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Tájékoztató
az Nemzetközi Fizetések Bankja,
a BIS
működéséről
2008. MÁRCIUS
Budapest, 2008. április 3.
MNB – BIS-tájékoztató 2008. március
1. SAJTÓKÖZLEMÉNYEK
29 Mar 2008 Financial Stability Forum meets in Rome
10 March 2008 BIS appoints Stephen G Cecchetti as Economic Adviser, Head of Monetary and Economic
Department
2. PUBLIKÁCIÓK
2. 1. BIS Quarterly Review, March 2008
Text by chapter:
International banking and financial market developments
1. Overview: markets reprice to reflect risks to growth
2. Highlights of international banking and financial market activity
Special features
Monetary operations and the financial turmoil by Claudio Borio and William Nelson
Abstract: A proper understanding of central bank operations in response to the recent financial turmoil and
of their implications for the monetary policy stance and for market functioning calls for an understanding of
operating frameworks. And yet, not only are these the least familiar aspect of monetary policy, they also differ
considerably across countries. The frameworks can have a first-order influence on the size and type of
liquidity injections employed and on the need for exceptional measures.
JEL classification: E43, E49, G21, G32.
What drives interbank rates? Evidence from the Libor panel by François-Louis
Michaud and Christian Upper
Abstract: The risk premium contained in the interest rates on three-month interbank deposits at large,
internationally active banks increased sharply in August 2007 and risk premia have remained at an elevated
level since. This feature aims to identify the drivers of this increase, in particular the role of credit and
liquidity factors. While there is evidence of a role played by credit risk, at least at lower frequencies, the
absence of a close relationship between the risk of default and risk premia in the money market, as well as the
reaction of the interbank markets to central bank liquidity provisions, point to the importance of liquidity
factors for banks' day-to-day quoting behaviour.
JEL classification: G21, G32.
Interbank rate fixings during the recent turmoil by Jacob Gyntelberg and Philip
Wooldridge
Abstract: The turmoil in global interbank markets in the second half of 2007 raises questions about the
robustness of interbank rate fixings. A comparison of alternative fixings for similar interest rates confirms
that they diverged to an unusual extent. Nevertheless, the design of fixing mechanisms worked as intended to
moderate the influence of strategic behaviour and changing perceptions of credit quality.
JEL classification: F30, G12, G15.
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MNB – BIS-tájékoztató 2008. március
The spillover of money market turbulence to FX swap and cross-currency swap
markets by Naohiko Baba, Frank Packer and Teppei Nagano
Abstract We analyse the spillover of the turmoil in money markets in the second half of 2007 to FX swap
and long-term cross-currency basis swap markets. We find that the use of swap markets to overcome US
dollar funding shortages by non-US financial institutions resulted in marked deviations from covered interest
parity conditions and the impairment of liquidity in these markets.
JEL classification: G12, G14, G15.
Credit fundamentals, ratings and value-at-risk: CDOs versus corporate exposures
by Ingo Fender, Nikola Tarashev and Haibin Zhu
Abstract: This article compares the linkages between credit fundamentals, ratings and value-at-risk measures
for CDO tranches with those for corporate bond exposures. A sensitivity analysis incorporating market
information and rating migrations data reveals that the behaviour of CDO tranche ratings can differ markedly
from that of corporate ratings. In addition, tranching is found to have an important impact on the probability
of large losses. This highlights how investors who narrowly focus on ratings and draw direct parallels with
corporate exposures can seriously misjudge the value-at-risk of CDOs.
JEL classification: G24, G32.
3. Recent initiatives by the Basel-based committees and groups
2. 2. BIS papers
No 38 FX reserve management: elements of a framework
In recent years, issues related to the management of foreign exchange reserves have gained prominence,
and reserve management practices have evolved rapidly. Against this background, the Monetary and
Economic Department of the Bank for International Settlements organised an ad hoc meeting of senior
central bankers from both industrial and emerging market countries responsible for the management of
reserves, which took place on 1-2 March 2007. The meeting covered key issues in foreign exchange
reserve management, including the broad framework in which it is conducted, asset allocation at the
strategic, tactical and portfolio management levels, risk measurement and management, organisational
structures and disclosure. This paper was prepared as background and provides a general framework to
help organise the various issues that arise in the context of FX reserve management.
