Bridge Proxy-SVAR: estimating the macroeconomic effects of shocks identified at high-frequency
Bank of Italy Working Papers by Andrea Gazzani and Alejandro Vicondoa
Monetary policy gradualism and the nonlinear effects of monetary shocks
Bank of Italy Working Papers by Luca Metelli, Filippo Natoli and Luca Rossi
Spend today or spend tomorrow? The role of inflation expectations in consumer behaviour
Bank of Italy Working Papers by Concetta Rondinelli and Roberta Zizza
Mutual funds' performance: the role of distribution networks and bank affiliation
Bank of Italy Working Papers by Giorgio Albareto, Andrea Cardillo, Andrea Hamaui and Giuseppe Marinelli
Pension contributions and tax-based incentives: evidence from the TCJA
We document that corporate pension contributions respond to tax-based incentives using the 2017 Tax Cut & Jobs Act (TCJA) as a natural experiment. The TCJA cut the U.S. federal corporate tax rate, temporarily increasing contribution incentives for sponsors of defined-benefit retirement plans. We exploit cross-sectional variation in ex-ante exposure to these incentives.
On the instability of banking and other financial intermediation
Are financial intermediaries inherently unstable and, if so, why? To address this, we analyse whether model economies with financial intermediation are particularly prone to multiple, cyclic or stochastic equilibria.
Christine Lagarde: Opening remarks at the EUI's State of the Union event
Opening remarks by Ms Christine Lagarde, President of the European Central Bank, at the Online Edition of The State of the Union conference organised by the European University Institute, 8 May 2020.
Effects of Covid-19 on the banking sector: the market's assessment
Banks' performance on equity and debt markets since the Covid-19 outbreak has been on a par with that experienced after the collapse of Lehman Brothers in 2008. During the initial phase, the market sell-off swept over all banks, which underperformed significantly relative to other sectors. Still, markets showed some differentiation by bank nationality, and credit default swap (CDS) spreads rose the most for those banks that had entered the crisis with the highest level of credit risk. The subsequent stabilisation, brought about by forceful policy measures since mid-March, has favoured banks with higher profitability and healthier balance sheets. Less profitable banks saw their long-term rating outlooks revised to negative. And the CDS spreads of the riskiest banks continued increasing even through the stabilisation phase.
Central bank policy rates
Daily data on monetary policy rates have been updated. This covers 38 central banks with the earliest data starting in 1946.
US dollar exchange rates
Daily data on exchange rates against the US dollar have been updated. This covers 81 economies with the earliest data starting in 1949.
Effective exchange rate indices
Daily data on effective exchange rate in nominal terms have been updated. Broad indices cover 60 economies, with data from 1996. Narrow indices cover 26 economies with data from 1983.
OTC derivatives outstanding
The semiannual OTC derivatives statistics provide data on notional amounts outstanding and gross market values for all types of over-the-counter derivatives contracts. They are reported by large dealers in 12 countries on a worldwide consolidated basis.
OTC derivatives statistics at end-December 2019
Notional amounts of OTC derivatives rose from $544 trillion at end-December 2018 to $559 trillion at end-December 2019. This, however, corresponds to a significant fall over the last six months, which could be at least partly attributed to seasonal factors. The seasonal pattern in the data, whereby end-June values tend typically to be larger than end-of-year values, appears strongest in positions vis-à-vis central counterparties. Such end-of-year contractions can occur if dealer banks and/or their clients shrink their outstanding notional derivative positions for regulatory and financial reporting purposes. Contracts denominated in non-G4 currencies (ie excluding USD, EUR, JPY and GBP) have grown in size for both interest rate and foreign exchange derivatives, even though those denominated in US dollars remain the largest segment.
Luis de Guindos: Presentation of the European Central Bank Annual Report 2019 to the Committee on Economic and Monetary Affairs of the European Parliament
Introductory remarks (by videoconference) by Mr Luis de Guindos, Vice-President of the European Central Bank, to the Committee on Economic and Monetary Affairs of the European Parliament, Frankfurt am Main, 7 May 2020.
