-
working-paper
- 1992
-
1993
- A simple model of money, credit and aggregate demand
- An Empirical Analysis of M4 in the United Kingdom
- An investigation of the effect of funding on the slope of the yield curve
- Bank Credit Risk
- Divisia Indices for Money: An Appraisal of Theory and Practice
- House prices, arrears and possessions: A three equation model for the UK
- Interest rate control in a model of monetary policy
- Interest rates and the channels of monetary transmission: some sectoral estimates
- M0: Causes and Consequences
- Regional Trading Blocs, Mobile Capital and Exchange Rate Co-ordination
- Tax Specific Term Structures of Interest Rates in the UK Government Bond Market
- Temporary cycles or volatile trends? Economic fluctuations in 21 OECD economies
- The effect of changes in official UK rates on market interest rates since 1987
- The Effect of Futures Trading on Cash Market Volatility: Evidence from the London Stock Exchange
- The Statistical Distribution of Short-Term Libor Rates Under Two Monetary Regimes
- Tradable and non-tradable prices in the UK and EC: measurement and explanation
-
1994
- A Model of Building Society Interest Rate Setting
- Deriving Estimates of Inflation Expectations from the Prices of UK Government Bonds
- Estimating the Term Structure of Interest Rates
- Inflation, inflation risks and asset returns
- New currencies in the Former Soviet Union: a Recipe for Hyperinflation or the Path to Price Stability?
- Potential credit exposure on interest rate swaps
-
1995
- An assessment of the relative importance of real interest rates, inflation and term premia in determining the prices of real and nominal UK bonds.
- Granger causality tests in the presence of structural changes
- How Cyclical is the PSBR?
- Measuring Core Inflation
- Modelling UK Inflation Uncertainty: The Impact of News and the Relationship with Inflation
- Money as an Indicator
- Optimal Commitment in an Open Economy: Credibility vs. Flexibility
- Pricing Deposit Insurance in the United Kingdom
- Rules, Discretion and the United Kingdom's New Monetary Framework
- Testing for convergence: evidence from non-parametric multimodality tests
- The Construction of RPIY
- The Microstructure of the UK gilt market
- Valuation of underwriting agreements for UK rights issues: evidence from the traded option market
- Wage Interactions: Comparisons or Fall-back Options?
-
1996
- A Comparison of Methods for Seasonal Adjustment of the Monetary Aggregates
- A Market for Intra-day Funds: Does it Have Implications for Monetary Policy?
- Base Money Rules in the UK
- Bidding and Information: Evidence from Gilt-Edged Auctions
- Feasible Mechanisms for Achieving Monetary Stability: a Comparison of Inflation Targeting & the ERM
- Independence and Accountability
- Inflation Forecast Targeting: Implementing and Monitoring Inflation Targets
- International Bank Lending to LDCs - an Information-Based Approach
- Measurement Bias in Price Indices: An Application to the UK's RPI
- Monetary Policy Uncertainty and Central Bank Accountability
- The Construction of the Bank's new UK Commodity Price Index
- The information content of the short end of the term structure of interest rates
- UK Asset Price Volatility Over the Last 50 Years
- Unemployment persistence: Does the size of the shock matter?
- What Determines the Short-run Output-Inflation Trade-off?
- Why do the LIFFE and DTB bund futures contracts trade at different prices?
-
1997
- Agency Incentives and Reputational Distortions
- How do UK companies set prices?
- Implied risk-neutral probability density functions from option prices: theory and application
- Is International Openness associated with faster economic growth?
- Persistence and Mobility in International Trade
- Real Interest Rate Linkages: Testing for Common Trends and Cycles
- Testing the predictive power of dividend yields: non-parametric evidence from the G5
- The cyclicality of Mark-ups and Profit Margins: Some Evidence for Manufacturing and Services
- The Demand for M4: A Sectoral Analysis (Part 1 - The Personal Sector)
- The Demand for M4: A Sectoral Analysis (Part 2 - The Corporate Sector)
- The Determinants of Successful Financial Innovation: an Empirical Analysis of Futures Innovation
- The determinants of UK business cycles
- The effects of Stamp Duty on the Level and Volatility of Equity Prices
- The Industrial Impact of Monetary Policy Shocks: Some Stylised Facts
- Which Inter-dealer Market Prevails? An analysis of inter-dealer trading in opaque markets
-
1998
- Are there downward nominal rigidities in product markets?
- Are UK inflation expectations rational?
- Averaging in a framework of zero reserve requirements: implications for the operation of monetary policy
- Bank Capital and Value at Risk
- Deconstructing Growth in UK Manufacturing
- Downward nominal rigidity and monetary policy
- Electronic versus open outcry markets: The case of the Bund futures contract
- Exchange rates and prices: sources of sterling real exchange rate fluctuations 1973-94
- Incentive schemes for central bankers under uncertainty: inflation targets versus contracts
- Optimal currency areas and customs unions: are they connected?
- Productivity convergence and international openness
- Shoe-leather costs reconsidered
- Some costs and benefits of price stability in the UK
- Some Issues in Inflation Targeting
- The demand for M0 in the United Kingdom reconsidered: some specification issues
- The information content of the inflation term structure
- Why has the female unemployment rate fallen so much in Britain?
-
1999
- Asset price reactions to RPI announcements
- Bank capital and risk taking
- Business Cycles and the Labour Market Can Theory fit the Facts?
- Caution and gradualism in monetary policy under uncertainty
- Coalition formation in international monetary policy games
- Forward looking rules for monetary policy
- Inflation and real disequilibria
- Monetary policy loss functions: two cheers for the quadratic
- Monetary stabilisation policy in a monetary union: some simple analytics
- Money, credit and investment in the UK corporate sector
- Openness and its association with productivity growth in UK manufacturing industry
- Price formation and transparency on the London Stock Exchange
- Should Uncertain Monetary Policy-Makers Do Less?
- The non-linear Phillips curve and inflation forecast targeting
- To trim or not to trim? An application of a trimmed mean inflation estimator to the United Kingdom
- Uncertainty and simple monetary policy rules - An illustration for the United Kingdom
-
2000
- A limited participation model of the monetary transmission mechanism in the United Kingdom
- A small structural empirical model of the UK monetary transmission mechanism
- Direct effects of base money on aggregate demand: theory and evidence
- How well does a limited participation model of the monetary transmission mechanism match UK data?
- Imperfect competition and the dynamics of mark-ups
- Inventory investment and cash flow
- Liquidity traps: how to avoid them and how to escape them
- Monetary policy surprises and the yield curve
- Must the growth rate decline? Baumol's unbalanced growth revisited
- Optimal horizons for inflation targeting
- Persistence and volatility in short-term interest rates
- Sovereign liquidity crises: analytics and implications for public policy
- Testing the stability of implied probability density functions
- The effects of increased labour market flexibility in the United Kingdom: theory and practice
- The sensitivity of aggregate consumption to human wealth
- Trade credit and the monetary transmission mechanism
- UK monetary policy 1972-97: a guide using Taylor rules
-
2001
- Age structure and the UK unemployment rate
- An analysis of the relationship between international bond markets
- Assessing the impact of macroeconomic news announcements on securities prices
- Band-pass filtering, cointegration, and business cycle analysis
- Consumption, money and lending: a joint model for the UK household sector
- Costs of banking system instability: some empirical evidence
- Crisis costs and debtor discipline: the efficacy of public policy in sovereign debt crises
- Does it pay to be transparent? International evidence from central bank forecasts
- Hard Times or Great Expectations?: Dividend omissions and dividend cuts by UK firms
- Hybrid inflation and price level targeting
- ICT and productivity growth in the United Kingdom
- Indicators of fragility in the UK corporate sector
- Investment-specific technological progress in the United Kingdom
- Leading indicator information in UK equity prices: an assessment of economic tracking portfolios
- New estimates of the UK real and nominal yield curves
- 'Oscillate Wildly': asymmetries and persistence in company-level profitability
- PPP and the real exchange rate-real interest rate differential puzzle revisited
- Ratings versus equity-based credit risk modelling: an empirical analysis
- Skill imbalances in the UK labour market: 1979-99
- Stability of ratings transitions
- Sticky prices and volatile output
- The fallacy of the fiscal theory of the price level, again
- The real interest rate gap as an inflation indicator
- The structure of credit risk: spread volatility and ratings transitions
- The UK's small banks' crisis of the early 1990s: what were the leading indicators of failure?
- UK inflation in the 1970s and 1980s: the role of output gap mismeasurement
-
2002
- A monetary model of factor utilisation
- Base rate pass-through: evidence from banks' and building societies' retail rates
- Committees versus individuals: an experimental analysis of monetary policy decision-making
- Do changes in structural factors explain movements in the equilibrium rate of unemployment?
- Equilibrium exchange rates and supply-side performance
- Factor utilisation and productivity estimates for the United Kingdom
- Financial accelerator effects in UK business cycles
- Financial liberalisation and consumers' expenditure: 'FLIB' re-examined
- Financial pressure and balance sheet adjustment by UK firms
- House prices, consumption, and monetary policy: a financial accelerator approach
- How uncertain are the welfare costs of inflation?
- Leading indicators of balance-of-payments crises: a partial review
- Monetary policy and stagflation in the UK
- Monetary policy rules for an open economy
- On gross worker flows in the United Kingdom: evidence from the Labour Force Survey
- Other financial corporations: Cinderella or ugly sister of empirical monetary economics?
- Productivity versus welfare: or, GDP versus Weitzman's NDP
- Regulatory and 'economic' solvency standards for internationally active banks
- Soft liquidity constraints and precautionary saving
- The implications of an ageing population for the UK economy
- The role of corporate balance sheets and bank lending policies in a financial accelerator framework
- The role of short-run inflation targets and forecasts in disinflation
- Understanding UK inflation: the role of openness
-
2003
- A Kalman filter approach to estimating the UK NAIRU
- A matching model of non-employment and wage pressure
- A Merton-model approach to assessing the default risk of UK public companies
- A quantitative framework for commercial property and its relationship to the analysis of the financial stability of the corporate sector
- Analytics of sovereign debt restructuring
- Capital flows to emerging markets
- Capital stocks, capital services, and depreciation: an integrated framework
- Company accounts based modelling of business failures and the implications for financial stability
- Credit risk diversification: evidence from the eurobond market
- Credit spreads on sterling corporate bonds and the term structure of UK interest rates
- Current accounts, net foreign assets and the implications of cyclical factors
- Debt maturity structure with pre-emptive creditors
- E-barter versus fiat money: will central banks survive?
- Endogenous price stickiness, trend inflation, and the New Keynesian Phillips curve
- Empirical determinants of emerging market economies' sovereign bond spreads
- Equilibrium analysis, banking, contagion and financial fragility
- Estimating real interest rates for the United Kingdom
- Forecasting inflation using labour market indicators
- Implicit interest rates and corporate balance sheets
- Import prices and exchange rate pass-through: theory and evidence from the United Kingdom
- Modelling investment when relative prices are trending: theory and evidence for the United Kingdom
- Money market operations and volatility of UK money market rates
- Non-interest income and total income stability
- Procyclicality and the new Basel Accord - banks' choice of loan rating system
- Public demand for low inflation
- Rational expectations and fixed-event forecasts: an application to UK inflation
- Ready, willing and able? Measuring labour availability in the UK
- Settlement bank behaviour and throughput rules in an RTGS payment system
- Sovereign debt workouts with the IMF as delegated monitor - a common agency approach
- The dynamics of consumers' expenditure: the UK consumption ECM redux
- The effect of payments standstills on yields and the maturity structure of international debt
- The impact of price competitiveness on UK producer price behaviour
- The provisioning experience of the major UK banks: a small panel investigation
- The rise in US household debt: assessing its causes and sustainability
- The role of asset prices in transmitting monetary and other shocks
- The role of expectations in estimates of the NAIRU in the United States and the United Kingdom
- UK business investment: long-run elasticities and short-run dynamics
- What caused the 2000/01 slowdown? Results from a VAR analysis of G7 GDP components
- What does economic theory tell us about labour market tightness?
-
2004
- An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps
- An empirical model of household arrears
- Anticipation of monetary policy in UK financial markets
- Bail out or work out? Theoretical considerations
- Competitiveness, inflation, and monetary policy
- Concepts of equilibrium exchange rates
- Core inflation: a critical guide
- Corporate capital structure in the United Kingdom: determinants and adjustment
- Crisis spillovers in emerging market economies: interlinkages, vulnerabilities and investor behaviour
- Does job insecurity affect household consumption?
- Estimating time-variation in measurement error from data revisions; an application to forecasting in dynamic models
- Evolving post-World War II UK economic performance
- Exploring the relationship between credit spreads and default probabilities
- Female labour force participation in the United Kingdom: evolving characteristics or changing behaviour?
- Financial interlinkages in the United Kingdom's interbank market and the risk of contagion
- Forecasting with measurement errors in dynamic models
- From tiny samples do mighty populations grow? Using the British Household Panel Survey to analyse the household sector balance sheet
- Health, disability insurance and labour force participation
- Horizontal and vertical integration in securities trading and settlement
- How can the IMF catalyse private capital flows? A model
- IMF lending and creditor moral hazard
- International financial rescues and debtor-country moral hazard
- Intertemporal substitution and household production in labour supply
- Investment-specific technological change and growth accounting
- Long-horizon equity return predictability: some new evidence for the United Kingdom
- Long-term interest rates, wealth and consumption
- On the resolution of banking crises: theory and evidence
- Price-setting behaviour, competition, and mark-up shocks in the New Keynesian model
- Real exchange rate persistence and systematic monetary policy behaviour
- Real exchange rates and the relative prices of non-traded and traded goods: an empirical analysis
- Rule-based monetary policy under central bank learning
- The effects of stock market movements on consumption and investment: does the shock matter?
- The efficient resolution of capital account crises: how to avoid moral hazard
- The exposure of international bank loans to third-country risk: an empirical analysis of overdue claims
- The informational content of empirical measures of real interest rate and output gaps for the United Kingdom
- The Phillips curve under state-dependent pricing
- The roles of expected profitability, Tobin’s Q and cash flow in econometric models of company investment
- The UK labour force participation rate: business cycle and trend influences
-
2005
- A model of bank capital, lending and the macroeconomy: Basel I versus Basel II
- A quality-adjusted labour input series for the United Kingdom (1975-2002)
- Accounting for the source of exchange rate movements: new evidence
- Asset price based estimates of sterling exchange rate risk premia
- Asset pricing, asymmetric information and rating announcements: does benchmarking on ratings matter?
- Bank loans versus bond finance: implications for sovereign debtors
- Comovements in the prices of securities issued by large complex financial institutions
- Consumption, house prices and expectations
- Corporate expenditures and pension contributions: evidence from UK company accounts
- Decomposing credit spreads
- Default probabilities and expected recovery: an analysis of emerging market sovereign bonds
- Estimating UK capital adjustment costs
- Financial constraints and capacity adjustment in the UK: evidence from a large panel of survey data
- Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation
- Learning the rules of the new game? Comparing the reactions in financial markets to announcements
- Liquidity risk and contagion
- Measuring investors' risk appetite
- Misperceptions and monetary policy in a New Keynesian model
- Modelling manufacturing inventories
- Monetary policy and data uncertainty
- Monetary policy and private sector misperceptions about the natural level of output
- On the consumption-real exchange rate anomaly
- Optimal collective action clause thresholds
- Productivity growth in UK industries, 1970-2000: structural change and the role of ICT
- Real-Time Gross Settlement and hybrid payment systems: a comparison
- Real-world' mortgages, consumption volatility and the low inflation environment
- Stress tests of UK banks using a VAR approach
- The determinants of household debt and balance sheets in the United Kingdom
- The determinants of unsecured borrowing: evidence from the British Household Panel Survey
- The impact of unsecured debt on financial distress among British households
- The New Keynesian Phillips Curve in the United States and the euro area
- The role of ICT in the global investment cycle
- The stock market and capital accumulation: an application to UK data
- The substitution of bank for non-bank corporate finance: evidence for the United Kingdom
- Wealth and consumption: an assessment of the international evidence
- What caused the early millennium slowdown? Evidence based on vector autoregressions
- When is mortgage indebtedness a financial burden to British households? A dynamic probit approach
-
2006
- Affine term structure models for the foreign exchange risk premium
- Assessing central counterparty margin coverage on futures contracts using GARCH models
- Bank capital, asset prices and monetary policy
- Bank capital channels in the monetary transmission mechanism
- Consumer credit conditions in the United Kingdom
- Consumption excess sensitivity, liquidity constraints and the collateral role of housing
- Corporate debt and financial balance sheet adjustment: a comparison of the United States, the United Kingdom, France and Germany
- Defined benefit company pensions and corporate valuations
- Do announcements of bank acquisitions in emerging markets create value?
- Elasticities, markups and technical progress: evidence from a state-space approach
- Exchange rate pass-through into UK import prices
- Financial infrastructure and corporate governance
- Fiscal rules for debt sustainability in emerging markets: the impact of volatility and default risk
- Fundamental inflation uncertainty
- How does the down-payment constraint affect the UK housing market?
- International and intranational consumption risk sharing: the evidence for the UK and OECD
- Modelling the cross-border use of collateral in payment systems
- Optimal discretionary policy in rational expectations models with regime switching
- Optimal emerging market fiscal policy when trend output growth is unobserved
- Optimal monetary policy in a regime-switching economy
- Optimal monetary policy in Markov-switching models with rational expectations agents
- Procyclicality, collateral values and financial stability
- Productivity growth, adjustment costs and variable factor utilisation: the UK case
- Resolving banking crises - an analysis of policy options
- Returns to equity, investment and Q: evidence from the United Kingdom
- Sterling implications of a US current account reversal
- Switching costs in the market for personal current accounts: some evidence for the United Kingdom
- The danger of inflating expectations of macroeconomic stability
- The price puzzle: fact or artefact?
- The welfare benefits of stable and efficient payment systems
- The yen real exchange rate may be stationary after all: evidence from non-linear unit root tests
- UK monetary regimes and macroeconomic stylised facts
-
2007
- A model of market surprises
- A state space approach to extracting the signal from uncertain data
- An affine macro-factor model of the UK yield curve
- Asset pricing implications of a New Keynesian model
- Business cycle fluctuations and excess sensitivity of private consumption
- Cash-in-the-market pricing and optimal resolution of bank failures
- Comparing the pre-settlement risk implications of alternative clearing arrangements
- Does Asia's choice of exchange rate regime affect Europe's exposure to US shocks?
- Escaping Nash and volatile inflation
- Forecast combination and the Bank of England's suite of statistical forecasting models
- Housing equity as a buffer: evidence from UK households
- Inter-industry contagion between UK life insurers and UK banks: an event study
- Investment adjustment costs: evidence from UK and US industries
- Labour market institutions and aggregate fluctuations in a search and matching model
- The impact of yuan revaluation on the Asian region
- The real exchange rate and quality improvements
- Too many to fail - an analysis of time-inconsistency in bank closure policies
- Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index
- Wage flexibility in Britain: some micro and macro evidence
-
2008
- A no-arbitrage structural vector autoregressive model of the UK yield curve
- An agent-based model of payment systems
- Dealing with country diversity: challenges for the IMF credit union model
- Efficient frameworks for sovereign borrowing
- Estimating the determinants of capital flows to emerging market economies
- Evolving international inflation dynamics: evidence from a time-varying dynamic factor model
- Financial innovation, macroeconomic stability and systemic crises
- Globalisation, import prices and inflation dynamics
- International monetary co-operation in a world of imperfect information
- Investigating the structural stability of the Phillips curve relationship
- Measuring monetary policy expectations from financial market instruments
- Monetary policy shifts and inflation dynamics
- Network models and financial stability
- Non-linear adjustment of import prices in the European Union
- Risks and efficiency gains of a tiered structure in large-value payments: a simulation approach
- Summary statistics of option-implied probability density functions and their properties
- That elusive elasticity and the ubiquitous bias: is panel data a panacea?