JEL classification: F31, G11, G32, E58
2. 3. Working Papers
No 250 Globalisation and the determinants of domestic inflation by William R. White
Abstract: The remarkable stability of low domestic inflation in many countries requires explanation. In
this paper, a number of competing hypotheses are evaluated on a stand-alone basis, and all are found
to be inadequate. This includes the view that this outcome has been solely the result of more effective
disinflationary monetary policies. However, a combination of these hypotheses (including a significant
role for increased global competition) seems to provide a plausible explanation, not only for
continuing low inflation, but also its coexistence with rapid growth and low real interest rates.
Unfortunately, the analysis also leads to the conclusion that rising inflation, unwinding financial
imbalances, or both, could easily follow the welcome stability seen to date.
JEL Classification Numbers: E31, E52, E58, F02, F41
Keywords: inflation, monetary policy, globalisation, Phillips curve.
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MNB – BIS-tájékoztató 2008. március
No 249 Frequency of observation and the estimation of integrated volatility in deep and liquid
financial markets by Alain Chaboud, Benjamin Chiquoine, Erik Hjalmarsson and
Mico Loretan
Abstract: Using two newly available ultrahigh-frequency datasets, we investigate empirically how
frequently one can sample certain foreign exchange and U.S. Treasury security returns without
contaminating estimates of their integrated volatility with market microstructure noise. We find that
one can sample FX returns as frequently as once every 15 to 20 seconds without contaminating
volatility estimates; bond returns may be sampled as frequently as once every 2 to 3 minutes on days
without U.S. macroeconomic announcements, and as frequently as once every 40 seconds on
announcement days. With a simple realized kernel estimator, the sampling frequencies can be increased
to once every 2 to 5 seconds for FX returns and to about once every 30 to 40 seconds for bond
returns. These sampling frequencies, especially in the case of FX returns, are much higher than those
often recommended in the empirical literature on realized volatility in equity markets. The higher
sampling frequencies for FX and bond returns likely reflect the superior depth and liquidity of these
markets.
JEL Classification: C22, G12
Keywords: realized volatility, sampling frequency, market microstructure, bond markets, foreign
exchange markets, liquidity
No 248 Tips from TIPS: the informational content of Treasury Inflation-Protected Security
prices by Stefania D'Amico, Don H Kim and Min Wei
Abstract: We examine the informational content of TIPS yields from the viewpoint of a general 3-
factor no-arbitrage term structure model of inflation and interest rates. Our empirical results indicate
that TIPS yields contained a "liquidity premium" that was until recently quite large (~1%). Key features
of this premium are difficult to account for in a rational pricing framework, suggesting that TIPS may
not have been priced efficiently in its early years. Besides the liquidity premium, a time-varying
inflation risk premium complicates the interpretation of the TIPS breakeven inflation rate (the
difference between the nominal and TIPS yields). Nonetheless, high-frequency variation in the TIPS
breakeven rates is similar to the variation in inflation expectations implied by the model, lending
support to the view that TIPS breakeven inflation rates are a useful proxy for inflation expectations.
JEL Classification: G12, E31, E43
Keywords: term structure model, inflation expectation, inflation risk premium, SPF, Treasury
Inflation-Protected Securities (TIPS)
No 247 What drives the current account in commodity exporting countries? The cases of Chile
and New Zealand by Juan Pablo Medina, Anella Munro and Claudio Soto
Abstract: This paper uses an open economy DSGE model with a commodity sector and nominal and
real rigidities to ask what factors account for current account developments in two small commodity
exporting countries. We estimate the model, using Bayesian techniques, on Chilean and on New
Zealand data, and investigate the structural factors that explain the behaviour of the two countries'
current accounts. We find that foreign financial conditions, investment-specific shocks, and foreign
demand account for the bulk of the variation of the current accounts of the two countries. In the case
of New Zealand fluctuations in commodity export prices have also been important. Monetary and
fiscal policy shocks (deviations from policy rules) are estimated to have relatively small effects on the
current account. We find interesting differences in Chilean and New Zealand responses to some
shocks, despite similarities between the two economies and the common structural model employed.