Banks' dividends in Covid-19 times
FSI Briefs No 6, May 2020. Regulatory actions in the current circumstances need to focus on preserving banks' lending activity without jeopardising their solvency. This means that flexibility in capital requirements, including through the use of regulatory buffers, and capital conservation should go hand in hand. Basel III provides for automatic distribution constraints when capital falls below specific thresholds. In the current context, this may disincentivise firms from following authorities' recommendations to use capital buffers. Blanket distribution restrictions imposed through supervisory action may help address these disincentives to the extent that they are not linked to firms' individual capital positions and thus remove any possible stigma effect. Most authorities have undertaken initiatives in relation to banks' distribution policies in the Covid-19 pandemic environment. However, practices across jurisdictions diverge markedly as regards scope and stringency.
Releasing bank buffers to cushion the crisis - a quantitative assessment
Banks globally entered the Covid-19 crisis with roughly US$ 5 trillion of capital above their Pillar 1 regulatory requirements. The amount of additional lending will depend on how hard banks' capital is hit by the crisis, on their willingness to use the buffers and on other policy support. In an adverse stress scenario such as the savings and loan crisis, banks' usable buffers would decline to US$ 800 billion, which could support US$ 5 trillion of additional loans (6% of total loans outstanding). Yet in a severely adverse scenario, similar to the Great Financial Crisis, the corresponding figures would be only US$ 270 billion and US$ 1 trillion (1.3% of total loans).
Dealers' insurance, market structure, and liquidity
We develop a parsimonious model to study the effect of regulations aimed at reducing counterparty risk on the structure of over-the-counter securities markets. We find that such regulations promote entry of dealers, thus fostering competition and lowering spreads. Greater competition, however, has an indirect negative effect on market-making profitability.
Stephen S Poloz: Teachable moments from the pandemic
Remarks by Mr Stephen S Poloz, Governor of the Bank of Canada, at the Ivey Business School, London, Ontario, 30 April 2020.
Climate-related financial risks: a survey on current initiatives
This report summarises the main results of a stocktake conducted by the Basel Committee of its members' initiatives on climate-related financial risks.
Basel Committee publishes stocktake report on climate-related financial risk initiatives
BCBS Press release "Basel Committee publishes stocktake report on climate-related financial risk initiatives'", 30 April 2020
Credit-to-GDP gaps
Advanced preliminary release for Q4 2019 quarterly data on credit-to-GDP gaps covering 44 economies have been updated. These time-series data show the difference between the credit-to-GDP ratio and its long-run trend, which can serve as an early warning indicator of financial crises. As input, the data used are the credit-to-GDP ratio as published in the BIS database of total credit to the private non-financial sector. The credit series capture total borrowing by the private non-financial sector (ie households and non-financial corporations) from all sources.
Consumer prices
The BIS's data set on consumer prices contains long monthly and annual time series for 60 countries.
Debt service ratios for the private non-financial sector
Advanced preliminary release for Q4 2019 quarterly data on debt service ratios (DSRs) for the private non-financial sector (PNFS) for 32 countries have been updated. DSRs for PNFS breakdown sectors, ie for households and for non-financial corporations are also available for 17 countries.
Commercial property prices
Monthly and annual data have been updated for 60 countries. The average length of the monthly series is more than to 55 years. Some annual series go back to the middle of the 19th century - or even earlier for several countries.
Residential property prices: detailed series (nominal)
Close to 300 series at various frequencies for 60 countries have been updated.
Credit to the non-financial sector
Advanced preliminary release for Q4 2019 quarterly data on total credit to the non-financial sectors; comprising private non-financial sector and general government for 44 economies and regional aggregates have been updated. Data are available for the following borrowing subsectors: general government, private non-financial sector (series on credit from domestic banks as lending sector are also available), non-financial corporations and households. Data are presented in three versions: in billions of local currency and US dollars, and as a percentage of GDP.
Christine Lagarde: ECB press conference - introductory statement
Introductory statement by Ms Christine Lagarde, President of the European Central Bank, and Mr Luis de Guindos, Vice-President of the European Central Bank, Frankfurt am Main, 30 April 2020.