- The conduct of global monetary policy and domestic stability
- The cyclicality of mark-ups and profit margins for the United Kingdom: some new evidence
- The elasticity of substitution: evidence from a UK firm-level data set
- The integrated impact of credit and interest rate risk on banks
- The network topology of CHAPS Sterling
- Understanding the real rate conundrum: an application of no-arbitrage finance models
-
2009
- Banks' intraday liquidity management during operational outages
- Common determinants of currency crises: role of external balance sheet variables
- Do supermarket prices change from week to week?
- Dynamics of the term structure of UK interest rates
- Endogenous choice of bank liquidity: the role of fire sales
- Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves
- Foreign exchange rate risk in a small open economy
- Funding liquidity risk in a quantitative model of systemic stability
- How do different models of foreign exchange settlement influence the risks and benefits of global liquidity management?
- Inflation dynamics with labour market matching: assessing alternative specifications
- International financial transmission: emerging and mature markets
- International spillover effects and monetary policy activism
- Labour market flows: facts from the United Kingdom
- Multivariate methods for monitoring structural change
- Output costs of sovereign crises: some empirical estimates
- Payment systems, inside money and financial intermediation
- The real exchange rate in sticky-price models: does investment matter?
- What lies beneath: what can disaggregated data tell us about the behaviour of prices?
- Why do risk premia vary over time? A theoretical investigation under habit formation
-
2010
- All together now: do international factors explain relative price comovements?
- An economic capital model integrating credit and interest rate risk in the banking book
- Changes in the transmission of monetary policy: evidence from a time-varying factor-augmented VAR
- Contagion in financial networks
- Deep habits and the cyclical behaviour of equilibrium unemployment and vacancies
- DSGE model restrictions for structural VAR identification
- Evaluating and estimating a DSGE model for the United Kingdom
- Evolving macroeconomic dynamics in a small open economy
- Evolving UK macroeconomic dynamics: a time-varying factor augmented VAR
- Extracting information from structured credit markets
- Forecasting in the presence of recent structural change
- Household debt, house prices and consumption in the United Kingdom: a quantitative theoretical analysis
- How do individual UK producer prices behave?
- Imperfect credit markets: implications for monetary policy
- Liquidity costs and tiering in large-value payment systems
- Liquidity-saving mechanisms and bank behaviour
- Liquidity-saving mechanisms in collateral-based RTGS payment systems
- Monetary policy, capital inflows and the housing boom
- Monetary policy rules and foreign currency positions
- New insights into price-setting behaviour in the United Kingdom
- Shocks to bank capital: evidence from UK banks at home and away
- Technology shocks, employment and labour market frictions
- The financial market impact of quantitative easing
- The geographical composition of national external balance sheets: 1980-2005
- The impact of payment splitting on liquidity requirements in RTGS
- The sterling unsecured loan market during 2006-08: insights from network theory
- Time-varying dynamics of the real exchange rate. A structural VAR analysis
- Time-varying inflation expectations and economic fluctuations in the UK: a structural VAR analysis
- Using estimated models to assess nominal and real rigidities in the United Kingdom
-
2011
- A Bayesian approach to optimal monetary policy with parameter and model uncertainty
- A global model of international yield curves: no-arbitrage term structure approach
- An efficient method of computing higher-order bond price perturbation approximations
- An efficient minimum distance estimator for DSGE models
- An estimated DSGE model: explaining variation in term premia
- An estimated DSGE model of energy, costs and inflation in the United Kingdom
- Are EME indicators of vulnerability to financial crises decoupling from global factors?
- Cyclical risk aversion, precautionary saving and monetary policy
- Domestic financial regulation and external borrowing
- Estimating the impact of the volatility of shocks: a structural VAR approach
- Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change
- Global rebalancing: the macroeconomic impact on the United Kingdom
- How did the crisis in international funding markets affect bank lending? Balance sheet evidence from the United Kingdom
- How do individual UK consumer prices behave?
- How non-Gaussian shocks affect risk premia in non-linear DSGE models
- International transmission of shocks: a time-varying factor-augmented VAR approach to the open economy
- Intraday two-part tariff in payment systems
- Labour supply as a buffer: evidence from UK households
- Low interest rates and housing booms: the role of capital inflows, monetary policy and financial innovation
- Mapping systemic risk in the international banking network
- Preferred-habitat investors and the US term structure of real rates
- Shifts in portfolio preferences of international investors: an application to sovereign wealth funds
- System-wide liquidity risk in the United Kingdom's large-value payment system: an empirical analysis
- Systemic capital requirements
- Tailwinds and headwinds: how does growth in the BRICs affect inflation in the G7?
- The contractual approach to sovereign debt restructuring
- The gains from delegation revisited: price-level targeting, speed-limit and interest rate smoothing policies
- The history of interbank settlement arrangements: exploring central banks' role
- The impact of permanent energy price shocks on the UK economy
- Time-varying volatility, precautionary saving and monetary policy
- Understanding the macroeconomic effects of working capital in the United Kingdom
- Wage rigidities in an estimated DSGE model of the UK labour market
-
2012
- A network model of financial system resilience
- Assessing the economy-wide effects of quantitative easing
- Asset purchase policy at the effective lower bound for interest rates
- Bank behaviour and risks in CHAPS following the collapse of Lehman Brothers
- Does macropru leak? Evidence from a UK policy experiment
- Estimating probability distributions of future asset prices: empirical transformations from option-implied risk-neutral to real-world density functions
- Factor adjustment costs: a structural investigation
- Financial intermediaries in an estimated DSGE model for the United Kingdom
- Fixed interest rates over finite horizons
- Forecasting UK GDP growth, inflation and interest rates under structural change: a comparison of models with time-varying parameters
- High-frequency trading behaviour and its impact on market quality: evidence from the UK equity
- Identifying risks in emerging market sovereign and corporate bond spreads
- Implicit intraday interest rate in the UK unsecured overnight money market
- Inflation and output in New Keynesian models with a transient interest rate peg
- International policy spillovers at the zero lower bound
- Labour market institutions and unemployment volatility: evidence from OECD countries
- Liquidity risk, cash-flow constraints and systemic feedbacks
- Misperceptions, heterogeneous expectations and macroeconomic dynamics
- Neutral technology shocks and employment dynamics: results based on an RBC identification scheme
- Non-rational expectations and the transmission mechanism
- QE and the gilt market: a disaggregated analysis
- Reputation, risk-taking and macroprudential policy
- Simple banking: profitability and the yield curve
- Size and complexity in model financial systems
- The business cycle implications of banks' maturity transformation
- The impact of QE on the UK economy - some supportive monetarist arithmetic
- The international transmission of volatility shocks: an empirical analysis
- Too big to fail: some empirical evidence on the causes and consequences of public banking interventions in the United Kingdom
- Using Shapley's asymmetric power index to measure banks' contributions to systemic risk
- What do sticky and flexible prices tell us?
-
2013
- Capital over the business cycle: renting versus ownership
- Central counterparties and the topology of clearing networks
- Financial factors and the international transmission mechanism
- Has weak lending and activity in the United Kingdom been driven by credit supply shocks?
- International capital flows and development: financial openness matters
- Likelihood inference in non-linear term structure models: the importance of the lower bound
- Long and short-term effects of the financial crisis on labour productivity, capital and output
- Non-uniform wage-staggering: European evidence and monetary policy implications
- Not all capital waves are alike: a sector-level examination of surges in FDI inflows
- Oil shocks and the UK economy: the changing nature of shocks and impact over time
- Policy multipliers under an interest rate peg of deterministic versus stochastic duration
- Risk news shocks and the business cycle
- The Bank of England's forecasting platform: COMPASS, MAPS, EASE and the suite of models
- The pitfalls of speed-limit interest rate rules at the zero lower bound
-
2014
- Adaptive forecasting in the presence of recent and ongoing structural change
- Estimating the impact of changes in aggregate bank capital requirements during an upswing
- Estimating time-varying DSGE models using minimum distance methods
- Evaluating the robustness of UK term structure decompositions using linear regression methods
- Expectations, risk premia and information spanning in dynamic term structure model estimation
- Exploiting the monthly data flow in structural forecasting
- GDP-linked bonds and sovereign default
- Generalised density forecast combinations
- Household debt and the dynamic effects of income tax changes
- How does credit supply respond to monetary policy and bank minimum capital requirements?
- Identifying channels of credit substitution when bank capital requirements are varied
- Institutional investor portfolio allocation, quantitative easing and the global financial crisis
- Long-term unemployment and convexity in the Phillips curve
- Mapping the UK interbank system
- Modelling the service sector
- News and labour market dynamics in the data and in matching models
- Optimal contracts, aggregate risk and the financial accelerator
- Optimal monetary policy in the presence of human capital depreciation during unemployment
- Peering into the mist: social learning over an opaque observation network
- Policy uncertainty spillovers to emerging markets - evidence from capital flows
- QE and the bank lending channel in the United Kingdom
- Quantitative easing and bank lending: a panel data approach
- Sectoral shocks and monetary policy in the United Kingdom
- Shadow banks and macroeconomic instability
- Tailwinds from the East: how has the rising share of imports from emerging markets affected import prices?
- The Bank of England Credit Conditions Survey
- The cost of human capital depreciation during unemployment
- The effect of the financial crisis on TFP growth: a general equilibrium approach
- The impact of capital requirements on bank lending
- The international transmission of bank capital requirements
- The macroeconomic effects of monetary policy: a new measure for the United Kingdom
- The productivity puzzle: a firm-level investigation into employment behaviour and resource allocation over the crisis
- The two faces of cross-border banking flows
- UK deposit-taker responses to the financial crisis: what are the lessons?
- Uncertainty in a model with credit frictions
- Variations in liquidity provision in real-time payment systems
-
2015
- A forecast evaluation of expected equity return measures
- A global factor in variance risk premia and local bond pricing
- A heterogeneous agent model for assessing the effects of capital regulation on the interbank money market under a corridor system
- A joint affine model of commodity futures and US Treasury yields
- A new approach to multi-step forecasting using dynamic stochastic general equilibrium models
- A sectoral framework for analysing money, credit and unconventional monetary policy
- Ambiguity, monetary policy and trend inflation
- Bank leverage, credit traps and credit policies
- Bankers' pay and excessive risk
- Banks are not intermediaries of loanable funds - and why this matters
- Can a data-rich environment help identify the sources of model misspecification?
- Capital requirements, risk shifting and the mortgage market
- Cross-country co-movement in long-term interest rates: a DSGE approach
- Do contractionary monetary policy shocks expand shadow banking?
- Does easing monetary policy increase financial instability?
- Dynamic term structure models: the best way to enforce the zero lower bound in the United States
- Evaluating UK point and density forecasts from an estimated DSGE model: the role of off-model information over the financial crisis
- Exchange rate regimes and current account adjustment: an empirical investigation
- Export dynamics since the Great Trade Collapse: a cross-country analysis
- Extreme downside risk and financial crises
- Extreme risk interdependence
- Filtered historical simulation Value-at-Risk models and their competitors
- Firms' adjustment during 2010-13: evidence from the Wage Dynamics Survey
- Forecasting with VAR models: fat tails and stochastic volatility
- Global liquidity, house prices and the macroeconomy: evidence from advanced and emerging economies
- 'High and dry': the liquidity and credit of colonial and foreign government debt in the London Stock Exchange (1880-1910)
- House prices and job losses
- Household debt and spending in the United Kingdom
- How much do investors pay for houses?
- Interactions among high-frequency traders
- Interest rates, debt and intertemporal allocation: evidence from notched mortgage contracts in the United Kingdom
- International banking and liquidity risk transmission: lessons from the United Kingdom
- Into the light: dark pool trading and intraday market quality on the primary exchange
- Long-run priors for term structure models
- Market beliefs about the UK monetary policy lift-off horizon: a no-arbitrage shadow rate term structure model approach
- Mortgage debt and entrepreneurship
- On a tight leash: does bank organisational structure matter for macroprudential spillovers?
- Regulatory arbitrage in action: evidence from banking flows and macroprudential policy
- Safe haven currencies: a portfolio perspective
- Secular drivers of the global real interest rate
- Some unpleasant properties of loglinearized solutions when the nominal rate is zero
- Stabilising house prices: the role of housing futures trading
- The banks that said no: banking relationships, credit supply and productivity in the United Kingdom
- The Great Recession and the UK labour market
- The impact of immigration on occupational wages: evidence from Britain
- The impact of liquidity regulation on banks
- The informational content of market-based measures of inflation expectations derived from government bonds and inflation swaps in the United Kingdom
- The rate elasticity of retail deposits in the United Kingdom: a macroeconomic investigation
- The real effects of capital requirements and monetary policy: evidence from the United Kingdom
- The UK productivity puzzle 2008-13: evidence from British businesses
- Threshold-based forward guidance: hedging the zero bound
- Towards a New Keynesian theory of the price level
- Unconventional monetary policies and the macroeconomy: the impact of the United Kingdom's QE2 and Funding for Lending Scheme
- Volatility contagion: new evidence from market pricing of volatility risk
- What do stock markets tell us about exchange rates?
- What moves international stock and bond markets?
- Why are real interest rates so low? Secular stagnation and the relative price of investment goods
-
2016
- A Bayesian VAR benchmark for COMPASS
- A comparative analysis of tools to limit the procyclicality of initial margin requirements
- A dynamic model of financial balances for the United Kingdom
- Accounting in central banks
- Adaptive learning and labour market dynamics
- Adaptive models and heavy tails
- An agent-based model of dynamics in corporate bond trading
- Assessing vulnerabilities to financial shocks in some key global economies
- Bank capital requirements and balance sheet management practices: has the relationship changed after the crisis?
- Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act
- Contagion, spillover and interdependence
- Cross-border regulatory spillovers: How much? How important? What sectors? Lessons from the United Kingdom
- Deflation probability and the scope for monetary loosening in the United Kingdom
- Dis-integrating credit markets: diversification, securitization, and lending in a recovery
- Do we need a stable funding ratio? Banks' funding in the global financial crisis
- Does partisan conflict impact the cash holdings of firms? A sign restrictions approach
- Finance and Synchronization
- Financial market volatility, macroeconomic fundamentals and investor sentiment
- Fiscal consequences of structural reform under constrained monetary policy
- Fiscal consolidation in a low inflation environment: pay cuts versus lost jobs
- History dependence in the housing market
- How does labour market structure affect the response of economies to shocks?
- Interpreting the latent dynamic factors by threshold FAVAR model
- Labour market frictions, monetary policy and durable goods
- Let's talk about the weather: the impact of climate change on central banks
- Liquidity determinants in the UK gilt market
- Macroeconomic tail events with non-linear Bayesian VARs
- Macroprudential policies: a granular database
- Macroprudential policy in an agent-based model of the UK housing market
- Macroprudential policy under uncertainty
- Macroprudential regulation, credit spreads and the role of monetary policy
- Measuring competition in the UK deposit-taking sector
- Monetary policy and volatility in the sterling money market
- Monetary policy transmission in an open economy: new data and evidence from the United Kingdom
- Monetary policy when households have debt: new evidence on the transmission mechanism
- Monetary versus macroprudential policies: causal impacts of interest rates and credit controls in the era of the UK Radcliffe Report
- Non-performing loans: regulatory and accounting treatments of assets
- Nonlinearities of mortgage spreads over the business cycles
- Output gaps, inflation and financial cycles in the United Kingdom
- Overseas unspanned factors and domestic bond returns
- Pass-through of bank funding costs to lending and deposit rates: lessons from the financial crisis
- Peer-to-peer lending and financial innovation in the United Kingdom
- Policy and macro signals as inputs to inflation expectation formation
- Political borders and bank lending in post-crisis America
- QE: the story so far
- Risk premia and seasonality in commodity futures
- Risk shocks close to the zero lower bound
- Robustness of subgame perfect implementation
- Systematic tail risk
- Systemic illiquidity in the interbank network
- The dynamic Black-Litterman approach to asset allocation
- The levels of application of prudential requirements: a comparative perspective
- The macroeconomic shock with the highest price of risk
- The macroeconomics of central bank issued digital currencies
- The role of collateral in supporting liquidity
- The theory of unconventional monetary policy
- The time value of housing: historical evidence on discount rates
- The varying coefficient Bayesian panel VAR model
- Tracking the slowdown in long-run GDP growth
- Unsurprising shocks: information, premia, and the monetary transmission
- What can Big Data tell us about the passthrough of big exchange rate changes?
- What determines how banks respond to changes in capital requirements?
-
2017
- A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance
- A financial stress index for the United Kingdom
- A tiger by the tail: estimating the UK mortgage market vulnerabilities from loan-level data
- A time varying parameter structural model of the UK economy
- A UK financial conditions index using targeted data reduction: forecasting and structural identification
- Accounting discretion, market discipline and bank behaviour: some insights from fair value accounting
- Alternative finance and credit sector reforms the case of China
- An exorbitant privilege in the first age of international financial integration
- An interdisciplinary model for macroeconomics
- An overview of the UK banking sector since the Basel Accord: insights from a new regulatory database
- Bank Capital and risk-taking: evidence from misconduct provisions
- borderline-judging-the-adequacy-of-return-distribution-estimation-techniques-initial-margin-models
- Bubbly equilibria with credit misallocation
- Central bank information and the effects of monetary shocks
- Central bank sentiment and policy expectations
- Central counterparty auction design
- Common correlated effect cross-sectional dependence corrections for non-linear conditional mean panel models
- Competition and prudential regulation
- Cross-border effects of regulatory spillovers: evidence from Mexico
- Dealer intermediation, market liquidity and the impact of regulatory reform
- Demographic trends and the real interest rate
- Did pre-crisis mortgage lending limit post-crisis corporate lending? Evidence from UK bank balance sheets
- Do macro shocks matter for equities?
- Down in the slumps: the role of credit in five decades of recessions
- Eight centuries of the risk-free rate bond market reversals from the Venetians to the VaR shock
- Financial shocks, credit spreads and the international credit channel
- Forecasting multidimensional tail risk at short and long horizons
- Foreign booms, domestic busts: the global dimension of banking crises
- Home values and firm behaviour
- Identifying contagion in a banking network
- International credit supply shocks
- Investor behaviour and reaching for yield evidence from the sterling corporate bond market
- Labour market adjustment in Europe during the crisis: microeconomic evidence from the Wage Dynamics Network survey
- Liquidity holdings, diversification, and aggregate shocks
- Machine learning at central banks
- Market liquidity, closeout procedures and initial margin for CCPs
- Matching efficiency and labour market heterogeneity in the United Kingdom
- Monetary and macroprudential policies under rules and discretion
- Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies
- Optimal quantitative easing
- Scalable games: modelling games of incomplete information
- Sending firm messages: text mining letters from PRA supervisors to banks and building societies they regulate
- Solvency and wholesale funding cost interactions at UK banks
- Spatial models of heterogeneous switching costs
- Specialisation in mortgage risk under Basel II
- Step away from the zero lower bound: small open economies in a world of secular stagnation
- The Bank of England as lender of last resort: new historical evidence from daily transactional data
- The impact of de-tiering in the United Kingdom's large-value payment system
- The leverage ratio and liquidity in the gilt and repo markets
- The calm policymaker
- The consumption response to positive and negative income changes
- The decline of solvency contagion risk
- The determinants of credit union failure in the United Kingdom: how important are macroeconomic factors?