JEL Classification: E31, E32, F32, F41
Keywords: current account, commodity price, small open economy, DSGE model
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MNB – BIS-tájékoztató 2008. március
2. 4. Committee Publications
2. 4. 1. Committee on Payment and Settlement Systems
Statistics on payment and settlement systems in selected countries - Figures for 2006
This is an annual publication that provides data on payments and payment and settlement systems in the
CPSS countries.
This version of the statistical update contains data for 2006 and earlier years. There are detailed tables
for each individual country as well as a number of comparative tables. This year the tables have been
expanded to include detailed data on securities trading, clearing and settlement systems. The statistical
methodology has been updated accordingly.
Comparative tables only (pages 215-285)
2. 4. 2. Irving Fisher Committee on Central Bank Statistics (IFC)
Forthcoming events
- The Fourth IFC conference will take place in Basel on 26 and 27 August 2008. The topic of the
conference is "Measuring financial innovation and its impact".
- The 57th Session of the International Statistical Institute will take place in Durban, 16 to 22 August
2009
2. 4. 3. Basel Committee on Banking Supervision
Márciusban nem jelent meg ilyen kiadvány.
2. 4.4. Committee on the Global Financial System
Márciusban nem jelent meg ilyen kiadvány.
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MNB – BIS-tájékoztató 2008. március
3. BESZÉDEK
3. 1. BIS MANAGEMENT SPEECHES
26 March 2008 Past financial crises, the current financial turmoil, and the need for a new macrofinancial
stability framework
Speech by Mr William R White, Economic Adviser and Head of Monetary and Economic
Department of the BIS at the LSE Financial Markets Group & and Deutsche Bank Conference
"The structure of regulation: lessons from the crisis of 2007", London, 3 March 2008.
Abstract: While it is tempting to focus on new financial innovations in helping explain recent
financial turmoil, more traditional causes should not be overlooked. As on many previous
occasions, very rapid credit growth led to major increases in asset prices, which in turn
encouraged consumption and investment decisions which could yet prove unsustainable. It is
suggested in this presentation that the natural "procyclicality" of the financial system could be
contained through the introduction of a "New Macrofinancial Stability Framework". It is
recognised that there are many practical impediments to realising such a suggestion, but there are
also grounds for belief that these impediments could be removed.
1
3. 2. CENTRAL BANKERS SPEECHES
- Monetary policy developments http://www.bis.org/review/r080401a.pdf
Extract from a speech by Mr Mervyn King, Governor of the Bank of England, to the Bank of Israel,
Jerusalem, 31 March 2008.
- Economic and financial developments in Iceland http://www.bis.org/review/r080401b.pdf
Address by Mr David Oddsson, Chairman of the Board of Governors of the Central Bank of Iceland, at the
Bank's Annual Meeting, Reykjavik, 28 March 2008.
- Financial inclusion http://www.bis.org/review/r080401c.pdf
Keynote address by Dr Shamshad Akhtar, Governor of the State Bank of Pakistan, at the Expanding Access to
Finance USAID and SHOREBANK INTERNATIONAL WHAM Project 2005-08, Islamabad, 28 March 2008.
- Innovation and growth - role of the financial sector http://www.bis.org/review/r080401e.pdf
Text of the Bharti Annual Lecture by Dr Rakesh Mohan, Deputy Governor of the Reserve Bank of India, at a
function organised by Entrepreneurship Development Institute of India, Ahmedabad, 28 March 2008.
- Household debt - implications for monetary policy and financial stability
Opening address by Mr Seong-Tae Lee, Governor and Chairman of the Bank of Korea, at the Bank of
Korea/Bank for International Settlements Seminar, Bank of Korea, Seoul, 28 March 2008.
