vol. 5, No. 4
  • Macroprudential policy under uncertainty
    (Saleem Bahaj and Angus Foulis), International Journal of Central Banking, Vol. 13(3)
  • Central Counterparties (CCPs) and the law of default management
    (Jo Braithwaite and David Murphy), Journal of Corporate Studies. Published online: 5 Jan 2017
  • Household debt and the dynamic effects of income tax changes
    (James Cloyne and Paolo Surico), Review of Economic Studies, Vol. 84, Issue 1
  • On a tight leash:  Does bank organizational structure matter for macroprudential spillovers?
    (Danisewicz, P, Reinhardt, D and Sowerbutts, R), Journal of International Economics, Vol. 109
  • A non-cooperative foundation for the continuous Raiffa solution
    (Bram Driesen, Peter Eccles and Nora Wegner), International Journal of Game Theory, Vol. 46, Issue 4
  • Resolving a multi-million dollar contract dispute with a Latin Square
    (William B Fairley, Peter J Kempthorne, Julie Novak, Scott McGarvie, Steve Crunk, Bee Leng Lee and Alan J Salzberg), The American Statistician, Vol. 71, Issue 3
  • Assessing vulnerabilities to financial shocks in some key global economies
    (Jack Fisher and Lukasz Rachel), Journal of Risk Management in Financial Institutions, Vol. 10, No. 1
  • Current account deficits during heightened risk: menacing or mitigating?
    (Kristin Forbes, Ida Hjortsoe and Tsvetelina Nenova), The Economic Journal, Vol. 127, Issue 601
  • The spillovers, interactions, and (un)intended consequences of monetary and regulatory policies
    (Kristin Forbes, Dennis Reinhardt and Tomasz Wieladek), Journal of Monetary Economics, Vol. 85
  • International banking and cross-border effects of regulation: lessons from the Netherlands
    (Jon Frost, Jakob de Haan and Neeltje van Horen), International Journal of Central Banking, Vol. 13(1)
  • International banking and cross-border effects of regulation: lessons from the United Kingdom
    (Robert Hills, Dennis Reinhardt, Rhiannon Sowerbutts and Tomasz Wieladek), International Journal of Central Banking, Vol. 13, Supplement 1
  • Least squares estimation of large dimensional threshold factor models
    (Daniele Massacci), Journal of Econometrics, Vol. 197, Issue 1
  • Tail risk dynamics in stock returns: links to the macroeconomy and global markets connectedness
    (Daniele Massacci), Management Science, Vol 63, Issue 9
  • I’ve got you under my skin: large central counterparty financial resources and the incentives they create
    (David Murphy), Journal of Financial Market Infrastructures, Vol. 5, No. 3
  • Estimating ‘hedge and auction’ liquidation costs in central counterparties: a closeout risk approach
    (Luis Vicente, Fernando Cerezetti and Alan De Genaro), Journal of Financial Market Infrastructures, Vol. 6, No. 1

  2016

  • The Bank of England/NMG Survey of household finances (G Anderson, P Bunn, A Pugh and A Uluc) Fiscal Studies, Vol. 37, Issue 1
  • The role of collateral in supporting liquidity (Y Baranova, Z Liu and J Noss) Journal of Financial Market Infrastructures, Vol. 5, No. 1
  • Price discovery and the cross-section of high-frequency trading (E Benos and S Sagade) Journal of Financial Markets, Vol. 30
  • What moves international stock and bond markets? (G Cenedese and E Mallucci) Journal of International Money and Finance, Vol. 60
  • What do stock markets tell us about exchange rates? (G Cenedese, R Payne, L Sarno and G Valente) Review of Finance, Vol. 20, Issue 3
  • Does US partisan conflict matter for the euro area? (C H J Cheng, J Chiu and W B Hawkins) Economics Letters, Vol. 138
  • The macroeconomic effects of monetary policy:  a new measure for the United Kingdom (J Cloyne and P Hürtgen) American Economic Journal: Macroeconomics, Vol. 8, No. 4
  • CCPs in crisis: International Commodities Clearing House, New Zealand Futures and Options Exchange (R T Cox, D Murphy and E Budding) Journal of Financial Market Infrastructures, Vol. 4, No 3
  • Factor complementarity and labour market dynamics (F Di Pace and S Villa) European Economic Review, Vol. 82
  • Exchange rate regimes and current account adjustment:  an empirical investigation (F Eguren Martin) Journal of International Money and Finance, Vol. 65
  • Using Shapley’s asymmetric power index to measure banks’ contributions to systemic risk (R Garratt, L Webber and M Willison) Journal of Network Theory in Finance, Vol. 2, No. 2
  • Imbalances and fiscal policy in a monetary union (I Hjortsoe) Journal of International Economics, Vol. 102
  • A new summary measure of inflation expectations (G Kapetanios, B Maule and G Young) Economics Letters, Vol. 149
  • Evaluating the robustness of UK term structure decompositions using linear regression methods (S Malik and A Meldrum)  Journal of Banking and Finance, Vol. 67
  • Integrating macro-prudential policy:  central banks as the ‘third force’ in EU financial reform (S McPhilemy) West European Politics, Vol. 39, No. 3
  • The effect of labor and financial frictions on aggregate fluctuations (H Mumtaz and F Zanetti) Macroeconomic Dynamics, Vol. 20, Issue 1
  • I want security: stylized facts about CCP collateral and their systemic context (D Murphy, H Holden and M Houllier) Journal of Financial Market Infrastructures, Vol. 5, No. 2
  • Identifying historical episodes for CCP stress testing (D Murphy and D Macdonald) Journal of Financial Market Infrastructures, Vol. 4, No 3
  • Capital stocks and capital services:  integrated and consistent estimates for the United Kingdom, 1950-2013 (N Oulton and G Wallis) Economic Modelling, Vol. 54
  • An intellectual property-based approach to the mandatory disclosure among lenders of credit data for small and medium enterprises (P Siciliani) Journal of Banking Regulation, Vol. 17, Issue 4
  • Efficient evaluation of collisional energy transfer terms for plasma particle simulations (A E Turrell, M Sherlock and S J Rose) Journal of Plasma Physics, Vol. 82, Issue 1
  • Tax incentives and investment in the UK (G Wallis) Oxford Economic Papers, Vol. 68, Issue 2