- The economics of distributed ledger technology for securities settlement
- The effect of house prices on household borrowing: a new approach
- The impact of Solvency II regulations on life insurers’ investment behaviour
- The impact of uncertainty shocks in the United Kingdom
- The international transmission of monetary policy through financial centres: evidence from the United Kingdom and Hong Kong
- The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets
- The role of foreign banks in trade
- The transmission of monetary policy shocks
- Uncertain forward guidance
- The economic cost of capital: a VECM approach for estimating and testing the banking sector's response to changes in capital ratios
- Volatility in equity markets and monetary policy rate uncertainty
- What drives business investment in the United Kingdom? Results from a firm-level VAR approach
-
2018
- A new approach for detecting shifts in forecast accuracy
- An elusive panacea the impact of the regulatory valuation regime on insurers investment behaviour
- Bank capital regulation and derivatives clearing
- Bank competition and stability in the United Kingdom
- Bank liquidity and the cost of debt
- Bank runs, prudential tools and social welfare in a global game general equilibrium model
- Banks are not intermediaries of loanable funds - facts, theory and evidence
- Banks, money and the zero lower bound
- Bayesian vector autoregressions
- Broadening narrow money: monetary policy with a central bank digital currency
- Business investment, cash holding and uncertainty since the Great Financial Crisis
- Business investment, cost of capital and uncertainty in the United Kingdom — evidence from firm-level analysis
- Capital regulation and product market outcomes
- Central bank digital currencies - design principles and balance sheet implications
- Central bank swap lines
- Climate change and the macro-economy: a critical review
- Competition for retail deposits between commercial banks and non-bank operators: a two-sided platform analysis
- Concerted efforts? Monetary policy and macro-prudential tools
- Decomposing differences in productivity distributions
- Determinants of distress in the UK owner-occupier and buy-to-let mortgage markets
- Does lender type matter for the pricing of loans?
- Down payment and mortgage rates evidence from equity loans
- DSGE-based priors for BVARs and quasi-Bayesian DSGE estimation
- Enhancing central bank communications with behavioural insights
- Equity, debt and moral hazard: the optimal structure of banks’ loss absorbing capacity
- Estimating nominal interest rate expectations: overnight indexed swaps and the term structure
- Global banks and synthetic funding: the benefits of foreign relatives
- Growing pension deficits and the expenditure decisions of UK companies
- How do bonus cap and malus affect risk and effort choice Insight from a lab experiment
- How do banks and households manage interest rate risk? Evidence from mortgage applications and banks’ responses
- Interest rates, capital and bank risk-taking
- Judgement Day: algorithmic trading around the Swiss franc cap removal
- Lending relationships and the collateral channel
- Liquidity resilience in the UK gilt futures market: evidence from the order book
- Macroprudential capital regulation in general equilibrium
- Macroprudential FX regulations: shifting the snowbanks of FX vulnerability?
- Macroprudential margins: a new countercyclical tool?
- Measuring risks to UK financial stability
- Monetary policy spillovers in the first age of financial globalisation: a narrative VAR approach 1884–1913
- Mortgages, cash-flow shocks and local employment
- Mortgages: estimating default correlation and forecasting default risk
- Multi-period loans, occasionally binding constraints and monetary policy: a quantitative evaluation
- Multiplex network analysis of the UK OTC derivatives market
- News and narratives in financial systems: exploiting big data for systemic risk assessment
- OTC premia
- Overnight index swap market-based measures of monetary policy expectations
- Predictive regressions under asymmetric loss: factor augmentation and model selection
- Repo market functioning: the role of capital regulation
- Rethinking financial stability
- Shock transmission and the interaction of financial and hiring frictions
- Short-time work in the Great Recession: firm-level evidence from 20 EU countries
- Targeting financial stability: macroprudential or monetary policy?
- The BoC-BoE sovereign default database revisited: what’s new in 2018?
- The cross-sectional spillovers of single stock circuit breakers
- The deeds of speed: an agent-based model of market liquidity and flash episodes
- The distributional impact of monetary policy easing in the UK between 2008 and 2014
- The impact of the Bank of England’s Corporate Bond Purchase Scheme on yield spreads
- The information in the joint term structures of bond yields
- The international transmission of monetary policy
- The leverage ratio, risk-taking and bank stability
- The macroeconomic determinants of migration
- The stochastic lower bound
- Uncertain Kingdom: nowcasting GDP and its revisions
- Uncertainty and economic activity: a multi-country perspective
- Uncertainty matters: evidence from close elections
- Unconventional monetary policy and the portfolio choice of international mutual funds
- Using job vacancies to understand the effects of labour market mismatch on UK output
- Using online job vacancies to understand the UK labour market from the bottom-up
- Were banks special? Contrasting viewpoints in mid-nineteenth century Britain
- What drives UK defined benefit pension funds’ investment behaviour?
- Would macroprudential regulation have prevented the last crisis?
-
2019
- A structural model of interbank network formation and contagion
- All you need is cash: corporate cash holdings and investment after the financial crisis
- Attention to the tail(s): global financial conditions and exchange rate risks
- Back to the real economy: the effects of risk perception shocks on the term premium
- Bank funding costs and capital structure
- Brexit and uncertainty: insights from the Decision Maker Panel
- Bundling and exporting: evidence from German SMEs
- Capital and liquidity interaction in banking
- Credit, capital and crises: a GDP-at-Risk approach
- Credit default swaps and corporate bond trading
- Credit easing versus quantitative easing: evidence from corporate and government bond purchase programs
- Currency mispricing and dealer balance sheets
- Decomposing changes in the functioning of the sterling repo market
- Do unit labour costs matter? A decomposition exercise on European data
- Employment and the collateral channel of monetary policy
- Have FSRs got news for you? Evidence from the impact of Financial Stability Reports on market activity
- Heterogeneous beliefs and the Phillips curve
- Housing consumption and investment: evidence from shared equity mortgages
- In the face of spillovers: prudential policies in emerging economies
- International trade, non-trading firms and their impact on labour productivity
- Labor mobility in a monetary union
- Liquidity transformation, collateral assets and counterparties
- Machine learning explainability in finance: an application to default risk analysis
- Macroeconomic effects of political risk shocks
- Mapping bank securities across euro area sectors: comparing funding and exposure networks
- Market-implied systemic risk and shadow capital adequacy
- Market power and monetary policy
- Measuring financial cycle time
- Modelling the distribution of mortgage debt
- Monetary financing with interest-bearing money
- Monetary policy and birth rates: the effect of mortgage rate pass-through on fertility
- Non-salient fees in the mortgage market
- Official demand for US debt: implications for US real rates
- OTC microstructure in a period of stress: a multi-layered network approach
- Platform competition and incumbency advantage under heterogeneous switching cost — exploring the impact of data portability
- Predicting bank distress in the UK with machine learning
- Real effects of financial distress: the role of heterogeneity
- Regulatory effects on short-term interest rates
- Resilience of trading networks: evidence from the sterling corporate bond market
- Revisiting the global decline of the (non-housing) labor share
- Securities settlement fails network and buy-in strategies
- Parametric inference with universal function approximators
- Shareholder risk-taking incentives in the presence of contingent capital
- Shocks and labour cost adjustment: evidence from a survey of European firms
- Simulating liquidity stress in the derivatives market
- Simulating stress in the UK corporate bond market: investor behaviour and asset fire-sales
- Supervisory governance, capture and non-performing loans
- System-wide stress simulation
- Tail risk interdependence
- Taking regulation seriously: fire sales under solvency and liquidity constraints
- The real effects of zombie lending in Europe
- The Bank of England and central bank credit rationing during the crisis of 1847: frosted glass or raised eyebrows?
- The BoC-BoE sovereign default database: what’s new in 2019?
- The cost of clearing fragmentation
- The empirics of granular origins: some challenges and solutions with an application to the UK
- The impact of Brexit on UK firms
- The impact of corporate QE on liquidity: evidence from the UK
- The language of rules: textual complexity in banking reforms
- The long-run effects of uncertainty shocks
- The long-run information effect of central bank communication
- The role of households’ borrowing constraints in the transmission of monetary policy
- Three triggers? Negative equity, income shocks and institutions as determinants of mortgage default
- Time-varying cointegration and the UK great ratios
- To ask or not to ask: bank capital requirements and loan collateralization
- Towards a new monetary theory of exchange rate determination
- Tracking foreign capital: the effect of capital inflows on bank lending in the UK
- Trend and cycle shocks in Bayesian unobserved components models for UK productivity
- UK house prices and three decades of decline in the risk‑free real interest rate
- Patents, news, and business cycles
-
2020
- A shadow rate without a lower bound constraint
- Bank funding costs and solvency
- Blockchain structure and cryptocurrency prices
- Capital flows-at-risk: push, pull and the role of policy
- Changing supply elasticities and regional housing booms
- Compositional nature of firm growth and aggregate fluctuations
- Contagion accounting
- Credit growth, the yield curve and financial crisis prediction: evidence from a machine learning approach
- Crossing the credit channel: credit spreads and firm heterogeneity
- Does bonus cap curb risk taking? An experimental study of relative performance pay and bonus regulation
- Does energy efficiency predict mortgage performance?
- Does quantitative easing boost bank lending to the real economy or cause other bank asset reallocation? The case of the UK
- Does regulatory and supervisory independence affect financial stability?
- Dollar shortages and central bank swap lines
- Economic uncertainty before and during the Covid-19 pandemic
- Eight centuries of global real interest rates, R-G, and the ‘suprasecular’ decline, 1311–2018
- Exchange rate risk and business cycles
- Financial stress and the debt structure
- Foundations of system-wide financial stress testing with heterogeneous institutions
- Global financial cycles since 1880
- Has bail-in increased market discipline? An empirical investigation of European banks’ credit spreads
- Has monetary policy made you happier?
- High water, no marks? Biased lending after extreme weather
- How does international capital flow?
- Identification of structural vector autoregressions by stochastic volatility
- Impact of IFRS 9 on the cost of funding of banks in Europe
- Inferring trade directions in fast markets
- Informed trading and the dynamics of client-dealer connections in corporate bond markets
- Informed trading in government bond markets
- Jumpstarting an international currency
- Le Pont de Londres: interactions between monetary and prudential policies in cross-border lending
- Liquidity and monetary transmission: a quasi-experimental approach
- Liquidity management, fire sale and liquidity crises in banking: the role of leverage
- Macroprudential policy, mortgage cycles and distributional effects: Evidence from the UK
- Making text count: economic forecasting using newspaper text
- Modelling fire sale contagion across banks and non-banks
- Monetary policy and the management of uncertainty: a narrative approach
- Monetary policy inertia and the paradox of flexibility
- No-arbitrage pricing of GDP-linked bonds
- Non-linearities, asymmetries and dollar currency pricing in exchange rate pass-through: evidence from the sectoral level
- On-the-job training and intra-family dynamics
- Optimal simple objectives for monetary policy when banks matter
- Quality is our asset: the international transmission of liquidity regulation
- Side effects of separating retail and investment banking: evidence from the UK
- The 3 E’s of central bank communication with the public
- The central bank balance sheet as a policy tool: past, present and future
- The global effects of global risk and uncertainty
- The impact of Covid-19 on productivity
- The interaction between macroprudential policy and monetary policy: overview
- The interbank market puzzle
- The link between bank competition and risk in the United Kingdom: two views for policymaking
- The missing link: monetary policy and the labor share
- Uncertainty and voting on the Bank of England’s Monetary Policy Committee
- Understanding pay gaps
- Understanding US export dynamics: does modelling the extensive margin of exports help?
- (When) do banks react to anticipated capital reliefs?
- Workers, capitalists, and the government: fiscal policy and income (re)distribution
-
2021
- A CBA of APC: analysing approaches to procyclicality reduction in CCP initial margin models
- A tail of three occasionally-binding constraints: a modelling approach to GDP-at-Risk
- An unintended consequence of holding dollar assets
- Banks, shadow banks, and business cycles
- Banks’ internal capital allocation, the leverage ratio requirement and risk-taking
- Climate policy and transition risk in the housing market
- Comparing minds and machines: implications for financial stability
- Corporate debt booms, financial constraints and the investment nexus
- Credit, crises and inequality
- Dash for dollars
- Did the Covid-19 local lockdowns reduce business activity? Evidence from UK SMEs
- Does regulation only bite the less profitable? Evidence from the too-big-to-fail reforms
- Flexible inflation targeting with active fiscal policy
- Forecasting UK GDP growth with large survey panels
- Forecasting UK inflation bottom up
- Foreign vulnerabilities, domestic risks: the global drivers of GDP-at-Risk
- Gender, age and nationality diversity in UK banks
- Global spillovers of the Fed information effect
- Household debt and labour supply
- How does the repo market behave under stress? Evidence from the Covid-19 crisis
- Identifying the transmission channels of credit supply shocks to household debt: price and non-price effects
- Impacts of the Covid-19 crisis: evidence from 2 million UK SMEs
- Imperfect pass-through to deposit rates and monetary policy transmission
- Income inequality, mortgage debt and house prices
- Interactions of capital and liquidity requirements: a review of the literature
- Macroprudential policy interactions in a sectoral DSGE model with staggered interest rates
- Measure for measure: evidence on the relative performance of regulatory requirements for small and large banks
- Monetary policy surprises and their transmission through term premia and expected interest rates
- Mortgage pricing and monetary policy
- Non-standard errors
- On the origin of systemic risk
- Optimal monetary policy mix at the zero lower bound
- Optimal policy with occasionally binding constraints: piecewise linear solution methods
- Organisational culture and bank risk
- Preferred habitat investors in the UK government bond market
- Price discrimination and mortgage choice
- Refinancing cross-subsidies in the mortgage market
- Revisiting the New Keynesian policy paradoxes under QE
- Risk-taking and uncertainty: do contingent convertible (CoCo) bonds increase the risk appetite of banks?
- Risks and global supply chains: what we know and what we need to know
- Sectoral comovement, monetary policy and the credit channel
- Slow recoveries, endogenous growth and macroprudential policy
- Software validation and artificial intelligence in finance – a primer
- Solvency distress contagion risk: network structure, bank heterogeneity and systemic resilience
- Terms-of-trade shocks are not all alike
- The consumption response to borrowing constraints in the mortgage market
- The earned income tax credit: targeting the poor but crowding out wealth
- The impact of machine learning and big data on credit markets
- The importance of supply and demand for oil prices: evidence from non-Gaussianity
- The macroprudential toolkit: effectiveness and interactions
- The more the merrier? Evidence from the global financial crisis on the value of multiple requirements in bank regulation
- The repo market under Basel III
- Mark my words: the transmission of central bank communication to the general public via the print media
- The transmission of Keynesian supply shocks
- Unemployment risk, liquidity traps and monetary policy
- Uneven growth: automation’s impact on income and wealth inequality
- Unlocking new methods to estimate country-specific trade costs and trade elasticities
-
2022
- A structural model of liquidity in over‑the‑counter markets
- A tail of labour supply and a tale of monetary policy
- A tale of two global monetary policies
- Aggregation across each nation: aggregator choice and macroeconomic dynamics
- An interpretable machine learning workflow with an application to economic forecasting
- Bond supply, price drifts and liquidity provision before central bank announcements
- Business creation during Covid-19
- Central bank swap lines: micro-level evidence
- Chronicle of a death foretold: does higher volatility anticipate corporate default?
- Collateral requirements in central bank lending
- Comparing search and intermediation frictions across markets
- Competition, profitability and financial leverage
- Consumption effects of mortgage payment holidays: evidence during the Covid-19 pandemic
- Global R*
- Do personal taxes affect investment decisions and stock returns?
- Efficiency of central clearing under liquidity stress
- Financial concerns and the marginal propensity to consume in Covid times: evidence from UK survey data
- Firming up price inflation
- FX option volume
- Heterogeneous effects and spillovers of macroprudential policy in an agent-based model of the UK housing market
- Horses for courses: measuring foreign supply chain exposure
- House price dynamics, optimal LTV limits and the liquidity trap
- Identification of SVAR models by combining sign restrictions with external instruments
- Identification with external instruments in structural VARs
- Information chasing versus adverse selection
- Interbank network and banks' credit supply
- Links between government bond and futures markets: dealer-client relationships and price discovery in the UK
- Mainly employment: survey-based news and the business cycle
- Collateral cycles
- Measuring Capital at Risk in the UK banking sector: a microstructural network approach
- Measuring the effects of bank remuneration rules: evidence from the UK
- Monetary policy transmission during QE times: role of expectations and term premia channels
- Monetary policy transmission, the labour share and HANK models
- Network analysis of the UK reinsurance market
- Real and nominal effects of monetary shocks under time-varying disagreement
- Reducing liquidity mismatch in open‑ended funds: a cost-benefit analysis
- Size discount and size penalty: trading costs in bond markets
- Start-up types and macroeconomic performance in Europe
- Stress relief? Funding structures and resilience to the Covid Shock
- Structural change, global R* and the missing-investment puzzle
- The collection of slavery compensation, 1835-43
- The effects of subsidised flood insurance on real estate markets
- The impact of changes in bank capital requirements
- The local supply channel of QE: evidence from the Bank of England’s gilt purchases
- The ring-fencing bonus
- The size-centrality relationship in production networks
- Macroeconomic policymaking in interwar Britain: a reappraisal
- Value of information, search, and competition in the UK mortgage market
- What drives repo haircuts? Evidence from the UK market
- What is productive investment? Insights from firm-level data for the United Kingdom
- Why you should not use the LSV herding measure
-
2023
- An anatomy of the 2022 gilt market crisis
- An evaluation of the Bank of England’s ILTR operations: comparing the product‑mix auction to alternatives
- Bank expectations and prudential outcomes
- Beliefs- and fundamentals-driven job creation
- Climate policies, macroprudential regulation, and the welfare cost of business cycles
- Deep learning model fragility and implications for financial stability and regulation
- Defusing leverage: liquidity management and labor contracts
- Do firm expectations respond to monetary policy announcements?