- SAARC Payments Initiative and policy responses
Speech by Dr Ranee Jayamaha, Deputy Governor of the Central Bank of Sri Lanka, at the inauguration of
'SAARC Payments Initiative', Central Bank of Sri Lanka, Colombo, 28 March 2008.
- Comfort zones, shmumfort zones
Speech by Mr Frederic S Mishkin, Member of the Board of Governors of the US Federal Reserve System, at
the Sandridge Lecture of the Virginia Ass. of Economists & the H Parker Willis Lecture of Washington and Lee
University, Lexington, 27 March 2008.
1 A központi bankok vezetőinek a BIS által az adott hónapban összegyűjtött beszédei, cikkei alapján készült válogatás (az
EKB-s beszédeket kivéve, mert azok az EKB tájékoztatóban jelennek meg).
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MNB – BIS-tájékoztató 2008. március
- Recent financial developments
Address by Mr Glenn Stevens, Governor of the Reserve Bank of Australia, to Smart Capital 2008: The
Euromoney Australian, Financial Markets Innovation Congress, Sydney, 27 March 2008.
- Protecting homeowners and sustaining homeownership
Speech by Mr Randall S Kroszner, Member of the Board of Governors of the US Federal Reserve System, at
the National Association of Hispanic Real Estate Professionals Legislative Conference 2008, Washington DC, 27
March 2008.
- Current challenges for the Swiss National Bank in the area of monetary policy
Summary of a speech by Mr Thomas Jordan, Member of the Governing Board of the Swiss National Bank, at
the Money Market Event of the Swiss National Bank, Zurich, 27 March 2008.
- RCBC - banking on emerging corporates
Speech by Mr Amando M Tetangco, Jr, Governor of the Central Bank of the Philippines (Bangko Sentral ng
Pilipinas), at RCBC's (Rizal Commercial Banking Corporation) re-launching of its program for Small and
Medium Enterprises, Makati City, 26 March 2008.
- Japan-Thailand - partnership in prosperity
Dinner talk by Dr Tarisa Watanagase, Governor of the Bank of Thailand, to the Japanese Chamber of
Commerce, Bangkok, 25 March 2008.
- Banking sector developments in the Philippines
Speech by Mr Amando M Tetangco, Jr, Governor of the Central Bank of the Philippines, at the ILF MOA
Signing Ceremony, Manila, 25 March 2008.
- Is inflation set for a comeback?
Speech by Mr Christian Noyer, Governor of the Bank of France, at Deutsche Bank, Paris, 19 March 2008.
- Turkey beyond 2008
Speech by Mr Durmuş Yılmaz:, Governor of the Central Bank of the Republic of Turkey, at the Annual
Investment Conference "Turkey beyond 2008", New York, 17 March 2008.
- Swiss outlook and global developments
Summary of a speech by Mr Jean-Pierre Roth, Chairman of the Governing Board of the Swiss National Bank
and Chairman of the Board of Directors of the Bank for International Settlements, at the Icon Roadshow Euro
2008, Frankfurt am Main, 17 March 2008.
- Fostering sustainable homeownership
Speech of Mr Ben S Bernanke, Chairman of the Board of Governors of the US Federal Reserve System, at
the National Community Reinvestment Coalition Annual Meeting, Washington DC, 14 March 2008.
- How does a small open economy faced with unprecedented capital flows conduct monetary policy?
Talk delivered by Mr Rundheersing Bheenick, Governor of the Bank of Mauritius, at the Reserve Bank of
India, Mumbai, 14 March 2008.
- Sovereign wealth funds and global imbalances
Speech by Sir John Gieve, Deputy Governor of the Bank of England, to the Sovereign Wealth Management
Conference, London, 14 March 2008.
- Corporate governance for banks
Speech by Dr Shamshad Akhtar, Governor of the State Bank of Pakistan, at the IBP Convocation, Lahore, 13
March 2008.