Public guarantees for bank lending in response to the Covid-19 pandemic
FSI Briefs No 5, April 2020. In response to the Covid-19 pandemic, governments have launched guarantee programmes to support bank lending to companies, especially small and medium-sized enterprises. This is essential to avoid a sharp contraction in bank credit that would exacerbate the pandemic's adverse impact. The design of such programmes needs to strike a difficult balance between responding promptly to the pandemic and maintaining a sufficient level of prudence. Key features of a sample of programmes (eg target beneficiaries, coverage of the guarantee, loan terms, length of the programme) reflect this tension. Incentives were created for the banks to join these programmes by exploiting flexibility in existing prudential requirements, while central banks have often provided liquidity support. Programmes are, however, subject to operational challenges and, ultimately, fiscal capacity limits.
Progress in adopting the Principles for effective risk data aggregation and risk reporting
This report outlines the progress made by banks in implementing the Basel Committee's Principles for effective risk data aggregation and risk reporting ("the Principles" or "BCBS 239")1 based on supervisors' assessments conducted in 2019.
CME Group Inc. Announces Preliminary Results from its 2020 Annual Meeting of Shareholders
CME Group Achieves Record International Average Daily Volume of 7.2 Million Contracts in Q1 2020, Up 57 Percent from Q1 2019
USDA Supply/Demand
The World Agricultural Supply and Demand Estimates (WASDE) report is prepared monthly and includes forecasts for U.S. and world wheat, rice, and coarse grains (corn, barley, sorghum, and oats), oilseeds (soybeans, rapeseed, palm), and cotton. U.S. coverage is extended to sugar, meat, poultry, eggs, and milk. USDA World Agricultural Outlook Board analysts chair the Interagency Commodity Estimates Committees (ICECs) comprising representatives from several key USDA agencies. The nine ICECs- one for each commodity- compile and interpret information from USDA and other domestic and foreign official sources to produce the report.
The ICECs rely on Foreign Agricultural Service (FAS) attaché reports and analysis of foreign commodity developments, Economic Research Service (ERS) domestic and foreign regional assessments, and National Agricultural Statistics Service (NASS) U.S. crop and livestock estimates. For domestic policy and market information, the Board relies on the Farm Services Agency and the Agricultural Marketing Service. WAOB and FAS use weather analysis and satellite imagery to monitor crop conditions. Additional private and public information sources are considered.
This broad information base is reviewed and analyzed by ICEC members who bring diverse expertise and perspectives to the report. To arrive at consensus forecasts, alternative assessments of domestic and foreign supply and use are vetted at the ICEC meetings. Throughout the growing season and afterwards, estimates are compared with new information on production and utilization, and historical revisions are made as necessary.
The WASDE reports a full balance sheet for each commodity. Separate estimates are made for components of supply (beginning stocks, imports, and production) and demand (domestic use, exports, and ending stocks). Domestic use is subdivided into major categories, for example corn for feed and corn for ethanol. Domestic use may be based on data from other Federal agencies: for example, U.S. wheat ground for flour, soybeans crushed for oil, and cotton mill use come from the Bureau of the Census. The demand side of the balance sheet may include a category for residual or unaccounted disappearance to balance known uses against total supplies.
The WASDE also reports forecast season-average farm prices for most items. Prices tie together both sides of the balance sheet. Market prices aid in rationing available supplies among competing uses. Prices also indicate potential supply responses, for example potential planting decisions for the upcoming year. The process of forecasting price and balance sheet items is complex and involves the interaction of expert judgment, commodity models, and in-depth research by USDA analysts on key domestic and international issues.
Export Sales
The Export Sales Reporting Program monitors U.S. agricultural export sales on a daily and weekly basis.
The program requires U.S. exporters to report sales of certain commodities to FAS each week. Commodities currently covered by the program are wheat, wheat products, barley, corn, grain sorghum, oats, rye, rice, soybeans, soybean cake and meal, soybean oil, cotton, cottonseed, cottonseed cake and meal, cottonseed oil, sunflowerseed oil, flaxseed, linseed oil, cattle hides and skins, beef and pork. FAS publishes a weekly summary of export sales activity every Thursday at 8:30 a.m. Eastern time, unless a change is announced.
In addition to the weekly requirement, daily reporting is required when a single exporter sells 100,000 metric tons or more of wheat, corn, grain sorghum, barley, oats, soybeans, soybean cake or soybean meal, or 20,000 metric tons or more of of soybean oil, to a single destination on a single day. FAS issues a summary of daily sales at 9 a.m. Eastern time on the following business day. Daily sales are also included in the weekly report. (See the latest daily sales reports below, under News.)