- Energy prices and household heterogeneity: monetary policy in a Gas-TANK
- Financial services trade restrictions and lending from an international financial centre
- Flexible Bayesian MIDAS: time‑variation, group‑shrinkage and sparsity
- Foreign exchange hedging using regime-switching models: the case of pound sterling
- Getting through: communicating complex information
- Granular banking flows and exchange-rate dynamics
- Hedging, market concentration and monetary policy: a joint analysis of gilt and derivatives exposures
- Hidden exposure: measuring US supply chain reliance
- Leverage ratio and risk-taking: theory and practice
- Macroprudential stress‑test models: a survey
- Measuring monetary policy in the UK: the UK Monetary Policy Event‑Study Database
- Mispricing in inflation markets
- Moderation or indulgence? Effects of bank distribution restrictions during stress
- Negative rates, monetary policy transmission and cross-border lending via international financial centres
- Nonbank lenders as global shock absorbers: evidence from US monetary policy spillovers
- On the non-identification of revenue production functions
- Open banking, shadow banking and regulation
- Price formation in markets with trading delays
- Relationship discounts in corporate bond trading
- Revisiting the effects of long-term unemployment on inflation: the role of non-linearities
- Revisiting the monetary transmission mechanism through an industry‑level differential approach
- Ring-fencing in financial networks
- Self-fulfilling fire sales and market backstops
- The cyclicality of bank credit losses and capital ratios under expected loss model
- The demand for long-term mortgage contracts and the role of collateral
- The gravity of syndication ties in international equity underwriting
- The greening of lending: mortgage pricing of energy transition risk
- The liquidity state-dependence of monetary policy transmission
- The market for inflation risk
- The market for sharing interest rate risk: quantities and asset prices
- The potential impact of broader central clearing on dealer balance sheet capacity: a case study of UK gilt and gilt repo markets
- The transmission of macroprudential policy in the tails: evidence from a narrative approach
- Understanding climate-related disclosures of UK financial institutions
- Unwinding quantitative easing: state dependency and household heterogeneity
- Creditable capital: macroprudential regulation and bank lending in stress
- Vacancy posting, firm balance sheets, and pandemic policy
- Yield curve sensitivity to investor positioning around economic shocks
-
2024
- Across the borders, above the bounds: a non-linear framework for international yield curves
- An unconventional FX tail risk story
- Asymmetric expectations of monetary policy
- Battle of the markups: conflict inflation and the aspirational channel of monetary policy transmission
- Behavioral lock-in: aggregate implications of reference dependence in the housing market
- Central bank profit distribution and recapitalisation
- Competing models of the Bank of England’s liquidity auctions: truthful bidding is a good approximation
- Customer data access and fintech entry: early evidence from open banking
- Energy and climate policy in a DSGE model of the United Kingdom
- Global value chains and the dynamics of UK inflation
- Information disclosure and information acquisition in credit markets
- Monetary policy consequences of financial stability interventions: assessing the UK LDI crisis and the central bank policy response
- Optimal quantitative easing and tightening
- Principles and techniques to resolve large banks whose failure could have systemic consequences
- Quantitative easing and the functioning of the gilt repo market
- Screening using a menu of contracts: a structural model of lending markets
- The impact of prudential regulations on the UK housing market and economy: insights from an agent-based model
- Staff working papers
Documents
-
working-paper
-
1992
- Financial Deregulation and Household Saving (pdf 5.5MB)
- Output, Productivity and Externalities - the Case of Banking (pdf 7.4MB)
- Real interest parity, dynamic convergence and the European Monetary System (pdf 5.2MB)
- Testing for short-termism in the UK stock market (pdf 10MB)
- Testing real interest parity in the European Monetary System (pdf 9MB)
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1993
- A simple model of money, credit and aggregate demand (pdf 3.9MB)
- An Empirical Analysis of M4 in the United Kingdom (pdf 9.7MB)
- An investigation of the effect of funding on the slope of the yield curve (pdf 10.4MB)
- Bank Credit Risk (pdf 7MB)
- Divisia Indices for Money: An Appraisal of Theory and Practice (pdf 14.2MB)
- House prices, arrears and possessions: A three equation model for the UK (pdf 5.8MB)
- Interest rate control in a model of monetary policy (pdf 4.4MB)
- Interest rates and the channels of monetary transmission: some sectoral estimates (pdf 8.6MB)
- M0: Causes and Consequences (pdf 5.5MB)
- Regional Trading Blocs, Mobile Capital and Exchange Rate Co-ordination (pdf 6MB)
- Tax Specific Term Structures of Interest Rates in the UK Government Bond Market (pdf 3.4MB)
- Temporary cycles or volatile trends? Economic fluctuations in 21 OECD economies (pdf 11.3MB)
- The effect of changes in official UK rates on market interest rates since 1987 (pdf 3.8MB)
- The Effect of Futures Trading on Cash Market Volatility: Evidence from the London Stock Exchange (pdf 4MB)
- The Statistical Distribution of Short-Term Libor Rates Under Two Monetary Regimes (pdf 5MB)
- Tradable and non-tradable prices in the UK and EC: measurement and explanation (pdf 13.8MB)
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1994
- A Model of Building Society Interest Rate Setting (pdf 5.4MB)
- Deriving Estimates of Inflation Expectations from the Prices of UK Government Bonds (pdf 6.8MB)
- Estimating the Term Structure of Interest Rates (pdf 8.5MB)
- Inflation, inflation risks and asset returns (pdf 7.2MB)
- New currencies in the Former Soviet Union: a recipe for hyperinflation or the path (pdf 17.2MB)
- Potential credit exposure on interest rate swaps (pdf 5.3MB)
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1995
- An assessment of the relative importance of real interest rates, inflation and term premia (pdf 7MB)
- Granger causality tests in the presence of structural changes (pdf 6.4MB)
- How Cyclical is the PSBR? (pdf 7MB)
- Measuring Core Inflation (pdf 5.8MB)
- Modelling UK Inflation Uncertainty: The Impact of News and the Relationship with Inflation (pdf 8.5MB)
- Money as an Indicator (pdf 9.5MB)
- Optimal Commitment in an Open Economy: Credibility vs. Flexibility (pdf 8.1MB)
- Pricing Deposit Insurance in the United Kingdom (pdf 11.7MB)
- Rules, Discretion and the United Kingdom's New Monetary Framework (pdf 5.8MB)
- Testing for convergence: evidence from non-parametric multimodality tests (pdf 3.3MB)
- The Construction of RPIY (pdf 5.3MB)
- The Microstructure of the UK gilt market (pdf 7.2MB)
- Valuation of underwriting agreements for UK rights issues: evidence from the traded option market (pdf 4.1MB)
- Wage Interactions: Comparisons or Fall-back Options? (pdf 4.4MB)
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1996
- A Comparison of Methods for Seasonal Adjustment of the Monetary Aggregates (pdf 13.9MB)
- A Market for Intra-day Funds: Does it Have Implications for Monetary Policy? (pdf 3.7MB)
- Base Money Rules in the UK (pdf 6.9MB)
- Bidding and Information: Evidence from Gilt-Edged Auctions (pdf 4.1MB)
- Feasible Mechanisms for Achieving Monetary Stability: a Comparison of Inflation Targeting & the ERM (pdf 5.2MB)
- Independence and Accountability (pdf 8.3MB)
- Inflation Forecast Targeting: Implementing and Monitoring Inflation Targets (pdf 8.1MB)
- International Bank Lending to LDCs - an Information-Based Approach (pdf 5.5MB)
- Measurement Bias in Price Indices: An Application to the UK's RPI (pdf 10.7MB)
- Monetary Policy Uncertainty and Central Bank Accountability (pdf 6.2MB)
- The Construction of the Bank's new UK Commodity Price Index (pdf 3.7MB)
- The information content of the short end of the term structure of interest rates (pdf 13.2MB)
- UK Asset Price Volatility Over the Last 50 Years (pdf 9.2MB)
- Unemployment persistence: Does the size of the shock matter? (pdf 5.3MB)
- What Determines the Short-run Output-Inflation Trade-off? (pdf 5.4MB)
- Why do the LIFFE and DTB bund futures contracts trade at different prices? (pdf 4.5MB)
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1997
- Agency Incentives and Reputational Distortions: a Comparison of the Effectiveness of Value-at-Risk (pdf 0.3MB)
- How do UK companies set prices? (pdf 0.1MB)
- Implied risk-neutral probability density functions from option prices: theory and application (pdf 0.2MB)
- Is International Openness associated with faster economic growth? (pdf 0.3MB)
- Persistence and Mobility in International Trade (pdf 0.2MB)
- Real Interest Rate Linkages: Testing for Common Trends and Cycles (pdf 0.3MB)
- Testing the predictive power of dividend yields: non-parametric evidence from the G5 (pdf 0.7MB)
- The cyclicality of Mark-ups and Profit Margins: Some Evidence for Manufacturing and Services (pdf 0.1MB)
- The Demand for M4: A Sectoral Analysis (Part 1 - The Personal Sector) (pdf 1MB)
- The Demand for M4: A Sectoral Analysis (Part 2 - The Corporate Sector) (pdf 1.2MB)
- The Determinants of Successful Financial Innovation: an Empirical Analysis of Futures Innovation (pdf 0.1MB)
- The determinants of UK business cycles (pdf 0.2MB)
- The effects of Stamp Duty on the Level and Volatility of Equity Prices (pdf 0.7MB)
- The Industrial Impact of Monetary Policy Shocks: Some Stylised Facts (pdf 0.1MB)
- Which Inter-dealer Market Prevails? An analysis of inter-dealer trading in opaque markets (pdf 0.4MB)
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1998
- Are there downward nominal rigidities in product markets? (pdf 0.1MB)
- Are UK inflation expectations rational? (pdf 0.1MB)
- Averaging in a framework of zero reserve requirements (pdf 0.2MB)
- Bank Capital and Value at Risk (pdf 0.6MB)
- Deconstructing Growth in UK Manufacturing (pdf 0.4MB)
- Downward nominal rigidity and monetary policy (pdf 0.2MB)
- Electronic versus open outcry markets: The case of the Bund futures contract (pdf 0.1MB)
- Exchange rates and prices: sources of sterling real exchange rate fluctuations (pdf 0.6MB)
- Incentive schemes for central bankers under uncertainty: inflation targets versus contracts (pdf 0.1MB)
- Optimal currency areas and customs unions: are they connected? (pdf 0.6MB)
- Productivity convergence and international openness (pdf 0.4MB)
- Shoe-leather costs reconsidered (pdf 0.9MB)
- Some costs and benefits of price stability in the UK (pdf 0.2MB)
- Some Issues in Inflation Targeting (pdf 0.2MB)
- The demand for M0 in the United Kingdom reconsidered: some specification issues (pdf 0.2MB)
- The Information Content of the Inflation Term Structure (pdf 0.1MB)
- Why has the female unemployment rate fallen so much in Britain? (pdf 0.1MB)
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1999
- Asset price reactions to RPI announcements (pdf 1MB)
- Bank capital and risk taking (pdf 0.3MB)
- Business cycles and the labour market can theory fit the facts? (pdf 0.3MB)
- Caution and gradualism in monetary policy under uncertainty (pdf 0.2MB)
- Coalition formation in international monetary policy games (pdf 0.7MB)
- Forward looking rules for monetary policy (pdf 0.3MB)
- Inflation and real disequilibria (pdf 0.4MB)
- Monetary policy loss functions: two cheers for the quadratic (pdf 0.3MB)
- Monetary stabilisation policy in a monetary union: some simple analytics (pdf 0.2MB)
- Money, credit and investment in the UK corporate sector (pdf 0.3MB)
- Openness and its association with productivity growth in UK manufacturing industry (pdf 0.2MB)
- Price formation and transparency on the London Stock Exchange (pdf 0.4MB)
- Should uncertain monetary policy-makers do less? (pdf 0.2MB)
- The non-linear Phillips curve and inflation forecast targeting (pdf 0.2MB)
- To trim or not to trim? An application of a trimmed mean inflation estimator to the United Kingdom (pdf 0.2MB)
- Uncertainty and simple monetary policy rules - An illustration for the United Kingdom (pdf 0.1MB)
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2000
- A limited participation model of the monetary transmission mechanism in the United Kingdom (pdf 0.1MB)
- A small structural empirical model of the UK monetary transmission mechanism (pdf 0.3MB)
- Direct effects of base money on aggregate demand: theory and evidence (pdf 0.2MB)
- How well does a limited participation model of the monetary transmission mechanism match UK data? (pdf 0.1MB)
- Imperfect competition and the dynamics of mark-ups (pdf 0.6MB)
- Inventory investment and cash flow (pdf 0.1MB)
- Liquidity traps: how to avoid them and how to escape them (pdf 0.3MB)
- Monetary policy surprises and the yield curve (pdf 0.2MB)
- Must the growth rate decline? Baumol's unbalanced growth revisited (pdf 0.3MB)
- Optimal horizons for inflation targeting (pdf 0.1MB)
- Persistence and volatility in short-term interest rates (pdf 0.2MB)
- Sovereign liquidity crises: analytics and implications for monetary policy (pdf 0.5MB)
- Testing the stability of implied probability density functions (pdf 1MB)
- The effects of increased labour market flexibility in the United Kingdom: theory and practice (pdf 0.2MB)
- The sensitivity of aggregate consumption to human wealth (pdf 0.1MB)
- Trade credit and the monetary transmission mechanism (pdf 0.1MB)
- UK monetary policy 1972-97: a guide using Taylor rules (pdf 0.4MB)
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2001
- Age structure and the UK unemployment rate (pdf 0.2MB)
- An analysis of the relationship between international bond markets (pdf 0.3MB)
- Assessing the impact of macroeconomic news announcements on securities prices (pdf 0.3MB)
- Band-pass filtering, cointegration, and business cycle analysis (pdf 0.2MB)
- Consumption, money and lending: a joint model for the UK household sector (pdf 0.2MB)
- Costs of banking system instability: some empirical evidence (pdf 0.1MB)
- Crisis costs and debtor discipline: the efficacy of public policy in sovereign debt crises (pdf 0.4MB)
- Does it pay to be transparent? International evidence from central bank forecasts (pdf 0.1MB)
- Hard Times or Great Expectations?: Dividend omissions and dividend cuts by UK firms (pdf 0.1MB)
- Hybrid inflation and price level targeting (pdf 0.2MB)
- ICT and productivity growth in the United Kingdom (pdf 0.5MB)
- Indicators of fragility in the UK corporate sector (pdf 0.1MB)
- Investment-specific technological progress in the United Kingdom (pdf 1.1MB)
- Leading indicator information in UK equity prices: an assessment of economic tracking portfolios (pdf 0.1MB)
- New estimates of the UK real and nominal yield curves (pdf 0.3MB)
- 'Oscillate Wildly': asymmetries and persistence in company-level profitability (pdf 0.1MB)
- PPP and the real exchange rate-real interest rate differential puzzle revisited (pdf 0.2MB)
- Ratings versus equity-based credit risk modelling: an empirical analysis (pdf 0.5MB)
- Skill imbalances in the UK labour market: 1979-99 (pdf 0.1MB)
- Stability of ratings transitions (pdf 0.3MB)
- Sticky prices and volatile output (pdf 0.1MB)
- The fallacy of the fiscal theory of the price level, again (pdf 0.2MB)
- The real interest rate gap as an inflation indicator (pdf 0.7MB)
- The structure of credit risk: spread volatility and ratings transitions (pdf 0.4MB)
- The United Kingdom's small banks' crisis of the early 1990s (pdf 0.2MB)
- UK inflation in the 1970s and 1980s: the role of output gap mismeasurement (pdf 0.2MB)
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2002
- A monetary model of factor utilisation (pdf 0.3MB)
- Base rate pass-through: evidence from banks' and building societies' retail rates (pdf 0.4MB)
- Committees versus individuals: an experimental analysis of monetary policy decision-making (pdf 0.5MB)
- Do changes in structural factors explain movements in the equilibrium rate of unemployment? (pdf 0.1MB)
- Equilibrium exchange rates and supply-side performance (pdf 0.3MB)
- Factor utilisation and productivity estimates for the United Kingdom (pdf 0.3MB)
- Financial accelerator effects in UK business cycles (pdf 0.2MB)
- Financial liberalisation and consumers' expenditure: 'FLIB' re-examined (pdf 0.2MB)
- Financial pressure and balance sheet adjustment by UK firms (pdf 0.3MB)
- House prices, consumption, and monetary policy: a financial accelerator approach (pdf 0.4MB)
- How uncertain are the welfare costs of inflation? (pdf 0.1MB)
- Leading indicators of balance-of-payments crises: a partial review (pdf 0.7MB)
- Monetary policy and stagflation in the UK (pdf 0.3MB)
- Monetary policy rules for an open economy (pdf 0.5MB)
- On gross worker flows in the United Kingdom: evidence from the Labour Force Survey (pdf 0.1MB)
- Other financial corporations: Cinderella or ugly sister of empirical monetary economics? (pdf 0.1MB)
- Productivity versus welfare: or, GDP versus Weitzman's NDP (pdf 0.5MB)
- Regulatory and 'economic' solvency standards for internationally active banks (pdf 0.1MB)
- Soft liquidity constraints and precautionary saving (pdf 0.2MB)
- The implications of an ageing population for the UK economy (pdf 0.2MB)
- The role of corporate balance sheets and bank lending policies in a financial accelerator framework (pdf 0.6MB)
- The role of short-run inflation targets and forecasts in disinflation (pdf 0.5MB)
- Understanding UK inflation: the role of openness (pdf 0.5MB)
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2003
- A Kalman filter approach to estimating the UK NAIRU (pdf 0.4MB)
- A matching model of non-employment and wage pressure (pdf 0.3MB)
- A Merton-model approach to assessing the default risk of UK public companies (pdf 0.4MB)
- A quantitative framework for commercial property and its relationship to the analysis (pdf 0.7MB)
- Analytics of sovereign debt restructuring (pdf 0.3MB)
- Capital flows to emerging markets (pdf 0.4MB)
- Capital stocks, capital services, and depreciation: an integrated framework (pdf 0.8MB)
- Company accounts based modelling of business failures and the implications for financial stability (pdf 0.8MB)
- Credit risk diversification: evidence from the eurobond market (pdf 0.4MB)
- Credit spreads on sterling corporate bonds and the term structure of UK interest rates (pdf 0.3MB)
- Current accounts, net foreign assets and the implications of cyclical factors (pdf 0.3MB)
- Debt maturity structure with pre-emptive creditors (pdf 0.3MB)
- E-barter versus fiat money: will central banks survive? (pdf 0.3MB)
- Endogenous price stickiness, trend inflation, and the New Keynesian Phillips curve (pdf 0.4MB)
- Empirical determinants of emerging market economies' sovereign bond spreads (pdf 0.3MB)
- Equilibrium analysis, banking, contagion and financial fragility (pdf 1.1MB)
- Estimating real interest rates for the United Kingdom (pdf 0.9MB)