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MNB – BIS-tájékoztató 2008. március
- Electronic data transmission enhancements in Albania
Speech by Mr Ardian Fullani, Governor of the Bank of Albania, at the launch of the electronic data
transmission project which relates to the execution of primary market auctions of the Government securities,
Tirana, 13 March 2008.
- Can the authorities manage crises in the financial system?
Speech by Mr Stefan Ingves, Governor of the Sveriges Riksbank, at the Swedish Economics Association,
Stockholm, 13 March 2008.
- Addressing financial market turbulence
Remarks by Mr Mark Carney, Governor of the Bank of Canada, to the Toronto Board of Trade, Toronto,
13 March 2008.
- Globalisation and current developments in the financial markets
Summary of a speech by Mr Philipp Hildebrand, Vice-Chairman of the Governing Board of the Swiss
National Bank, at the Swiss Institute of International Studies, Zurich, 13 March 2008.
- How trade and impediments to internal trade affect the Canadian economy
Opening statement by Mr Paul Jenkins, Senior Deputy Governor of the Bank of Canada, to the Standing
Senate Committee on Banking, Trade and Commerce, Ottawa, 12 March 2008.
- Monetary policy and inflation – how does it work?
Remarks by Mr Glenn Stevens, Governor of the Reserve Bank of Australia, to the Australian Treasury Seminar
Series, Canberra, 11 March 2008.
- Current monetary policy - a difficult balancing act
Speech by Ms Irma Rosenberg, First Deputy Governor of the Sveriges Riksbank, at Nordea, Stockholm,
11 March 2008.
- The importance of fundamentals in risk management
Speech by Mr Randall S Kroszner, Member of the Board of Governors of the US Federal Reserve System, at
the American Bankers Association Spring Summit Meeting, Washington DC, 11 March 2008.
- Macao’s financial sector - exhibiting steady development
Speech by Mr Anselmo L S Teng, Chairman of the Monetary Authority of Macao, at the 2008 AMCM Spring
Cocktail Reception, Macao, 11 March 2008.
- Harnessing sustainable growth in emerging markets
Keynote address by Mr Ajith Nivard Cabraal, Governor of the Central Bank of Sri Lanka, at the 2nd World
Management Summit 2008, Karachi, Pakistan, 11 March 2008.
- Globalisation and monetary policy
Welcome address by Mr Svein Gjedrem, Governor of Norges Bank, at the Norges Bank Conference on
Monetary Policy "Jarle Bergo Colloquium: Globalisation and Monetary Policy", Oslo, 7 March 2008.
- Globalisation, monetary policy and the euro
Speech by Professor Axel A Weber, President of the Deutsche Bundesbank, at the Norges Bank Conference on
Monetary Policy "Jarle Bergo Colloquium: Globalisation and Monetary Policy", Oslo, 7 March 2008.
- Exchange rate pass-through and monetary policy
Speech by Mr Frederic S Mishkin, Member of the Board of Governors of the US Federal Reserve System, at
the Norges Bank Conference on Monetary Policy "Jarle Bergo Colloquium: Globalisation and Monetary Policy",
Oslo, 7 March 2008.
- Opening address, "Globalisation, Inflation and Monetary Policy" Symposium
Opening address by Mr Christian Noyer, Governor of the Bank of France, at the International Symposium on
"Globalisation, Inflation and Monetary Policy", organised by the Bank of France, Paris, 7 March 2008.
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MNB – BIS-tájékoztató 2008. március
- Globalization and the determinants of domestic inflation
Remarks by Mr Martín Redrado, Governor of the Central Bank of Argentina, at the International Symposium
on "Globalisation, Inflation and Monetary Policy", organised by the Bank of France, Paris, 7 March 2008.
- Financial globalisation, growth and asset prices
Speech by Dr Nout Wellink, President of the Netherlands Bank & Chairman of the Basel Committee on
Banking Supervision, at the International Symposium on "Globalisation, Inflation and Monetary Policy",
organised by the Bank of France, Paris, 7 March 2008.