  2015

  • The two faces of cross-border banking flows (Dennis Reinhardt and Steven J Riddiough), IMF Economic Review, Vol. 63, Issue 4
  • Curbing the credit cycle (D Aikman, A G Haldane and B D Nelson) The Economic Journal, Vol. 125, Issue 585
  • Reputation, risk-taking and macroprudential policy (D Aikman, B Nelson and M Tanaka) Journal of Banking and Finance, Vol. 50
  • Simple banking: profitability and the yield curve (P Alessandri and B Nelson) Journal of Money, Credit and Banking, Vol. 47, Issue 1
  • Risky bank lending and countercyclical capital buffers (J Benes and M Kumhof) Journal of Economic Dynamics and Control, Vol. 58
  • Big data and central banks (D Bholat) Big Data and Society, April
  • Inflation targeting and term premia estimates for Latin America (A Blake, G Rule and O Rummel) Latin American Economic Review, Vol. 24, Issue 1
  • House Prices and Rents: Microevidence form a Matched Data Set in Central London (P Bracke) Real Estate Economics, Vol. 43, Issue 2
  • Bayesian mixed frequency VARs (J Chiu, B Eraker, A T Foerster, T B Kim and H D Seoane) Journal of Financial Econometrics, Vol. 13, Issue 3
  • An empirical sectoral model of unconventional monetary policy: the impact of QE (J Cloyne, R Thomas, A Tuckett and S Wills) The Manchester School, Vol. 83, Supplement S1
  • FDI, debt and capital controls (S Dell'Erba and D Reinhardt) Journal of International Money and Finance, Vol. 58
  • DSGE priors for BVAR models (T Filippeli and K Theodoridis) Empirical Economics, Vol. 48, Issue 2
  • Estimating the effects of forward guidance in rational expectations models (R Harrison) European Economic Review, Vol. 79
  • Generalised density forecast combinations (G Kapetanios, J Mitchell, S Price and N Fawcett) Journal of Econometrics, Vol. 188, Issue 1
  • A new approach to multi-step forecasting using dynamic stochastic general equilibrium models (G Kapetanios, S Price and K Theodoridis) Economics Letters, Vol. 136
  • Factor adjustment costs:  a structural investigation (H Mumtaz and F Zanetti) Journal of Economic Dynamics and Control, Vol. 51
  • Optimal tolerance for failure (C Siegert and P Trepper) Journal of Economic Behavior and Organization, Vol. 109
  • Monetary policy and the financial sector (A Singh, S Stone and J Suda) Economics Letters, Vol. 132
  • Ultrafast collisional ion heating by electrostatic shocks (A E Turrell, M Sherlock and S J Rose) Nature Communications, Vol. 6

   

   