- Forecasting inflation using labour market indicators (pdf 0.5MB)
- Implicit interest rates and corporate balance sheets (pdf 0.3MB)
- Import prices and exchange rate pass-through: theory and evidence from the United Kingdom (pdf 0.3MB)
- Modelling investment when relative prices are trending: theory and evidence for the United Kingdom (pdf 0.4MB)
- Money market operations and volatility of UK money market rates (pdf 0.5MB)
- Non-interest income and total income stability (pdf 0.3MB)
- Procyclicality and the new Basel Accord - banks' choice of loan rating system (pdf 0.5MB)
- Public demand for low inflation (pdf 0.4MB)
- Rational expectations and fixed-event forecasts: an application to UK inflation (pdf 0.4MB)
- Ready, willing and able? Measuring labour availability in the UK (pdf 0.5MB)
- Settlement bank behaviour and throughput rules in an RTGS payment system with collateralised (pdf 0.3MB)
- Sovereign debt workouts with the IMF as delegated monitor - a common agency approach (pdf 0.4MB)
- The dynamics of consumers' expenditure: the UK consumption ECM redux (pdf 0.3MB)
- The effect of payments standstills on yields and the maturity structure of international debt (pdf 0.5MB)
- The impact of price competitiveness on UK producer price behaviour (pdf 0.3MB)
- The provisioning experience of the major UK banks: a small panel investigation (pdf 0.4MB)
- The rise in US household debt: assessing its causes and sustainability (pdf 0.4MB)
- The role of asset prices in transmitting monetary and other shocks (pdf 0.5MB)
- The role of expectations in estimates of the NAIRU in the United States and the United Kingdom (pdf 0.4MB)
- UK business investment: long-run elasticities and short-run dynamics (pdf 0.4MB)
- What caused the 2000/01 slowdown? Results from a VAR analysis of G7 GDP components (pdf 0.4MB)
- What does economic theory tell us about labour market tightness? (pdf 0.5MB)
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2004
- An empirical analysis of the dynamic relationship between investment-grade bonds (pdf 0.3MB)
- An empirical model of household arrears (pdf 0.4MB)
- Anticipation of monetary policy in UK financial markets (pdf 0.4MB)
- Bail out or work out? Theoretical considerations (pdf 0.3MB)
- Competitiveness, inflation, and monetary policy (pdf 0.2MB)
- Concepts of equilibrium exchange rates (pdf 0.4MB)
- Core inflation: a critical guide (pdf 0.3MB)
- Corporate capital structure in the United Kingdom: determinants and adjustment (pdf 0.8MB)
- Crisis spillovers in emerging market economies (pdf 0.4MB)
- Does job insecurity affect household consumption? (pdf 0.3MB)
- Estimating time-variation in measurement error from data revisions (pdf 0.2MB)
- Evolving post-World War II UK economic performance (pdf 0.5MB)
- Exploring the relationship between credit spreads and default probabilities (pdf 0.4MB)
- Female labour force participation in the United Kingdom (pdf 0.2MB)
- Financial interlinkages in the United Kingdom's interbank market and the risk of contagion (pdf 0.3MB)
- Forecasting with measurement errors in dynamic models (pdf 0.3MB)
- From tiny samples do mighty populations grow? (pdf 0.2MB)
- Health, disability insurance and labour force participation (pdf 0.2MB)
- Horizontal and vertical integration in securities trading and settlement (pdf 0.4MB)
- How can the IMF catalyse private capital flows? A model (pdf 0.4MB)
- IMF lending and creditor moral hazard (pdf 0.5MB)
- International financial rescues and debtor-country moral hazard (pdf 0.4MB)
- Intertemporal substitution and household production in labour supply (pdf 0.2MB)
- Investment-specific technological change and growth accounting (pdf 0.2MB)
- Long-horizon equity return predictability: some new evidence for the United Kingdom (pdf 0.4MB)
- Long-term interest rates, wealth and consumption (pdf 0.6MB)
- On the resolution of banking crises: theory and evidence (pdf 0.2MB)
- Price-setting behaviour, competition, and mark-up shocks in the New Keynesian model (pdf 0.2MB)
- Real exchange rate persistence and systematic monetary policy behaviour (pdf 0.3MB)
- Real exchange rates and the relative prices of non-traded and traded goods: an empirical analysis (pdf 0.5MB)
- Rule-based monetary policy under central bank learning (pdf 0.3MB)
- The effects of stock market movements on consumption and investment: does the shock matter? (pdf 0.3MB)
- The efficient resolution of capital account crises: how to avoid moral hazard (pdf 0.3MB)
- The exposure of international bank loans to third-country risk (pdf 0.7MB)
- The informational content of empirical measures of real interest rate and output gaps for the UK (pdf 0.4MB)
- The Phillips curve under state-dependent pricing (pdf 0.3MB)
- The roles of expected profitability (pdf 0.4MB)
- Technical Appendix 1 to accompany Working Paper No. 222 (pdf 0.2MB)
- Technical Appendix 2 to accompany Working Paper No. 222 (pdf 0.2MB)
- The UK labour force participation rate: business cycle and trend influences (pdf 0.3MB)
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2005
- A model of bank capital, lending and the macroeconomy: Basel I versus Basel II (pdf 0.4MB)
- A quality-adjusted labour input series for the United Kingdom (1975-2002) (pdf 0.3MB)
- Accounting for the source of exchange rate movements: new evidence (pdf 0.6MB)
- Asset price based estimates of sterling exchange rate risk premia (pdf 0.2MB)
- Asset pricing, asymmetric information and rating announcements: does benchmarking on ratings matter? (pdf 2MB)
- Bank loans versus bond finance: implications for sovereign debtors (pdf 0.4MB)
- Comovements in the prices of securities issued by large complex financial institutions (pdf 0.9MB)
- Consumption, house prices and expectations (pdf 0.4MB)
- Corporate expenditures and pension contributions: evidence from UK company accounts (pdf 0.4MB)
- Decomposing credit spreads (pdf 0.3MB)
- Default probabilities and expected recovery: an analysis of emerging market sovereign bonds (pdf 0.3MB)
- Estimating UK capital adjustment costs (pdf 0.2MB)
- Financial constraints and capacity adjustment in the United Kingdom (pdf 0.4MB)
- Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation (pdf 0.7MB)
- Learning the rules of the new game? Comparing the reactions in financial markets to announcements (pdf 0.4MB)
- Liquidity risk and contagion (pdf 0.2MB)
- Measuring investors' risk appetite (pdf 0.3MB)
- Misperceptions and monetary policy in a New Keynesian model (pdf 0.5MB)
- Modelling manufacturing inventories (pdf 0.2MB)
- Monetary policy and data uncertainty (pdf 0.5MB)
- Monetary policy and private sector misperceptions about the natural level of output (pdf 0.2MB)
- On the consumption-real exchange rate anomaly (pdf 0.2MB)
- Optimal collective action clause thresholds (pdf 0.3MB)
- Productivity growth in UK industries, 1970-2000: structural change and the role of ICT (pdf 0.4MB)
- Technical Appendix 1 to accompany Working Paper No. 259 (pdf 0.3MB)
- Real-Time Gross Settlement and hybrid payment systems: a comparison (pdf 0.5MB)
- 'Real-world' mortgages, consumption volatility and the low inflation environment (pdf 0.3MB)
- Stress tests of UK banks using a VAR approach (pdf 1MB)
- The determinants of household debt and balance sheets in the United Kingdom (pdf 0.3MB)
- The determinants of unsecured borrowing: evidence from the British Household Panel Survey (pdf 0.7MB)
- The impact of unsecured debt on financial distress among British households (pdf 0.4MB)
- The New Keynesian Phillips Curve in the United States and the euro area (pdf 0.5MB)
- The role of ICT in the global investment cycle (pdf 0.3MB)
- The stock market and capital accumulation: an application to UK data (pdf 0.3MB)
- The substitution of bank for non-bank corporate finance: evidence for the United Kingdom (pdf 0.4MB)
- Wealth and consumption: an assessment of the international evidence (pdf 0.3MB)
- What caused the early millennium slowdown? Evidence based on vector autoregressions (pdf 1.2MB)
- When is mortgage indebtedness a financial burden to British households? A dynamic probit approach (pdf 0.2MB)
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2006
- Affine term structure models for the foreign exchange risk premium - Luca Benati (pdf 0.6MB)
- Assessing central counterparty margin coverage on futures contracts using GARCH models (pdf 0.6MB)
- Bank capital, asset prices and monetary policy - David Aikman and Matthias Paustian (pdf 0.5MB)
- Bank capital channels in the monetary transmission mechanism - Bojan Markovic (pdf 0.3MB)
- Consumer credit conditions in the United Kingdom - Emilio Fernandez-Corugedo and John Muellbauer (pdf 0.4MB)
- Consumption excess sensitivity, liquidity constraints and the collateral role of housing (pdf 0.4MB)
- Corporate debt and financial balance sheet adjustment - Peter Gibbard and Ibrahim Stevens (pdf 0.3MB)
- Defined benefit company pensions and corporate valuations: simulation and empirical evidence (pdf 0.5MB)
- Do announcements of bank acquisitions in emerging markets create value? (pdf 0.2MB)
- Elasticities, markups and technical progress: evidence from a state-space approach - Colin Ellis (pdf 0.3MB)
- Exchange rate pass-through into UK import prices - Haroon Mumtaz, Özlem Oomen and Jian Wang (pdf 0.4MB)
- Financial infrastructure and corporate governance (pdf 0.2MB)
- Fiscal rules for debt sustainability in emerging markets: the impact of volatility and default risk (pdf 0.2MB)
- Fundamental inflation uncertainty - Charlotta Groth, Jarkko Jääskelä and Paolo Surico (pdf 0.2MB)
- How does the down-payment constraint affect the UK housing market? - Andrew Benito (pdf 0.5MB)
- International and intranational consumption risk sharing: the evidence for the United Kingdom & OECD (pdf 0.3MB)
- Modelling the cross-border use of collateral in payment systems (pdf 0.2MB)
- Optimal discretionary policy in rational expectations models with regime switching (pdf 0.3MB)
- Optimal emerging market fiscal policy when trend output growth is unobserved (pdf 0.2MB)
- Optimal monetary policy in a regime-switching economy: the response to abrupt shifts (pdf 0.8MB)
- Optimal monetary policy in Markov-switching models with rational expectations agents (pdf 0.4MB)
- Procyclicality, collateral values and financial stability (pdf 0.3MB)
- Productivity growth, adjustment costs and variable factor utilisation: the UK case (pdf 0.3MB)
- Resolving banking crises - an analysis of policy options - Misa Tanaka and Glenn Hoggarth (pdf 0.4MB)
- Returns to equity, investment and Q: evidence from the United Kingdom (pdf 0.3MB)
- Sterling implications of a US current account reversal - Morten Spange and Pawel Zabczyk (pdf 0.4MB)
- Switching costs in the market for personal current accounts: some evidence for the United Kingdom (pdf 0.4MB)
- The danger of inflating expectations of macroeconomic stability: heuristic switching (pdf 0.3MB)
- The price puzzle: fact or artefact? - Efrem Castelnuovo and Paolo Surico (pdf 0.5MB)
- The welfare benefits of stable and efficient payment systems - Stephen Millard and Matthew Willison (pdf 0.2MB)
- The yen real exchange rate may be stationary after all: evidence from non-linear unit root tests (pdf 0.2MB)
- UK monetary regimes and macroeconomic stylised facts - Luca Benati (pdf 1MB)
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2007
- A model of market surprises - Lavan Mahadeva (pdf 3.8MB)
- A state space approach to extracting the signal from uncertain data (pdf 0.3MB)
- An affine macro-factor model of the UK yield curve (pdf 0.9MB)
- Business cycle fluctuations and excess sensitivity of private consumption (pdf 0.2MB)
- Cash-in-the-market pricing and optimal resolution of bank failures (pdf 0.4MB)
- Comparing the pre-settlement risk implications of alternative clearing arrangements (pdf 0.3MB)
- Does Asia's choice of exchange rate regime affect Europe's exposure to US shocks? (pdf 0.7MB)
- Escaping Nash and volatile inflation - Martin Ellison and Tony Yates (pdf 0.2MB)
- Forecast combination and the Bank of England's suite of statistical forecasting models (pdf 0.3MB)
- Housing equity as a buffer: evidence from UK households - Andrew Benito (pdf 0.5MB)
- Inter-industry contagion between UK life insurers and UK banks: an event study (pdf 0.5MB)
- Investment adjustment costs: evidence from UK and US industries - Charlotta Groth and Hashmat Khan (pdf 0.3MB)
- Labour market institutions and aggregate fluctuations in a search and matching model (pdf 0.2MB)
- The impact of yuan revaluation on the Asian region - Glenn Hoggarth and Hui Tong (pdf 0.2MB)
- The real exchange rate and quality improvements - Karen Dury and Özlem Oomen (pdf 0.4MB)
- Too many to fail - an analysis of time-inconsistency in bank closure policies (pdf 0.5MB)
- Using copulas to construct bivariate foreign exchange distributions (pdf 0.6MB)
- Wage flexibility in Britain: some micro and macro evidence - Mark E Schweitzer (pdf 0.3MB)
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2008
- A no-arbitrage structural vector autoregressive model of the UK yield curve - Iryna Kaminska (pdf 0.6MB)
- An agent-based model of payment systems - Marco Galbiati and Kimmo Soramäki (pdf 1MB)
- Dealing with country diversity: challenges for the IMF credit union model (pdf 1MB)
- Efficient frameworks for sovereign borrowing - Gregor Irwin and Gregory Thwaites (pdf 1.5MB)
- Estimating the determinants of capital flows to emerging market economies (pdf 0.8MB)
- Evolving international inflation dynamics: evidence from a time-varying dynamic factor model (pdf 0.7MB)
- Financial innovation, macroeconomic stability and systemic crises (pdf 1.1MB)
- Globalisation, import prices and inflation dynamics - Chris Peacock and Ursel Baumann (pdf 0.4MB)
- International monetary co-operation in a world of imperfect information (pdf 0.4MB)
- Investigating the structural stability of the Phillips curve relationship (pdf 0.6MB)
- Measuring monetary policy expectations from financial market instruments (pdf 1MB)
- Monetary policy shifts and inflation dynamics - Paolo Surico (pdf 0.5MB)
- Network models and financial stability (pdf 1.1MB)
- Non-linear adjustment of import prices in the European Union (pdf 1.4MB)
- Risks and efficiency gains of a tiered structure in large-value payments: a simulation approach (pdf 0.1MB)
- Summary statistics of option-implied probability density functions and their properties (pdf 0.9MB)
- That elusive elasticity and the ubiquitous bias: is panel data a panacea? - James Smith (pdf 0.4MB)
- The cyclicality of mark-ups and profit margins for the United Kingdom: some new evidence (pdf 0.9MB)
- The elasticity of substitution: evidence from a UK firm-level data set (pdf 0.9MB)
- The integrated impact of credit and interest rate risk on banks: an economic value and capital (pdf 0.9MB)
- The network topology of CHAPS Sterling - Christopher Becher, Stephen Millard and Kimmo Soramäki (pdf 0.9MB)
- Understanding the real rate conundrum (pdf 0.5MB)
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2009
- Asset pricing implications of a New Keynesian model - Bianca De Paoli, Alasdair Scott & Olaf Weeken (pdf 0.5MB)
- Banks' intraday liquidity management during operational outages (pdf 0.4MB)
- Common determinants of currency crises: role of external balance sheet variables - Mirko Licchetta (pdf 0.9MB)
- Do supermarket prices change from week to week? - Colin Ellis (pdf 0.5MB)
- Dynamics of the term structure of UK interest rates (pdf 0.9MB)
- Endogenous choice of bank liquidity: the role of fire sales (pdf 0.9MB)
- Extracting inflation expectations and inflation risk premia from the term structure (pdf 0.6MB)
- Foreign exchange rate risk in a small open economy - Bianca De Paoli and Jens Søndergaard (pdf 0.3MB)
- Funding liquidity risk in a quantitative model of systemic stability (pdf 1MB)
- How do different models of foreign exchange settlement influence the risks and benefits (pdf 0.4MB)
- Inflation dynamics with labour market matching: assessing alternative specifications (pdf 0.5MB)
- International financial transmission: emerging and mature markets (pdf 1MB)
- International spillover effects and monetary policy activism (pdf 0.3MB)
- Labour market flows: facts from the United Kingdom - Pedro Gomes (pdf 0.5MB)
- Multivariate methods for monitoring structural change (pdf 0.3MB)
- Output costs of sovereign crises: some empirical estimates (pdf 0.2MB)
- Payment systems, inside money and financial intermediation - Ouarda Merrouche and Erlend Nier (pdf 0.6MB)
- The conduct of global monetary policy and domestic stability - Andrew P Blake and Bojan Markovic (pdf 1.2MB)
- The real exchange rate in sticky-price models: does investment matter? (pdf 0.4MB)
- What lies beneath: what can disaggregated data tell us about the behaviour of prices? (pdf 1.2MB)
- Why do risk premia vary over time? A theoretical investigation under habit formation (pdf 0.4MB)
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2010
- All together now: do international factors explain relative price comovements? (pdf 0.8MB)
- An economic capital model integrating credit and interest rate risk in the banking book (pdf 0.6MB)
- Changes in the transmission of monetary policy: evidence from a time-varying factor-augmented VAR (pdf 3.9MB)
- Contagion in financial networks - Prasanna Gai and Sujit Kapadia (pdf 0.8MB)
- Deep habits and the cyclical behaviour of equilibrium unemployment and vacancies (pdf 0.2MB)
- DSGE model restrictions for structural VAR identification - Philip Liu and Konstantinos Theodoridis (pdf 0.3MB)
- Evaluating and estimating a DSGE model for the United Kingdom - Richard Harrison and Özlem Oomen (pdf 1.7MB)
- Evaluating and estimating a DSGE model for the United Kingdom - Technical annex (pdf 0.9MB)
- Evolving macroeconomic dynamics in a small open economy (pdf 0.7MB)
- Evolving UK macroeconomic dynamics: a time-varying factor augmented VAR - Haroon Mumtaz (pdf 0.6MB)
- Extracting information from structured credit markets - Joseph Noss (pdf 0.9MB)
- Forecasting in the presence of recent structural change (pdf 0.3MB)
- Household debt, house prices and consumption in the United Kingdom (pdf 0.8MB)
- How do individual UK producer prices behave? - Philip Bunn and Colin Ellis (pdf 0.4MB)
- Imperfect credit markets: implications for monetary policy - Gertjan W Vlieghe (pdf 0.5MB)
- Liquidity costs and tiering in large-value payment systems (pdf 0.8MB)
- Liquidity-saving mechanisms and bank behaviour - Marco Galbiati and Kimmo Soramäki (pdf 1MB)
- Liquidity-saving mechanisms in collateral-based RTGS payment systems (pdf 0.3MB)
- Monetary policy, capital inflows and the housing boom - Filipa Sá and Tomasz Wieladek (pdf 0.7MB)
- Monetary policy rules and foreign currency positions (pdf 0.4MB)
- New insights into price-setting behaviour in the United Kingdom (pdf 0.9MB)
- Shocks to bank capital: evidence from UK banks at home and away - Nada Mora and Andrew Logan (pdf 0.8MB)
- Technology shocks, employment and labour market frictions (pdf 0.9MB)
- The financial market impact of quantitative easing (pdf 0.8MB)
- The geographical composition of national external balance sheets: 1980-2005 (pdf 2.7MB)
- The impact of payment splitting on liquidity requirements in RTGS - Edward Denbee and Ben Norman (pdf 0.3MB)