- Financial stability challenges for small open economies
Remarks by Dr Alan Bollard, Governor of the Reserve Bank of New Zealand, at the International Symposium
on “Globalisation, Inflation and Monetary Policy”, organised by the Bank of France, Paris, 7 March 2008.
- Financial globalisation, growth and stability: an Indian perspective
Remarks by Dr Y V Reddy, Governor of the Reserve Bank of India, at the International Symposium on
"Globalisation, Inflation and Monetary Policy", organised by the Bank of France, Paris, 7 March 2008.
- Opening remarks for the session on "Implications of globalisation for the conduct of monetary
policy"
Speech by Mr Guillermo Ortiz, Governor of the Bank of Mexico, at the International Symposium on
"Globalisation, Inflation and Monetary Policy", organised by the Bank of France, Paris, 7 March 2008.
- Implications of globalization for the conduct of monetary policy
Speech by Mr Donald L Kohn, Vice Chairman of the Board of Governors of the US Federal Reserve System,
at the International Symposium on "Globalisation, Inflation and Monetary Policy", organised by the Bank of
France, Paris, 7 March 2008.
- The current financial challenges - policy and regulatory implications
Remarks by Mr Timothy F Geithner, President and Chief Executive Officer of the Federal Reserve Bank of
New York, at the Council on Foreign Relations Corporate Conference 2008, New York, 6 March 2008.
- Pakistan - economic sustainability
Speech by Dr Shamshad Akhtar, Governor of the State Bank of Pakistan, at the JP Morgan - Pakistan
Corporate Access Forum, Dubai, 5 March 2008.
- Reducing preventable mortgage foreclosures
Speech of Mr Ben S Bernanke, Chairman of the Board of Governors of the US Federal Reserve System, at the
Independent Community Bankers of America Annual Convention, Orlando, Florida, 4 March 2008.
- Condition of the US banking system
Testimony of Mr Donald L Kohn, Vice Chairman of the Board of Governors of the US Federal Reserve
System, before the Committee on Banking, Housing, and Urban Affairs, US Senate, Washington DC, 4 March
2008.
- Outlook and risks for the US economy
Speech by Mr Frederic S Mishkin, Member of the Board of Governors of the US Federal Reserve System, at
the National Association for Business Economics Washington Policy Conference, Washington DC, 4 March
2008.
- Liquidity-risk management in the business of banking
Speech by Mr Randall S Kroszner, Member of the Board of Governors of the US Federal Reserve System, at
the Institute of International Bankers Annual Washington Conference, Washington DC, 3 March 2008.
- Leveraged losses - lessons from the mortgage meltdown
Speech by Mr Frederic S Mishkin, Member of the Board of Governors of the US Federal Reserve System, at
the US Monetary Policy Forum, New York, 29 February 2008.
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MNB – BIS-tájékoztató 2008. március
4. STATISZTIKÁK
4. 1. Locational banking statistics
The locational banking statistics gather quarterly data on international financial claims and liabilities of bank
offices in the reporting countries. Total positions are broken down by currency, by sector (bank and non-bank),
by country of residence of the counterparty and by nationality of reporting banks. Both domestically owned and
foreign-owned banking offices in the reporting countries record their positions on a gross (unconsolidated) basis,
including those vis-à-vis own affiliates in other countries. This is consistent with the residency principle of
national accounts, balance of payments and external debt statistics.
Currently, central banks in 40 countries report their aggregate national locational data to the BIS, which uses
them as the basis for calculating and publishing global figures. The data are published as part of the BIS
Quarterly Review. Provisional data, including a commentary, are released a few weeks before the publication of
the Quarterly Review. Users should be aware of the limitations of the provisional data.