Crop Progress
This full text file contains reports, issued weekly during the growing season (April to November), which lists planting, fruiting, and harvesting progress and overall condition of selected crops in major producing states. The data, summarized by crop and by state, are republished along with any revisions in the Weekly Weather and Crop Bulletin. During the months of December through March, the report is issued monthly titled State Stories.
Export Inspections
This report contains a weekly summary of grains weighed for export in metric tons, including totals for the current and previous market year to date. Included are grains prepared for export weekly by country of destination and port area.
Fats & Oils
This monthly release is part of the Current Agricultural Industrial Report (CAIR) program, and covers the crush of oilseeds and production of crude oil for selected states and the U.S. as well as U.S. production and consumption of selected fats and oils for edible and inedible uses. The end-of-month stock values by oilseed are also published. The report is compiled from data from facilities regarding oilseed crushing, crude oil production, once refined oil production, rendering production, and end of month stocks for the previous calendar month.
Export Sales
The Export Sales Reporting Program monitors U.S. agricultural export sales on a daily and weekly basis.
The program requires U.S. exporters to report sales of certain commodities to FAS each week. Commodities currently covered by the program are wheat, wheat products, barley, corn, grain sorghum, oats, rye, rice, soybeans, soybean cake and meal, soybean oil, cotton, cottonseed, cottonseed cake and meal, cottonseed oil, sunflowerseed oil, flaxseed, linseed oil, cattle hides and skins, beef and pork. FAS publishes a weekly summary of export sales activity every Thursday at 8:30 a.m. Eastern time, unless a change is announced.
In addition to the weekly requirement, daily reporting is required when a single exporter sells 100,000 metric tons or more of wheat, corn, grain sorghum, barley, oats, soybeans, soybean cake or soybean meal, or 20,000 metric tons or more of of soybean oil, to a single destination on a single day. FAS issues a summary of daily sales at 9 a.m. Eastern time on the following business day. Daily sales are also included in the weekly report. (See the latest daily sales reports below, under News.)
Crop Progress
This full text file contains reports, issued weekly during the growing season (April to November), which lists planting, fruiting, and harvesting progress and overall condition of selected crops in major producing states. The data, summarized by crop and by state, are republished along with any revisions in the Weekly Weather and Crop Bulletin. During the months of December through March, the report is issued monthly titled State Stories.
Export Inspections
This report contains a weekly summary of grains weighed for export in metric tons, including totals for the current and previous market year to date. Included are grains prepared for export weekly by country of destination and port area.
Cattle On Feed
This file contains the monthly total number of cattle and calves on feed, placements, marketings, and other disappearances; by class and feedlot capacity for selected states; number of feedlots and fed cattle marketings by size groups for selected states. Data is organized by state and by U.S.
Export Sales
The Export Sales Reporting Program monitors U.S. agricultural export sales on a daily and weekly basis.
The program requires U.S. exporters to report sales of certain commodities to FAS each week. Commodities currently covered by the program are wheat, wheat products, barley, corn, grain sorghum, oats, rye, rice, soybeans, soybean cake and meal, soybean oil, cotton, cottonseed, cottonseed cake and meal, cottonseed oil, sunflowerseed oil, flaxseed, linseed oil, cattle hides and skins, beef and pork. FAS publishes a weekly summary of export sales activity every Thursday at 8:30 a.m. Eastern time, unless a change is announced.
In addition to the weekly requirement, daily reporting is required when a single exporter sells 100,000 metric tons or more of wheat, corn, grain sorghum, barley, oats, soybeans, soybean cake or soybean meal, or 20,000 metric tons or more of of soybean oil, to a single destination on a single day. FAS issues a summary of daily sales at 9 a.m. Eastern time on the following business day. Daily sales are also included in the weekly report. (See the latest daily sales reports below, under News.)
JOLTS
The Labor Department's JOLTS report tracks monthly change in job openings and offers rates on hiring and quits. The reporting period lags other employment data including the employment situation report. The word JOLTS stands for Job Openings and Labor Turnover Survey.