- The sterling unsecured loan market during 2006-08: insights from network theory (pdf 0.9MB)
- Time-varying dynamics of the real exchange rate. A structural VAR analysis (pdf 2.4MB)
- Time-varying inflation expectations and economic fluctuations in the UK: a structural VAR analysis (pdf 2.2MB)
- Using estimated models to assess nominal and real rigidities in the United Kingdom (pdf 0.5MB)
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2011
- A Bayesian approach to optimal monetary policy with parameter and model uncertainty (pdf 0.4MB)
- A global model of international yield curves: no-arbitrage term structure approach (pdf 0.6MB)
- An efficient method of computing higher-order bond price perturbation approximations (pdf 0.4MB)
- An efficient minimum distance estimator for DSGE models (pdf 0.5MB)
- An estimated DSGE model: explaining variation in term premia (pdf 0.5MB)
- An estimated DSGE model of energy, costs and inflation in the United Kingdom (pdf 1.5MB)
- Are EME indicators of vulnerability to financial crises decoupling from global factors? (pdf 0.5MB)
- Cyclical risk aversion, precautionary saving and monetary policy (pdf 0.5MB)
- Domestic financial regulation and external borrowing (pdf 0.4MB)
- Estimating the impact of the volatility of shocks: a structural VAR approach (pdf 0.3MB)
- Evolving UK and US macroeconomic dynamics through the lens of a model (pdf 2.4MB)
- Global rebalancing: the macroeconomic impact on the United Kingdom (pdf 0.6MB)
- How did the crisis in international funding markets affect bank lending? (pdf 0.5MB)
- How do individual UK consumer prices behave? (pdf 0.5MB)
- How non-Gaussian shocks affect risk premia in non-linear DSGE models (pdf 0.4MB)
- How non-Gaussian shocks affect risk premia in non-linear DSGE models - matlab functions (pdf 0.4MB)
- International transmission of shocks: a time-varying factor-augmented VAR approach (pdf 2.7MB)
- Intraday two-part tariff in payment systems (pdf 0.3MB)
- Labour supply as a buffer: evidence from UK households (pdf 0.6MB)
- Low interest rates and housing booms: the role of capital inflows (pdf 0.4MB)
- Mapping systemic risk in the international banking network (pdf 1.1MB)
- Preferred-habitat investors and the US term structure of real rates (pdf 0.4MB)
- Shifts in portfolio preferences of international investors: an application to sovereign wealth funds (pdf 0.5MB)
- System-wide liquidity risk in the United Kingdom's large-value payment system: an empirical analysis (pdf 0.8MB)
- Systemic capital requirements (pdf 0.8MB)
- Tailwinds and headwinds: how does growth in the BRICs affect inflation in the G7? (pdf 0.4MB)
- The contractual approach to sovereign debt restructuring - Sergi Lanau (pdf 0.5MB)
- The gains from delegation revisited: price-level targeting, speed-limit (pdf 0.3MB)
- The history of interbank settlement arrangements: exploring central banks' role in the payment (pdf 0.3MB)
- The impact of permanent energy price shocks on the UK economy (pdf 1MB)
- Time-varying volatility, precautionary saving and monetary policy (pdf 0.7MB)
- Understanding the macroeconomic effects of working capital in the United Kingdom (pdf 0.7MB)
- Wage rigidities in an estimated DSGE model of the UK labour market (pdf 0.9MB)
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2012
- A network model of financial system resilience (pdf 0.6MB)
- Assessing the economy-wide effects of quantitative easing (pdf 0.6MB)
- Asset purchase policy at the effective lower bound for interest rates (pdf 0.3MB)
- Bank behaviour and risks in CHAPS following the collapse of Lehman Brothers (pdf 0.5MB)
- Does macropru leak? Evidence from a UK policy experiment (pdf 0.8MB)
- Estimating probability distributions of future asset prices (pdf 1.3MB)
- Factor adjustment costs: a structural investigation (pdf 0.4MB)
- Financial intermediaries in an estimated DSGE model for the United Kingdom (pdf 0.4MB)
- Fixed interest rates over finite horizons (pdf 0.6MB)
- Forecasting UK GDP growth, inflation and interest rates under structural change (pdf 0.7MB)
- High-frequency trading behaviour and its impact on market quality: evidence from the UK equity (pdf 0.7MB)
- Identifying risks in emerging market sovereign and corporate bond spreads (pdf 1MB)
- Implicit intraday interest rate in the UK unsecured overnight money market (pdf 0.3MB)
- Inflation and output in New Keynesian models with a transient interest rate peg (pdf 0.3MB)
- International policy spillovers at the zero lower bound (pdf 0.3MB)
- Labour market institutions and unemployment volatility: evidence from OECD countries (pdf 0.7MB)
- Liquidity risk, cash-flow constraints and systemic feedbacks (pdf 1.6MB)
- Misperceptions, heterogeneous expectations and macroeconomic dynamics (pdf 0.5MB)
- Neutral technology shocks and employment dynamics: results based on an RBC identification scheme (pdf 0.5MB)
- Non-rational expectations and the transmission mechanism (pdf 0.4MB)
- QE and the gilt market: a disaggregated analysis (pdf 1.1MB)
- Reputation, risk-taking and macroprudential policy (pdf 0.5MB)
- Simple banking: profitability and the yield curve (pdf 0.5MB)
- Appendix to Working Paper No. 452 - Simple banking: profitability and the yield curve (pdf 0.3MB)
- Size and complexity in model financial systems (pdf 1.6MB)
- The business cycle implications of banks? maturity transformation (pdf 0.3MB)
- The impact of QE on the UK economy - some supportive monetarist arithmetic (pdf 0.9MB)
- The international transmission of volatility shocks: an empirical analysis (pdf 1.3MB)
- Too big to fail: some empirical evidence on the causes and consequences (pdf 0.6MB)
- Using Shapley's asymmetric power index to measure banks? contributions to systemic risk (pdf 0.4MB)
- What do sticky and flexible prices tell us? (pdf 0.8MB)
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2013
- Capital over the business cycle: renting versus ownership (pdf 0.8MB)
- Central counterparties and the topology of clearing networks (pdf 0.9MB)
- Financial factors and the international transmission mechanism (pdf 0.4MB)
- Has weak lending and activity in the United Kingdom been driven by credit supply shocks? (pdf 1MB)
- International capital flows and development: financial openness matters (pdf 0.5MB)
- Likelihood inference in non-linear term structure models: the importance of the lower bound (pdf 0.4MB)
- Long and short-term effects of the financial crisis on labour productivity, capital and output (pdf 1.5MB)
- Non-uniform wage-staggering: European evidence and monetary policy implications (pdf 0.5MB)
- Not all capital waves are alike: a sector-level examination of surges in FDI inflows (pdf 0.5MB)
- Oil shocks and the UK economy: the changing nature of shocks and impact over time (pdf 9.3MB)
- Policy multipliers under an interest rate peg of deterministic versus stochastic duration (pdf 0.4MB)
- Risk news shocks and the business cycle (pdf 1.7MB)
- The Bank of England's forecasting platform: COMPASS, MAPS, EASE and the suite of models - appendix (pdf 0.9MB)
- The Bank of England's forecasting platform: COMPASS, MAPS, EASE and the suite of models - WP only (pdf 1.3MB)
- The pitfalls of speed-limit interest rate rules at the zero lower bound (pdf 0.5MB)
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2014
- Adaptive forecasting in the presence of recent and ongoing structural change (pdf 0.7MB)
- Estimating the impact of changes in aggregate bank capital requirements during an upswing (pdf 1MB)
- Estimating time-varying DSGE models using minimum distance methods (pdf 1.4MB)
- Evaluating the robustness of UK term structure decompositions using linear regression methods (pdf 0.7MB)
- Expectations, risk premia and information spanning in dynamic term structure - appendix (pdf 0.4MB)
- Expectations, risk premia and information spanning in dynamic term structure model estimation (pdf 0.9MB)
- Exploiting the monthly data flow in structural forecasting (pdf 0.4MB)
- GDP-linked bonds and sovereign default (pdf 0.4MB)
- Generalised density forecast combinations (pdf 1MB)
- Household debt and the dynamic effects of income tax changes (pdf 1.2MB)
- How does credit supply respond to monetary policy and bank minimum capital requirements? (pdf 1MB)
- Identifying channels of credit substitution when bank capital requirements are varied (pdf 0.5MB)
- Institutional investor portfolio allocation, quantitative easing and the global financial crisis (pdf 1MB)
- Long-term unemployment and convexity in the Phillips curve (pdf 0.5MB)
- Mapping the UK interbank system (pdf 1.5MB)
- Modelling the service sector (pdf 0.7MB)
- News and labour market dynamics in the data and in matching models (pdf 0.6MB)
- Optimal contracts, aggregate risk and the financial accelerator (pdf 0.6MB)
- Optimal monetary policy in the presence of human capital depreciation during unemployment (pdf 0.6MB)
- Peering into the mist: social learning over an opaque observation network (pdf 1.6MB)
- Appendix to Peering into the mist: social learning over an opaque observation network (pdf 0.5MB)
- Policy uncertainty spillovers to emerging markets - evidence from capital flows (pdf 1MB)
- QE and the bank lending channel in the United Kingdom (pdf 0.8MB)
- Quantitative easing and bank lending: a panel data approach (pdf 0.9MB)
- Sectoral shocks and monetary policy in the United Kingdom (pdf 0.9MB)
- Shadow banks and macroeconomic instability (pdf 0.7MB)
- Tailwinds from the East (pdf 0.9MB)
- The Bank of England Credit Conditions Survey (pdf 0.9MB)
- The cost of human capital depreciation during unemployment (pdf 0.6MB)
- The effect of the financial crisis on TFP growth: a general equilibrium approach (pdf 0.5MB)
- The impact of capital requirements on bank lending (pdf 0.7MB)
- The international transmission of bank capital requirements: evidence from the United Kingdom (pdf 1MB)
- The macroeconomic effects of monetary policy: A new measure for the United Kingdom (pdf 1MB)
- The productivity puzzle: a firm-level investigation into employment behaviour (pdf 3.1MB)
- The two faces of cross-border banking flows: an investigation into the links between global risk (pdf 0.7MB)
- UK deposit-taker responses to the financial crisis: what are the lessons? (pdf 0.8MB)
- Uncertainty in a model with credit frictions (pdf 0.8MB)
- Variations in liquidity provision in real-time payment systems (pdf 0.6MB)
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2015
- A forecast evaluation of expected equity return measures (pdf 0.4MB)
- A global factor in variance risk premia and local bond pricing (pdf 0.5MB)
- A heterogeneous agent model for assessing the effects of capital regulation on the interbank money (pdf 0.8MB)
- A joint affine model of commodity futures and US Treasury yields (pdf 0.6MB)
- A new approach to multi-step forecasting using dynamic stochastic general equilibrium models (pdf 0.3MB)
- A sectoral framework for analysing money, credit and unconventional monetary policy (pdf 1.4MB)
- Ambiguity, monetary policy and trend inflation (pdf 0.6MB)
- Bank leverage, credit traps and credit policies (pdf 0.9MB)
- Bankers pay exes risk - March 2017 update - Optimising pay regulations to correct for too-big-to-fail (pdf 0.5MB)
- Bankers' pay and excessive risk (pdf 0.7MB)
- Bankers' pay and excessive risk - update (pdf 0.5MB)
- Banks are not intermediaries of loanable funds - and why this matters (pdf 3.9MB)
- Can a data-rich environment help identify the sources of model misspecification? (pdf 0.5MB)
- Capital requirements, risk shifting and the mortgage market (pdf 0.7MB)
- Cross-country co-movement in long-term interest rates: a DSGE approach (pdf 0.7MB)
- Do contractionary monetary policy shocks expand shadow banking? (pdf 1.1MB)
- Does easing monetary policy increase financial instability? (pdf 1MB)
- Dynamic term structure models: the best way to enforce the zero lower bound in the United States (pdf 1.1MB)
- Evaluating UK point and density forecasts from an estimated DSGE model: the role of off-model (pdf 4.2MB)
- Exchange rate regimes and current account adjustment: an empirical investigation (pdf 0.4MB)
- Export dynamics since the Great Trade Collapse: a cross-country analysis (pdf 0.9MB)
- Export dynamics since the Great Trade Collapse: a cross-country analysis - update (pdf 0.9MB)
- Extreme downside risk and financial crises (pdf 0.8MB)
- Extreme risk interdependence (pdf 0.4MB)
- Filtered historical simulation Value-at-Risk models and their competitors (pdf 1.7MB)
- Firms' adjustment during 2010-13: evidence from the Wage Dynamics Survey (pdf 0.7MB)
- Forecasting with VAR models: fat tails and stochastic volatility (pdf 0.7MB)
- Global liquidity, house prices and the macroeconomy: evidence from advanced and emerging economies (pdf 1.1MB)
- High and dry': the liquidity and credit of colonial and foreign government debt in the London (pdf 3.4MB)
- House prices and job losses (pdf 1.2MB)
- Household debt and spending in the United Kingdom (pdf 0.8MB)
- How much do investors pay for houses? (pdf 0.7MB)
- Interactions among high-frequency traders (pdf 0.8MB)
- Interest rates, debt and intertemporal allocation: evidence from notched mortgage contracts (pdf 0.8MB)
- International banking and liquidity risk transmission: lessons from the United Kingdom (pdf 0.6MB)
- Into the light: dark pool trading and intraday market quality on the primary exchange (pdf 0.6MB)
- Long-run priors for term structure models (pdf 0.4MB)
- Market beliefs about the UK monetary policy lift-off horizon: a no-arbitrage shadow rate term (pdf 0.7MB)
- Mortgage debt and entrepreneurship (pdf 0.6MB)
- On a tight leash: does bank organisational structure matter for macroprudential spillovers? (pdf 0.9MB)
- Regulatory arbitrage in action: evidence from banking flows and macroprudential policy (pdf 1.1MB)
- Safe haven currencies: a portfolio perspective (pdf 0.4MB)
- Secular drivers of the global real interest rate (pdf 1.9MB)
- Some unpleasant properties of loglinearized solutions when the nominal rate is zero (pdf 0.8MB)
- Some unpleasant properties of loglinearized solutions when the nominal rate is zero - appendix (pdf 1.1MB)
- Stabilising house prices: the role of housing futures trading (pdf 0.5MB)
- The banks that said no: banking relationships, credit supply and productivity in the United Kingdom (pdf 0.6MB)
- The Great Recession and the UK labour market (pdf 0.5MB)
- The impact of immigration on occupational wages: evidence from Britain (pdf 1.9MB)
- The impact of liquidity regulation on banks (pdf 0.9MB)
- The informational content of market-based measures of inflation expectations derived from government (pdf 1.1MB)
- The rate elasticity of retail deposits in the United Kingdom: a macroeconomic investigation (pdf 0.7MB)
- The real effects of capital requirements and monetary policy: evidence from the United Kingdom (pdf 1.6MB)
- The UK productivity puzzle 2008-13: evidence from British businesses (pdf 0.9MB)
- Threshold-based forward guidance: hedging the zero bound (pdf 0.5MB)
- Towards a New Keynesian theory of the price level (pdf 0.8MB)
- Unconventional monetary policies and the macroeconomy: the impact of the United Kingdom's QE2 (pdf 1.9MB)
- Volatility contagion: new evidence from market pricing of volatility risk (pdf 1.1MB)
- What do stock markets tell us about exchange rates? (pdf 0.6MB)
- What do stock markets tell us about exchange rates? - appendix (pdf 0.4MB)
- What moves international stock and bond markets? (pdf 0.4MB)
- Why are real interest rates so low? Secular stagnation and the relative price of investment goods (pdf 0.7MB)
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2016
- A Bayesian VAR benchmark for COMPASS (pdf 0.4MB)
- A comparative analysis of tools to limit the procyclicality of initial margin requirements (pdf 0.6MB)
- A dynamic model of financial balances for the United Kingdom (pdf 1MB)
- Accounting in central banks (pdf 0.4MB)
- Adaptive learning and labour market dynamics (pdf 0.6MB)
- Adaptive models and heavy tails (pdf 0.6MB)
- An agent-based model of dynamics in corporate bond trading (pdf 0.8MB)
- Assessing vulnerabilities to financial shocks in some key global economies (pdf 4.9MB)
- Bank capital requirements and balance sheet management practices: has the relationship changed (pdf 1.5MB)
- Centralized trading, transparency and interest rate swap market liquidity: evidence from the (pdf 0.9MB)
- Contagion, spillover and interdependence (pdf 0.3MB)
- Cross-border regulatory spillovers: How much? How important? What sectors? Lessons from the UK (pdf 0.5MB)
- Deflation probability and the scope for monetary loosening in the United Kingdom (pdf 0.6MB)
- Dis-integrating credit markets: diversification, securitization, and lending in a recovery (pdf 0.9MB)
- Do we need a stable funding ratio? Banks' funding in the global financial crisis (pdf 1.2MB)
- Does partisan conflict impact the cash holdings of firms? A sign restrictions approach (pdf 0.5MB)
- Does partisan conflict impact the cash holdings of firms? A sign restrictions approach - appendix (pdf 0.3MB)
- Finance and Synchronization (pdf 0.8MB)
- Financial market volatility, macroeconomic fundamentals and investor sentiment (pdf 1.2MB)
- Fiscal consequences of structural reform under constrained monetary policy (pdf 1MB)
- Fiscal consolidation in a low inflation environment: pay cuts versus lost jobs (pdf 0.8MB)
- Fiscal consolidation in a low inflation environment: pay cuts versus lost jobs - appendix (pdf 0.4MB)
- History dependence in the housing market (pdf 0.9MB)
- How does labour market structure affect the response of economies to shocks? (pdf 0.5MB)
- Interpreting the latent dynamic factors by threshold FAVAR model (pdf 0.9MB)
- Labour market frictions, monetary policy and durable goods (pdf 0.9MB)
- Let's talk about the weather: the impact of climate change on central banks (pdf 1.1MB)
- Liquidity determinants in the UK gilt market (pdf 0.6MB)
- Macroeconomic tail events with non-linear Bayesian VARs (pdf 1.4MB)
- Macroprudential policy in an agent-based model of the UK housing market (pdf 1MB)
- Macroprudential policy under uncertainty (pdf 0.9MB)
- Macroprudential regulation, credit spreads and the role of monetary policy (pdf 0.5MB)
- Measuring competition in the UK deposit-taking sector (pdf 1MB)
- Monetary policy and volatility in the sterling money market (pdf 1MB)
- Monetary policy transmission in an open economy: new data and evidence from the United Kingdom (pdf 0.7MB)
- Monetary policy when households have debt: new evidence on the transmission mechanism (pdf 0.9MB)
- Monetary versus macroprudential policies: causal impacts of interest rates and credit controls in (pdf 0.7MB)
- Non-performing loans: regulatory and accounting treatments of assets (pdf 1.1MB)
- Nonlinearities of mortgage spreads over the business cycles (pdf 1MB)
- Output gaps, inflation and financial cycles in the United Kingdom (pdf 1.6MB)
- Overseas unspanned factors and domestic bond returns (pdf 0.4MB)
- Pass-through of bank funding costs to lending and deposit rates: lessons from the financial crisis (pdf 1.3MB)
- Peer-to-peer lending and financial innovation in the United Kingdom (pdf 1MB)