Apart from relevant descriptions and analytical articles in the Quarterly Review, the following BIS publications
provide detailed methodological explanations of the locational banking statistics:
• Guide to the international financial statistics
• Guide to the locational banking statistics
4. 2. Consolidated banking statistics
The consolidated banking statistics report banks' on-balance sheet financial claims on the rest of the world and
thereby provide a measure of the risk exposures of lenders' national banking systems. The quarterly data cover
contractual lending by the head office and all its branches and subsidiaries on a worldwide consolidated basis, ie
net of inter-office accounts. Reporting on this contractual lending on an immediate borrower basis allows the
allocation of claims to the bank entity that would bear the losses as a result of default by borrowers. Total claims
are broken down by maturity, sector (banks, non-bank private sector and public sector) as well as vis-à-vis
country. Furthermore, to reflect the fact that banks' country risk exposures can differ substantially from that of
contractual lending due to the use of risk mitigants such as collateral, reporting countries provide information on
claims on a so-called ultimate risk basis from June 1999. Moreover, information on exposures resulting from
derivatives contracts, guarantees extended and credit commitments are provided as of 2005 Q1.
Currently, central banks in 30 countries report their aggregate national consolidated data to the BIS, which uses
them as the basis for calculating and publishing global data. The data are published as part of the BIS Quarterly
Review. Provisional data, including a commentary, are released a few weeks before the publication of the
Quarterly Review. Users should be aware of the limitations of the provisional data.
Apart from relevant descriptions and analytical articles in the Quarterly Review, the following BIS publications
provide detailed methodological explanations of the locational banking statistics
• Guide to the international financial statistics
• Guide to the consolidated banking statistics
• "The BIS consolidated banking statistics: structure, uses and improvements", BIS Quarterly Review,
September 2005
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MNB – BIS-tájékoztató 2008. március
4. 3. Securities statistics and syndicated loans
The BIS compiles a number of quarterly statistics on securities markets, including:
• international debt securities
• international equities
• domestic securities
Moreover, it publishes quarterly data on international syndicated loans, which, like securities, can be traded on the
secondary market.
The data are mainly derived from market sources and provide information on aggregates of amounts outstanding
and new issues. The data are broken down according to criteria similar to those applied to the banking statistics.
Only the borrower/issuer side of securities and syndicated loans issues is covered.
The main purpose of the securities and syndicated loans statistics is to complement the quarterly international
banking statistics so as to provide more comprehensive monitoring of international financial market activity. The
data allow analysts to assess the relative use of capital markets as opposed to banks in international financial
intermediation and to monitor issuance in international markets by residents of different countries. Combined
with pricing data, they can also be used to assess supply and demand factors in asset markets and potential
financial strains.
4. 4. BIS effective exchange rate indices (6 March 2006 updated 4 March 2008)
The BIS calculates effective exchange rate (EER) indices for a total of 52 economies (including individual euro
area countries and, separately, the euro area as an entity). Nominal EERs are calculated as geometric weighted
averages of bilateral exchange rates. Real EERs are the same weighted averages of bilateral exchange rates
adjusted by relative consumer prices.
Two basket compositions are available:
• Broad indices (Excel, 134 kb) comprising 52 economies (with data from 1994)
• Narrow indices (Excel, 220 kb) comprising 27 economies (with data from 1964)
The weighting pattern is time-varying, and the most recent weights are based on trade in 2002–04 (see broad and
narrow weights). The EER indices are available as monthly averages.
For an explanation of the methodology behind the BIS EER indices, see:
• The new BIS effective exchange rate indices, BIS Quarterly Review, March 2006
• Measuring international price and cost competitiveness, BIS Economic Papers, no 39, November 1993
4. 5. Joint BIS-IMF-OECD-WORLD BANK statistics on external debt
The BIS banking and securities market statistics are an important element in the Joint BIS-IMF-OECD-World
Bank statistics on external debt. These include quarterly data from creditor and market sources available from
the four participating international organisations. Although the joint statistics do not provide a fully
comprehensive and consistent measure of total external debt in each country, they bring together timely and
international comparative data in this area. They also provide a breakdown by instrument and, importantly, show
measures of short-term debt not easily available from other sources.
The data are available from a joint website in the format of tables and an online database. The four international
organisations have improved the debt statistics, which are provided, together with external debt data published
by national sources, through an electronic joint external debt hub (JEDH). The most recent data have been
published on 28 February 2007.