• Other External Publications 2015-2017

  2017

  • Solvency II in the UK - evolution rather than revolution (David Humphry), Chapter in Marano, P and Siri, M (eds), Insurance regulation in the European Union - Solvency II and beyond, Palgrave Macmillan
  • Business cycles in an oil economy
    (Drago Bergholt, Vegard H Larsen and Martin Seneca), BIS Working Papers No. 618
  • Peer-to-peer lending and financial innovation in the UK
    (D Bholat and U Atz), Chapter in Aldohni, A K (ed), Law and finance after the financial crisis: the untold stories of the UK financial market, Routledge
  • Identifying ‘Uber Risk’: central banks’ analytics aid stability
    (David Bholat and Chiranjit Chakraborty), Global Public Investor, June
  • Threshold-based forward guidance: hedging the zero bound
    (Lena Boneva, Richard Harrison and Matt Waldron), CEPR Discussion Paper No. 11749
  • The consumption response to positive and negative income changes
    (Philip Bunn, Jeanne LeRoux, Kate Reinold and Paolo Surico), CEPR Discussion Paper No. 11829
  • Culture and household saving
    (Benjamin Guin), ECB Working Paper Series No. 2069
  • Labour market adjustment in Europe during the crisis: microeconomic evidence from the Wage Dynamics Network survey
    (Mario Izquierdo, Juan Francisco Jimeno, Theodora Kosma, Ana Lamo, Stephen Millard, Tairi Rõõm, Eliana Viviano), ECB Occasional Paper Series No. 192
  • The leverage ratio, risk-taking and bank stability
    (Jonathan Acosta Smith, Michael Grill, Jan Hannes Lang), ECB Working Paper Series No. 2079
  • UK broad money growth and nominal spending during the Great Recession: an analysis of the money creation process and the role of money demand
    (R Thomas), Chapter in Congdon, T (ed), Money in the Great Recession:  Did a Crash in Money Growth Cause the Global Slump?, Buckingham Studies in Money, Banking and Central Banking, Edward Elgar
  • Capital requirements, risk shifting and the mortgage market
    (Arzu Uluc and Tomasz Wieladek), ECB Working Paper Series No. 2061

  2016

  • Monetary versus macroprudential policies: causal impacts of interest rates and credit controls in the era of the UK Radcliffe Report (D Aikman, O Bush and A M Taylor), NBER Working Paper No. 22380; CEPR Discussion Paper No. 11353;  LSE Economic History Working Paper No. 246
  • The residential collateral channel (S Bahaj, A Foulis and G Pinter), Centre for Macroeconomics Discussion Paper No. CFM-DP2016-07
  • Modelling metadata in central banks (D Bholat) ECB Statistics Paper No. 13
  • The analysis of money and credit during the financial crisis:  the approach at the Bank of England (J Bridges, J Cloyne, R Thomas and A Tuckett), Chapter in Cobham, D (ed), Monetary analysis at central banks, Palgrave Macmillan
  • Household debt and spending in the United Kingdom (P Bunn and M Rostom), Chapter in Chadha, J, Crystal, A, Pearlman, J, Smith, P and Wright, S (eds), The UK economy in the long expansion and its aftermath, Cambridge University Press
  • VAR models with non-Gaussian shocks (J Chiu, H Mumtaz and G Pinter), Centre for Macroeconomics Discussion Paper No. CFM-DP2016-09
  • The real effects of capital requirements and monetary policy: evidence from the United Kingdom (F De Marco and T Wieladek), CEPR Discussion Paper No. 11265
  • QE:  the story so far (A Haldane, M Roberts-Sklar, T Wieladek and C Young), CEPR Discussion Paper No. 11691
  • Monetary policy and the current account:  theory and evidence (I Hjortsoe, M Weale and T Wieladek), CEPR Discussion Paper No. 11204
  • UK broad money growth in the long expansion, 1992–2007:  what can it tell us about the role of money? (M McLeay and R Thomas), Chapter in Chadha, J, Crystal, A, Pearlman, J, Smith, P and Wright, S (eds), The UK economy in the long expansion and its aftermath, Cambridge University Press
  • Capital requirements, risk shifting and the mortgage market (A Uluc and T Wieladek), CEPR Discussion Paper No. 11214
  • Market discipline, public disclosure and financial stability (P Zimmerman and R Sowerbutts), Chapter in The Handbook of post crisis financial modelling, Palgrave Macmillan

  2015

  • Interest rates, debt and intertemporal allocations:  evidence from notched mortgage contracts in the UK (M Best, J Cloyne, E Ilzetzki and H Kleven), July 2015 NBER conference paper 
  • Monetary policy when households have debt (J Cloyne, C Ferreira and P Surico), July 2015 NBER conference paper
    
  • Monetary policy when households have debt:  new evidence on the transmission mechanism (J Cloyne, C Ferreira and P Surico), CEPR Discussion Paper No. 11023
  • Notes on the Underground:  monetary policy in resource-rich economies (A Ferrero and M Seneca), OxCarre Research Paper Series No. 158
  • Deposit protection and bank resolution (N Kleftouri), Oxford University Press
  • Sovereign risk and financial crisis (S Pepino), Palgrave Macmillan

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