- Policy and macro signals as inputs to inflation expectation formation (pdf 0.6MB)
- Political borders and bank lending in post-crisis America (pdf 0.6MB)
- QE: the story so far (pdf 3.4MB)
- QE: the story so far - slides (pdf 1.8MB)
- Risk premia and seasonality in commodity futures (pdf 0.8MB)
- Risk shocks close to the zero lower bound (pdf 0.4MB)
- Robustness of subgame perfect implementation (pdf 0.4MB)
- Systematic tail risk (pdf 0.8MB)
- Systemic illiquidity in the interbank network (pdf 1.2MB)
- The dynamic Black-Litterman approach to asset allocation (pdf 0.8MB)
- The levels of application of prudential requirements: a comparative perspective (pdf 0.9MB)
- The macroeconomic shock with the highest price of risk (pdf 2.9MB)
- The macroeconomics of central bank issued digital currencies (pdf 0.9MB)
- The role of collateral in supporting liquidity (pdf 0.8MB)
- The theory of unconventional monetary policy (pdf 0.5MB)
- The time value of housing: historical evidence on discount rates (pdf 1.7MB)
- The varying coefficient Bayesian panel VAR model (pdf 1MB)
- Tracking the slowdown in long-run GDP growth (pdf 8.7MB)
- Unsurprising shocks: information, premia, and the monetary transmission (pdf 0.8MB)
- Unsurprising shocks: information, premia, and the monetary transmission - appendix (pdf 0.5MB)
- What can Big Data tell us about the passthrough of big exchange rate changes? (pdf 1MB)
- What determines how banks respond to changes in capital requirements? (pdf 3.6MB)
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2017
- A discrete choice model for large heterogeneous panels with interactive fixed effects with an (pdf 0.5MB)
- A discrete choice model for large heterogeneous panels with interactive fixed effects - appendix (pdf 0.4MB)
- A financial stress index for the United Kingdom (pdf 5.2MB)
- A tiger by the tail: estimating the UK mortgage market vulnerabilities from loan-level data (pdf 1.1MB)
- A time varying parameter structural model of the UK economy (pdf 1.3MB)
- A UK financial conditions index using targeted data reduction: forecasting and structural identification (pdf 0.6MB)
- Accounting discretion, market discipline & bank behaviour: some insights from fair value accounting (pdf 0.9MB)
- Alternative finance and credit sector reforms: the case of China (pdf 1.5MB)
- An exorbitant privilege in the first age of international financial integration (pdf 2.3MB)
- An interdisciplinary model for macroeconomics (pdf 1.1MB)
- An overview of the UK banking sector since the Basel Accord: insights from a new regulatory database (pdf 1.3MB)
- Bank Capital and risk-taking: evidence from misconduct provisions (pdf 0.7MB)
- Borderline: judging the adequacy of return distribution estimation techniques in initial margin models (pdf 1.9MB)
- Bubbly equilibria with credit misallocation (pdf 0.6MB)
- Central bank information and the effects of monetary shocks (pdf 1.5MB)
- Central bank sentiment and policy expectations (pdf 1.1MB)
- Central counterparty auction design (pdf 1.1MB)
- Common correlated effect cross-sectional dependence corrections for non-linear conditional mean panel models (pdf 0.8MB)
- Competition and prudential regulation (pdf 0.9MB)
- Credit traps and macroprudential leverage (pdf 1.1MB)
- Cross-border-effects-of-regulatory-spillovers-evidence-from-Mexico (pdf 1.7MB)
- Dealer intermediation, market liquidity and the impact of regulatory reform (pdf 0.9MB)
- Demographic trends and the real interest rate (pdf 3.8MB)
- Did pre-crisis mortgage lending limit post-crisis corporate lending? Evidence from UK bank balance (pdf 1MB)
- Do macro shocks matter for equities? (pdf 0.5MB)
- Down in the slumps: the role of credit in five decades of recessions (pdf 0.9MB)
- Eight centuries of the risk-free rate bond market reversals from the Venetians to the VaR shock (pdf 2MB)
- Eight centuries of the risk-free rate bond market reversals from the Venetians to the ‘VaR shock’ update (pdf 2.2MB)
- Financial shocks, credit spreads and the international credit channel (pdf 0.7MB)
- Forecasting multidimensional tail risk at short and long horizons (pdf 0.8MB)
- Foreign booms, domestic busts: the global dimension of banking crises (pdf 0.8MB)
- Home values and firm behaviour (pdf 1.2MB)
- Identifying contagion in a banking network (pdf 0.4MB)
- International credit supply shocks (pdf 1.2MB)
- Investor behaviour and reaching for yield evidence from the sterling corporate bond market (pdf 0.6MB)
- Labour market adjustment in Europe during the crisis (pdf 1.3MB)
- Liquidity holdings, diversification, and aggregate shocks (pdf 0.3MB)
- Machine learning at central banks (pdf 7.9MB)
- Market liquidity, closeout procedures and initial margin for CCPs (pdf 1.6MB)
- matching-efficiency-and-labour-market-heterogeneity-in-the-uk (pdf 1.3MB)
- Monetary and macroprudential policies under rules and discretion (pdf 0.2MB)
- Multi yield curve stress-testing framework incorporating temporal and cross tenor structural (pdf 0.9MB)
- Optimal quantitative easing (pdf 0.7MB)
- Scalable games: modelling games of incomplete information (pdf 0.5MB)
- Sending firm messages: text mining letters from PRA supervisors to banks and building societies they regulate (pdf 1.2MB)
- Solvency and wholesale funding cost interactions at UK banks (pdf 0.8MB)
- Spatial models of heterogeneous switching costs (pdf 1.5MB)
- Specialisation in mortgage risk under Basel II (pdf 0.8MB)
- Step away from the zero lower bound: small open economies in a world of secular stagnation (pdf 0.5MB)
- Systemic illiquidity in the interbank network - August 2017 update (pdf 1.4MB)
- The Bank of England as lender of last resort: new historical evidence from daily transactional data (pdf 2.5MB)
- The calm policymaker (pdf 1.7MB)
- The consumption response to positive and negative income changes (pdf 1.2MB)
- The decline of solvency contagion risk (pdf 0.8MB)
- The economics of distributed ledger technology for securities settlement (pdf 1.1MB)
- The effect of house prices on household borrowing: a new approach (pdf 0.8MB)
- The impact of de-tiering in the United Kingdom’s large-value payment system (pdf 1.4MB)
- The impact of Solvency II regulations on life insurers’ investment behaviour (pdf 1MB)
- The impact of uncertainty shocks in the United Kingdom (pdf 5.7MB)
- The international transmission of monetary policy through financial centres: evidence from the United Kingdom and Hong Kong (pdf 1.1MB)
- The leverage ratio and liquidity in the gilt and repo markets (pdf 0.7MB)
- The October 2016 sterling flash episode when liquidity disappeared from one of the worlds most liquid markets (pdf 1.6MB)
- The role of foreign banks in trade (pdf 1.1MB)
- The transmission of monetary policy shocks (pdf 1.4MB)
- Uncertain forward guidance (pdf 0.7MB)
- VECM approach for estimating and testing the banking sector's response to changes in capital ratios (pdf 1.1MB)
- Volatility in equity markets and monetary policy rate uncertainty (pdf 1.5MB)
- What drives business investment in the United Kingdom? Results from a firm-level VAR approach (pdf 1.1MB)
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2018
- A new approach for detecting shifts in forecast accuracy (pdf 0.5MB)
- An elusive panacea the impact of the regulatory valuation regime on insurers investment behaviour (pdf 0.8MB)
- Bank capital regulation and derivatives clearing (pdf 0.7MB)
- Bank competition and stability in the United Kingdom (pdf 0.9MB)
- Bank liquidity and the cost of debt (pdf 2.2MB)
- Bank runs, prudential tools and social welfare in a global game general equilibrium model (pdf 0.8MB)
- Banks are not intermediaries of loanable funds - facts, theory and evidence (pdf 1MB)
- Banks, money and the zero lower bound on deposit rates (pdf 2MB)
- Bayesian vector autoregressions (pdf 0.6MB)
- Broadening narrow money monetary policy with a central bank digital currency (pdf 0.9MB)
- Business investment, cash holding and uncertainty since the Great Financial Crisis (pdf 0.3MB)
- Business investment, cost of capital and uncertainty in the United Kingdom — evidence from firm-level analysis (pdf 0.8MB)
- Capital regulation and product market outcomes (pdf 0.7MB)
- Central bank digital currencies — design principles and balance sheet implications (pdf 1.5MB)
- Central bank swap lines (pdf 1.3MB)
- centralized-trading-transparency-and-interest-rate-swap-market-liquidity-update (pdf 1MB)
- Climate change and the macro-economy: a critical review (pdf 1.2MB)
- Competition for retail deposits between commercial banks and non-bank operators: a two-sided platform analysis (pdf 0.9MB)
- Concerted efforts? Monetary policy and macro-prudential tools (pdf 0.7MB)
- Decomposing differences in productivity distributions (pdf 0.5MB)
- Determinants of distress in the UK owner-occupier and buy-to-let mortgage markets (pdf 1.5MB)
- Does lender type matter for the pricing of loans? (pdf 0.6MB)
- Down payment and mortgage rates evidence from equity loans (pdf 0.8MB)
- DSGE-based priors for BVARs and quasi-Bayesian DSGE estimation (pdf 0.9MB)
- Enhancing central bank communications with behavioural insights (pdf 2.1MB)
- Equity, debt and moral hazard: the optimal structure of banks’ loss absorbing capacity (pdf 0.4MB)
- Estimating nominal interest rate expectations: overnight indexed swaps and the term structure (pdf 3.4MB)
- Global banks and synthetic funding: the benefits of foreign relatives (pdf 0.6MB)
- Global banks and synthetic funding: the benefits of foreign relatives - Appendix (pdf 0.3MB)
- Growing pension deficits and the expenditure decisions of UK companies (pdf 0.7MB)
- How do banks and households manage interest rate risk? Evidence from mortgage applications and banks’ responses (pdf 1.2MB)
- How do bonus cap and malus affect risk and effort choice? Insight from a lab experiment (pdf 0.9MB)
- Interest rates, capital and bank risk-taking (pdf 0.8MB)
- Judgement Day: algorithmic trading around the Swiss franc cap removal (pdf 1MB)
- Lending relationships and the collateral channel (pdf 0.6MB)
- Liquidity resilience in the UK gilt futures market: evidence from the order book (pdf 0.7MB)
- Macroprudential capital regulation in general equilibrium (pdf 0.9MB)
- Macroprudential FX regulations: shifting the snowbanks of FX vulnerability? (pdf 1.1MB)
- Macroprudential margins: a new countercyclical tool? (pdf 1.9MB)
- Measuring risks to UK financial stability (pdf 1.3MB)
- Monetary policy spillovers in the first age of financial globalisation: a narrative VAR approach 1884–1913 (pdf 1MB)
- Mortgages, cash-flow shocks and local employment (pdf 5.1MB)
- Mortgages estimating default correlation and forecasting default risk (pdf 0.5MB)
- Multi-period loans, occasionally binding constraints and monetary policy: a quantitative evaluation (pdf 0.5MB)
- Multiplex network analysis of the UK OTC derivatives market (pdf 2.5MB)
- News and narratives in financial systems: exploiting big data for systemic risk assessment (pdf 1.8MB)
- OTC premia (pdf 0.6MB)
- Overnight index swap market-based measures of monetary policy expectations (pdf 0.7MB)
- Predictive regressions under asymmetric loss factor augmentation and model selection (pdf 0.6MB)
- Repo market functioning: the role of capital regulation (pdf 1.1MB)
- Rethinking financial stability (pdf 1MB)
- Shock transmission and the interaction of financial and hiring frictions (pdf 0.4MB)
- Short-time work in the Great Recession: firm-level evidence from 20 EU countries (pdf 1.1MB)
- Targeting financial stability: macroprudential or monetary policy? (pdf 0.5MB)
- The BoC-BoE sovereign default database revisited: what’s new in 2018? (pdf 0.7MB)
- The cross-sectional spillovers of single stock circuit breakers (pdf 0.8MB)
- The deeds of speed: an agent-based model of market liquidity and flash episodes (pdf 1.5MB)
- The determinants of credit union failure in the United Kingdom: how important are macroeconomic factors? (pdf 0.8MB)
- The distributional impact of monetary policy easing in the UK between 2008 and 2014 (pdf 0.8MB)
- The impact of the Bank of England's Corporate Bond Purchase Scheme on yield spreads (pdf 0.4MB)
- The information in the joint term structures of bond yields (pdf 0.3MB)
- The international transmission of monetary policy (pdf 0.9MB)
- The leverage ratio, risk-taking and bank stability (pdf 1.7MB)
- The macroeconomic determinants of migration (pdf 0.6MB)
- The stochastic lower bound (pdf 0.4MB)
- Uncertain Kingdom: nowcasting GDP and its revisions (pdf 0.8MB)
- Uncertainty and economic activity: a multi-country perspective (pdf 1.6MB)
- Uncertainty matters: evidence from close elections (pdf 7.2MB)
- Unconventional monetary policy and the portfolio choice of international mutual funds (pdf 0.5MB)
- Using job vacancies to understand the effects of labour market mismatch on UK output and productivity (pdf 1.2MB)
- Using online job vacancies to understand the UK labour market from the bottom-up (pdf 0.9MB)
- Were banks special? Contrasting viewpoints in mid-nineteenth century Britain (pdf 0.3MB)
- What drives UK defined benefit pension funds’ investment behaviour? (pdf 1.1MB)
- Would macroprudential regulation have prevented the last crisis? (pdf 0.8MB)
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2019
- A structural model of interbank network formation and contagion (pdf 1.7MB)
- All you need is cash: corporate cash holdings and investment after the financial crisis (pdf 1.4MB)
- Appendix to Tail Risk Interdependence (pdf 0.1MB)
- Attention to the tail(s): global financial conditions and exchange rate risks (pdf 0.7MB)
- Back to the real economy: the effects of risk perception shocks on the term premium and bank lending (pdf 1.3MB)
- Bank funding costs and capital structure (pdf 1.3MB)
- Brexit and uncertainty: insights from the Decision Maker Panel (pdf 0.7MB)
- Bundling and exporting: evidence from German SMEs (pdf 0.6MB)
- Capital and liquidity interaction in banking (pdf 0.6MB)
- Credit, capital and crises: a GDP-at-Risk approach (pdf 4.4MB)
- Credit default swaps and corporate bond trading (pdf 0.6MB)
- Credit easing versus quantitative easing: evidence from corporate and government bond purchase programs (pdf 0.9MB)
- Currency mispricing and dealer balance sheets (pdf 0.6MB)
- Currency mispricing and dealer balance sheets - Appendix (pdf 0.4MB)
- Decomposing changes in the functioning of the sterling repo market (pdf 1.2MB)
- Do unit labour costs matter? A decomposition exercise on European data (pdf 1.4MB)
- Employment and the collateral channel of monetary policy (pdf 4.4MB)
- Have FSRs got news for you? Evidence from the impact of Financial Stability Reports on market activity (pdf 1MB)
- Heterogeneous beliefs and the Phillips curve (pdf 1.4MB)
- Housing consumption and investment: evidence from shared equity mortgages (pdf 1.1MB)
- In the face of spillovers: prudential policies in emerging economies (pdf 1MB)
- International trade, non-trading firms and their impact on labour productivity (pdf 3.5MB)
- Labor mobility in a monetary union (pdf 1MB)
- Liquidity transformation, collateral assets and counterparties (pdf 0.5MB)
- Machine learning explainability in finance: an application to default risk analysis (pdf 1.1MB)
- Macroeconomic effects of political risk shocks (pdf 1.5MB)
- Mapping bank securities across euro area sectors: comparing funding and exposure networks (pdf 0.7MB)
- Market-implied systemic risk and shadow capital adequacy (pdf 1.8MB)
- Market power and monetary policy (pdf 1.6MB)
- Measuring financial cycle time (pdf 1.9MB)
- Modelling the distribution of mortgage debt (pdf 0.8MB)
- Monetary financing with interest-bearing money (pdf 0.5MB)
- Monetary policy and birth rates: the effect of mortgage rate pass-through on fertility (pdf 3.8MB)
- Monetary policy and birth rates: the effect of mortgage rate pass-through on fertility - Appendix (pdf 0.1MB)
- Non-salient fees in the mortgage market (pdf 1.2MB)
- Official demand for US debt: implications for US real rates (pdf 1MB)
- Official demand for US debt: implications for US real rates - Appendix (pdf 1.2MB)
- OTC microstructure in a period of stress: a multi-layered network approach (pdf 1.5MB)
- Platform competition and incumbency advantage under heterogeneous switching cost — exploring the impact of data portability (pdf 0.6MB)
- Predicting bank distress in the UK with machine learning (pdf 2.8MB)
- Real effects of financial distress the role of heterogeneity (pdf 1.5MB)
- Regulatory effects on short-term interest rates (pdf 0.8MB)
- Resilience of trading networks evidence from the sterling corporate bond market (pdf 12.4MB)
- Revisiting the global decline of the (non-housing) labor share (pdf 1.7MB)
- Securities settlement fails network and buy-in strategies (pdf 2.3MB)
- Parametric inference with universal function approximators (pdf 2.1MB)
- Shareholder risk-taking incentives in the presence of contingent capital (pdf 1.1MB)
- Shocks and labour cost adjustment: evidence from a survey of European firms (pdf 0.9MB)
- Simulating liquidity stress in the derivatives market (pdf 1MB)
- Simulating stress in the UK corporate bond market: investor behaviour and asset fire-sales (pdf 0.9MB)
- Supervisory governance, capture and non-performing loans (pdf 0.8MB)
- System-wide stress simulation (pdf 4.6MB)
- Tail risk interdependence (pdf 0.4MB)
- Taking regulation seriously: fire sales under solvency and liquidity constraints (pdf 2.6MB)
- The Bank of England and central bank credit rationing during the crisis of 1847: frosted glass or raised eyebrows? (pdf 0.6MB)
- The BoC-BoE sovereign default database: what’s new in 2019? (pdf 0.7MB)
- The empirics of granular origins: some challenges and solutions with an application to the UK (pdf 1MB)
- The impact of Brexit on UK firms (pdf 2.6MB)
- The impact of corporate QE on liquidity: evidence from the UK (pdf 0.5MB)
- The impact of QE on liquidity: evidence from the UK Corporate Bond Purchase Scheme - Appendix (pdf 0.3MB)
- The language of rules: textual complexity in banking reforms (pdf 1.5MB)
- The long-run effects of uncertainty shocks (pdf 2.9MB)
- The long-run information effect of central bank communication (pdf 4.1MB)
- The real effects of zombie lending in Europe (pdf 0.7MB)
- The role of households’ borrowing constraints in the transmission of monetary policy (pdf 1.9MB)
- The role of households’ borrowing constraints in the transmission of monetary policy - Appendix (pdf 0.4MB)
- The cost of clearing fragmentation (pdf 0.5MB)
- Three triggers Negative equity income shocks and institutions as determinants of mortgage default (pdf 1.5MB)
- Time-varying cointegration and the UK great ratios (pdf 2.1MB)
- To ask or not to ask: bank capital requirements and loan collateralization (pdf 0.4MB)
- Towards a new monetary theory of exchange rate determination (pdf 0.8MB)
- Tracking foreign capital: the effect of capital inflows on bank lending in the UK (pdf 0.7MB)
- Trend and cycle shocks in Bayesian unobserved components models for UK productivity (pdf 3.5MB)
- UK house prices and three decades of decline in the risk-free real interest rate (pdf 0.9MB)
- Patents, news, and business cycles (pdf 1.2MB)
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2020
- A shadow rate without a lower bound constraint (pdf 5.6MB)
- Bank funding costs and solvency (pdf 0.9MB)
- Blockchain structure and cryptocurrency prices (pdf 0.6MB)
- Capital flows-at-risk: push, pull and the role of policy (pdf 0.7MB)
- Changing supply elasticities and regional housing booms (pdf 1.2MB)
- Compositional nature of firm growth and aggregate fluctuations (pdf 2.3MB)
- Contagion accounting (pdf 1.6MB)
- Credit growth, the yield curve and financial crisis prediction: evidence from a machine learning approach (pdf 5.1MB)
- Crossing the credit channel: credit spreads and firm heterogeneity (pdf 1.5MB)
- Does bonus cap curb risk taking? An experimental study of relative performance pay and bonus regulation (pdf 1.2MB)
- Does energy efficiency predict mortgage performance? (pdf 0.3MB)
- Does quantitative easing boost bank lending to the real economy or cause other bank asset reallocation? The case of the UK (pdf 2.6MB)
- Does regulatory and supervisory independence affect financial stability? (pdf 1.1MB)
- Dollar shortages and central bank swap lines (pdf 0.9MB)
- Economic uncertainty before and during the Covid-19 pandemic (pdf 1.2MB)
- Eight centuries of global real interest rates, R-G, and the ‘suprasecular’ decline, 1311–2018 (pdf 4.9MB)
- Appendix to Eight centuries of global real interest rates, R-G, and the ‘suprasecular’ decline, 1311–2018 (pdf 1.2MB)
- Exchange rate risk and business cycles (pdf 0.8MB)
- Financial stress and the debt structure (pdf 4.1MB)
- Foundations of system-wide financial stress testing with heterogeneous institutions (pdf 3.5MB)
- Global financial cycles since 1880 (pdf 1.2MB)
- Has bail-in increased market discipline? An empirical investigation of European banks’ credit spreads (pdf 1.2MB)
- Has monetary policy made you happier? (pdf 0.6MB)
- High water, no marks? Biased lending after extreme weather (pdf 1MB)
- Appendix to High water, no marks? Biased lending after extreme weather (pdf 0.3MB)
- How does international capital flow? (pdf 1MB)
- Identification of structural vector autoregressions by stochastic volatility (pdf 0.8MB)
- Impact of IFRS 9 on the cost of funding of banks in Europe (pdf 1.3MB)
- Inferring trade directions in fast markets (pdf 2.1MB)
- Informed trading and the dynamics of client-dealer connections in corporate bond markets (pdf 1.1MB)
- Informed trading in government bond markets (pdf 1.7MB)
- Jumpstarting an international currency (pdf 1.3MB)
- Le Pont de Londres: interactions between monetary and prudential policies in cross-border lending (pdf 1.7MB)
- Liquidity and monetary transmission: a quasi-experimental approach (pdf 0.9MB)
- Liquidity management, fire sale and liquidity crises in banking: the role of leverage (pdf 1MB)
- Macroprudential policy, mortgage cycles and distributional effects: Evidence from the UK (pdf 1MB)
- Making text count: economic forecasting using newspaper text (pdf 0.9MB)
- Modelling fire sale contagion across banks and non-banks (pdf 2.7MB)
- Monetary policy and the management of uncertainty: a narrative approach (pdf 1.1MB)
- Monetary policy inertia and the paradox of flexibility (pdf 0.6MB)
- No-arbitrage pricing of GDP-linked bonds (pdf 0.4MB)
- Non-linearities, asymmetries and dollar currency pricing in exchange rate pass-through: evidence from the sectoral level (pdf 2.3MB)
- On-the-job training and intra-family dynamics (pdf 0.9MB)
- Optimal simple objectives for monetary policy when banks matter (pdf 1.2MB)
- Quality is our asset the international transmission of liquidity regulation (pdf 3.1MB)
- Side effects of separating retail and investment banking: evidence from the UK (pdf 1.2MB)
- The 3 E’s of central bank communication with the public (pdf 5.5MB)
- The central bank balance sheet as a policy tool: past, present and future (pdf 1.4MB)
- The global effects of global risk and uncertainty (pdf 10.9MB)
- The impact of Covid-19 on productivity - July 2022 (pdf 1.5MB)
- The interaction between macroprudential policy and monetary policy: overview (pdf 0.9MB)
- The interbank market puzzle (pdf 2.3MB)
- The link between bank competition and risk in the United Kingdom: two views for policymaking (pdf 0.7MB)
- The missing link: monetary policy and the labor share (pdf 1.4MB)
- Appendix to The missing link: monetary policy and the labor share (pdf 1.6MB)
- Uncertainty and voting on the Bank of England’s Monetary Policy Committee (pdf 0.7MB)
- Understanding pay gaps (pdf 0.9MB)
- Understanding US export dynamics: does modelling the extensive margin of exports help? (pdf 0.8MB)
- (When) do banks react to anticipated capital reliefs? (pdf 0.8MB)
- Workers, capitalists, and the government: fiscal policy and income (re)distribution (pdf 3.1MB)
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2021
- A CBA of APC: analysing approaches to procyclicality reduction in CCP initial margin models (pdf 1.6MB)
- A tail of three occasionally-binding constraints: a modelling approach to GDP-at-Risk (pdf 0.4MB)
- An unintended consequence of holding dollar assets (pdf 2.7MB)
- Appendix to Income inequality, mortgage debt and house prices (pdf 0.7MB)
- Banks, shadow banks, and business cycles (pdf 2.1MB)
- Capital allocation, the leverage ratio requirement and banks’ risk-taking (pdf 1MB)
- Climate policy and transition risk in the housing market (pdf 4.9MB)
- Comparing minds and machines: implications for financial stability (pdf 0.4MB)
- Corporate debt booms, financial constraints and the investment nexus (pdf 0.7MB)
- Appendix to Corporate debt booms, financial constraints and the investment nexus (pdf 0.8MB)
- Credit, crises and inequality (pdf 1.8MB)
- Dash for dollars (pdf 1.1MB)
- Did the Covid-19 local lockdowns reduce business activity? Evidence from UK SMEs (pdf 0.6MB)
- Does regulation only bite the less profitable? Evidence from the too-big-to-fail reforms (pdf 0.7MB)
- Flexible inflation targeting with active fiscal policy (pdf 0.7MB)
- Forecasting UK GDP growth with large survey panels (pdf 0.7MB)
- Forecasting UK inflation bottom up (pdf 0.7MB)
- Foreign vulnerabilities, domestic risks: the global drivers of GDP-at-Risk (pdf 8.9MB)
- Gender, age and nationality diversity in UK banks (pdf 2.7MB)
- Global spillovers of the Fed information effect (pdf 0.4MB)
- Household debt and labour supply (pdf 0.8MB)
- How do secured funding markets behave under stress? Evidence from the gilt repo market (pdf 1.9MB)
- How does the repo market behave under stress? Evidence from the Covid-19 crisis (pdf 0.8MB)
- Identifying the transmission channels of credit supply shocks to household debt: price and non-price effects (pdf 0.8MB)
- Impacts of the Covid-19 crisis: evidence from 2 million UK SMEs (pdf 2.6MB)
- Imperfect pass-through to deposit rates and monetary policy transmission (pdf 1.4MB)
- Income inequality, mortgage debt and house prices (pdf 1MB)
- Interactions of capital and liquidity requirements: a review of the literature (pdf 0.4MB)
- Macroprudential policy interactions in a sectoral DSGE model with staggered interest rates (pdf 2.8MB)
- Measure for measure: evidence on the relative performance of regulatory requirements for small and large banks (pdf 2.1MB)
- Monetary policy surprises and their transmission through term premia and expected interest rates (pdf 1.4MB)
- Mortgage pricing and monetary policy (pdf 1.3MB)
- Non-standard errors (pdf 1.3MB)
- On the origin of systemic risk (pdf 5.7MB)
- Optimal monetary policy mix at the zero lower bound (pdf 1.4MB)
- Optimal policy with occasionally binding constraints: piecewise linear solution methods (pdf 1MB)
- Organisational culture and bank risk (pdf 4.7MB)
- Preferred habitat investors in the UK government bond market (pdf 0.6MB)
- Price discrimination and mortgage choice (pdf 0.7MB)
- Refinancing cross-subsidies in the mortgage market (pdf 4.8MB)
- Revisiting the New Keynesian policy paradoxes under QE (pdf 1.1MB)
- Risk-taking and uncertainty: do contingent convertible (CoCo) bonds increase the risk appetite of banks? (pdf 0.5MB)
- Risks and global supply chains: what we know and what we need to know (pdf 0.9MB)
- Sectoral comovement, monetary policy and the credit channel (pdf 0.7MB)
- Slow recoveries, endogenous growth and macroprudential policy (pdf 1.2MB)
- Software validation and artificial intelligence in finance - a primer (pdf 0.5MB)
- Solvency distress contagion risk: network structure, bank heterogeneity and systemic resilience (pdf 1.7MB)
- Terms-of-trade shocks are not all alike (pdf 0.7MB)
- Terms-of-trade shocks are not all alike - Appendix (pdf 0.6MB)
- The consumption response to borrowing constraints in the mortgage market (pdf 1.3MB)
- The earned income tax credit: targeting the poor but crowding out wealth (pdf 0.7MB)
- The impact of machine learning and big data on credit markets (pdf 0.7MB)
- The importance of supply and demand for oil prices: evidence from non-Gaussianity (pdf 4.5MB)
- The macroprudential toolkit:effectiveness and interactions (pdf 0.9MB)
- The more the merrier? Evidence from the global financial crisis on the value of multiple requirements in bank regulation (pdf 1.9MB)
- The repo market under Basel III (pdf 1.2MB)
- Mark my words: the transmission of central bank communication to the general public via the print media (pdf 1.1MB)
- The transmission of Keynesian supply shocks (pdf 0.7MB)
- Unemployment risk, liquidity traps and monetary policy (pdf 0.5MB)
- Uneven growth: automation’s impact on income and wealth inequality (pdf 2MB)
- Unlocking new methods to estimate country-specific trade costs and trade elasticities (pdf 0.5MB)
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2022
- A structural model of liquidity in over‑the‑counter markets (pdf 1.3MB)
- A tail of labour supply and a tale of monetary policy (pdf 5.8MB)
- A tale of two global monetary policies (pdf 3.7MB)
- Aggregation across each nation: aggregator choice and macroeconomic dynamics (pdf 0.7MB)
- An interpretable machine learning workflow with an application to economic forecasting (pdf 2.9MB)
- Appendix to Consumption effects of mortgage payment holidays: evidence during the Covid-19 pandemic (pdf 0.2MB)
- Bond supply, price drifts and liquidity provision before central bank announcements (pdf 1.7MB)
- Business creation during Covid-19 (pdf 0.9MB)
- Central bank swap lines: micro-level evidence (pdf 3.5MB)
- Chronicle of a death foretold: does higher volatility anticipate corporate default? (pdf 1MB)
- Collateral requirements in central bank lending (pdf 2.9MB)
- Comparing search and intermediation frictions across markets (pdf 1.3MB)
- Competition, profitability and financial leverage (pdf 1.2MB)
- Consumption effects of mortgage payment holidays: evidence during the Covid-19 pandemic (pdf 0.7MB)
- Global R* (pdf 1MB)
- Do personal taxes affect investment decisions and stock returns? (pdf 1MB)
- Efficiency of central clearing under liquidity stress (pdf 1.1MB)
- Financial concerns and the marginal propensity to consume in Covid times: evidence from UK survey data (pdf 0.6MB)
- Firming up price inflation (pdf 2.9MB)
- FX option volume (pdf 0.6MB)
- Appendix to FX option volume (pdf 0.2MB)
- Heterogeneous effects and spillovers of macroprudential policy in an agent-based model of the UK housing market (pdf 0.6MB)
- Horses for courses: measuring foreign supply chain exposure (pdf 3.6MB)
- House price dynamics, optimal LTV limits and the liquidity trap (pdf 2.3MB)
- Identification of SVAR models by combining sign restrictions with external instruments (pdf 1.3MB)
- Identification with external instruments in structural VARs (pdf 0.9MB)
- Information chasing versus adverse selection (pdf 0.7MB)
- Interbank network and banks’ credit supply (pdf 2MB)
- Links between government bond and futures markets: dealer-client relationships and price discovery in the UK (pdf 2MB)
- Mainly employment: survey-based news and the business cycle (pdf 3.6MB)
- Collateral cycles (pdf 1.7MB)
- Measuring Capital at Risk in the UK banking sector: a microstructural network approach (pdf 2.3MB)
- Measuring the effects of bank remuneration rules: evidence from the UK (pdf 1.4MB)
- Monetary policy transmission during QE times: role of expectations and term premia channels (pdf 2.3MB)
- Monetary policy transmission, the labour share and HANK models (pdf 1.2MB)
- Network analysis of the UK reinsurance market (pdf 8.6MB)
- Real and nominal effects of monetary shocks under time-varying disagreement (pdf 0.7MB)
- Reducing liquidity mismatch in open‑ended funds: a cost-benefit analysis (pdf 0.6MB)
- Size discount and size penalty: trading costs in bond markets (pdf 0.9MB)
- Start-up types and macroeconomic performance in Europe (pdf 6.6MB)
- Stress relief? Funding structures and resilience to the Covid Shock (pdf 3MB)
- Structural change, global R* and the missing-investment puzzle (pdf 0.7MB)
- The collection of slavery compensation, 1835–43 (pdf 1.1MB)
- The effects of subsidised flood insurance on real estate markets (pdf 1.4MB)
- The impact of changes in bank capital requirements (pdf 1.1MB)
- The local supply channel of QE: evidence from the Bank of England’s gilt purchases (pdf 1.6MB)
- The ring-fencing bonus (pdf 1.1MB)
- The size-centrality relationship in production networks (pdf 2.2MB)
- Macroeconomic policymaking in interwar Britain: a reappraisal (pdf 2.7MB)
- Value of information, search, and competition in the UK mortgage market (pdf 1.4MB)
- What Drives Repo Haircuts? Evidence from the UK Market (pdf 0.4MB)
- What is productive investment? Insights from firm-level data for the United Kingdom (pdf 3.6MB)
- Why you should not use the LSV herding measure (pdf 0.6MB)
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2023
- An anatomy of the 2022 gilt market crisis (pdf 2.2MB)
- An evaluation of the Bank of England’s ILTR operations: comparing the product‑mix auction to alternatives (pdf 6.1MB)
- Bank expectations and prudential outcomes (pdf 1.3MB)
- Beliefs- and fundamentals-driven job creation (pdf 9MB)
- Climate policies, macroprudential regulation, and the welfare cost of business cycles (pdf 1.4MB)
- Deep learning model fragility and implications for financial stability and regulation (pdf 4.2MB)
- Defusing leverage: liquidity management and labor contracts (pdf 1MB)
- Do firm expectations respond to monetary policy announcements? (pdf 1.6MB)
- Energy prices and household heterogeneity: monetary policy in a Gas-TANK (pdf 18.5MB)
- Financial services trade restrictions and lending from an international financial centre (pdf 0.6MB)
- Flexible Bayesian MIDAS: time‑variation, group‑shrinkage and sparsity (pdf 1.9MB)
- Foreign exchange hedging using regime-switching models: the case of pound sterling (pdf 1.7MB)
- Getting through: communicating complex information (pdf 4.9MB)
- Granular banking flows and exchange-rate dynamics (pdf 1MB)
- Hedging, market concentration and monetary policy: a joint analysis of gilt and derivatives exposures (pdf 2.2MB)
- Hidden exposure: measuring US supply chain reliance (pdf 2MB)
- Leverage ratio and risk-taking: theory and practice (pdf 3.6MB)
- Macroprudential stress‑test models: a survey (pdf 0.9MB)
- Measuring monetary policy in the UK: the UK Monetary Policy Event‑Study Database (pdf 1.3MB)
- Mispricing in inflation markets (pdf 1.4MB)
- Moderation or indulgence? Effects of bank distribution restrictions during stress (pdf 1.9MB)
- Negative rates, monetary policy transmission and cross-border lending via international financial centres (pdf 1.2MB)
- Nonbank lenders as global shock absorbers: evidence from US monetary policy spillovers (pdf 0.8MB)
- On the non-identification of revenue production functions (pdf 0.9MB)
- Open banking, shadow banking and regulation (pdf 0.6MB)
- Price formation in markets with trading delays (pdf 1MB)
- Relationship discounts in corporate bond trading (pdf 0.8MB)
- Revisiting the effects of long-term unemployment on inflation (pdf 0.7MB)
- Revisiting the monetary transmission mechanism through an industry‑level differential approach (pdf 0.9MB)
- Ring-fencing in financial networks (pdf 1MB)
- Self-fulfilling fire sales and market backstops (pdf 0.6MB)
- The cyclicality of bank credit losses and capital ratios under expected loss model (pdf 2.4MB)
- The demand for long-term mortgage contracts and the role of collateral (pdf 1.1MB)
- The gravity of syndication ties in international equity underwriting (pdf 0.7MB)
- The greening of lending: mortgage pricing of energy transition risk (pdf 0.7MB)
- The liquidity state-dependence of monetary policy transmission (pdf 15.2MB)
- The market for inflation risk (pdf 8.4MB)
- The market for sharing interest rate risk: quantities and asset prices (pdf 1.6MB)
- The potential impact of broader central clearing on dealer balance sheet capacity: a case study of UK gilt and gilt repo markets (pdf 1.2MB)
- The transmission of macroprudential policy in the tails: evidence from a narrative approach (pdf 3MB)
- Understanding climate-related disclosures of UK financial institutions (pdf 1.3MB)
- Unwinding quantitative easing: state dependency and household heterogeneity (pdf 1.8MB)
- Creditable capital: macroprudential regulation and bank lending in stress (pdf 1.3MB)
- Vacancy posting, firm balance sheets, and pandemic policy (pdf 1.6MB)
- Yield curve sensitivity to investor positioning around economic shocks (pdf 2.1MB)
- Yield curve sensitivity to investor positioning around economic shocks annex (pdf 0.9MB)
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2024
- across-the-borders-above-the-bounds-a-non-linear-framework-for-international-yield-curves (pdf 0.8MB)
- An unconventional FX tail risk story (pdf 2.6MB)
- Appendix to An unconventional FX tail risk story (pdf 1.9MB)
- Asymmetric expectations of monetary policy (pdf 4.6MB)
- Battle of the markups: conflict inflation and the aspirational channel of monetary policy transmission (pdf 2MB)
- Behavioral lock-in: aggregate implications of reference dependence in the housing market (pdf 1.4MB)
- Central bank profit distribution and recapitalisation (pdf 1.5MB)
- Competing models of the Bank of England’s liquidity auctions: truthful bidding is a good approximation (pdf 3.1MB)
- Customer data access and fintech entry: early evidence from open banking (pdf 3.4MB)
- Energy and climate policy in a DSGE model of the United Kingdom (pdf 1.1MB)
- Global value chains and the dynamics of UK inflation (pdf 1MB)
- Information disclosure and information acquisition in credit markets (pdf 0.6MB)
- Monetary policy consequences of financial stability interventions: assessing the UK LDI crisis and the central bank policy response (pdf 1.5MB)
- Optimal quantitative easing and tightening (pdf 2.1MB)
- Principles and techniques to resolve large banks whose failure could have systemic consequences (pdf 0.6MB)
- Quantitative easing and the functioning of the gilt repo market (pdf 1.8MB)
- Screening using a menu of contracts: a structural model of lending markets (pdf 1.7MB)
- The impact of prudential regulations on the UK housing market and economy: insights from an agent-based model (pdf 1.9MB)
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1992