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MNB – BIS-tájékoztató 2008. március
4. 6. Payment systems
Payment and settlement systems are a core element of the financial infrastructure at the national as well as the
international level. The Committee on Payment and Settlement Systems periodically publishes reference works
on payment arrangements in various countries, widely known as Red Books. The Red Book refers to the
publication on Payment and settlement systems in selected countries – the CPSS countries. The statistics
included in the Red Book are updated yearly and published separately.
The statistics include indicators of retail payment systems and payment instruments as well as of wholesale
systems used amongst banks. Moreover, they include data on trading platforms, clearing houses and settlement
systems for securities as well as on the systems used to perform cross-border transactions. All data are national
data collected by the central banks participating in the exercise.
5. FINANCIAL STABILITY INSTITUTE: http://www.bis.org/fsi/aboutfsi.htm
- FSI 2008 PROGRAMME:
http://www.bis.org/fsi/fsi2008.pdf
- FSI CONNECT - The Web-based Learning and Information Resource for Financial Sector
Supervisors Worldwide:
http://www.fsiconnect.org/lms/frontdoor/loadframes.asp?redirect=../fsi/fd_index.asp&isexternalpage=true
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MNB – BIS-tájékoztató 2008. március
6. EGYÉB
6. 1. INTERNATIONAL JOURNAL OF CENTRAL BANKING:
http://www.ijcb.org/
Last issue contents (March 2008): http://www.ijcb.org/journal/currentissue.htm
An Empirical Evaluation of Structural Credit-Risk Models by Nikola A. Tarashev
Abstract: This paper evaluates the capacity of five structural credit risk models to forecast default rates. In
contrast to previous studies with similar objectives, the paper employs firm-level data and finds that model-based
forecasts of default rates tend to be unbiased and to deliver point-in-time errors that are small in both statistical
and economic terms. In addition, in- and out-of-sample regression analysis reveals that the models account for a
significant portion of the variability of credit risk over time but fail to fully reflect its dependence on
macroeconomic cycles.
JEL Codes: G33, E44, G28, C13.
Inflation Targets as Focal Points by Maria Demertzis and Nicola Viegi
Abstract: In a world characterized by noisy information and conflicting signals, no central bank is able to
affect private-sector expectations at all times. In order to evaluate the effectiveness of any central bank
communication strategy, it is important to know what private agents rely on when they form expectations. We
model monetary policy as an information game in which individuals form their expectations based on all the
information that is available to them (public and private) and are, therefore, subject to the noise that
characterizes that information. Individual agents also know that inflation is ultimately affected both by central
bank policies and by the average expectation formed by all agents. The way individuals interpret these two
components to form their expectations is explained in the context of a higher-order expectations setup and is
central to our argument. We then apply Bacharach's (1993) variable-universe methodology to provide a
framework for assessing everyone’s interpretations. Therefore, our contribution is, first, to describe monetary
policy as an information game in which interpretations matter and, second, to provide a way of solving for these
interpretations. We show that a monetary policy regime that has explicit quantitative objectives may provide
individuals with better anchors for coordinating their expectations. However, that is only true either if no great
shocks are anticipated or if all other public information is very unclear, leaving the inflation target as the only
clear piece of information available. We derive the conditions under which this is true.
JEL Codes: C71, C78, E52.
Transaction Pricing and the Adoption of Electronic Payments: A Cross-Country Comparison by Wilko
Bolt, David Humphrey and Roland Uittenbogaard
Abstract: After safety, the efficiency of a nation's payment system is a primary concern of central banks.
Since electronic payments are typically cheaper than paper-based or cash payments, pricing these transactions
should speed up the shift to electronics. But by how much? Norway explicitly priced point-of-sale and bill-
payment transactions and rapidly shifted to electronic payments, while the Netherlands experienced a similar
shift without pricing. Controlling for terminal availability and differences between countries, direct pricing
accelerated the shift to electronics by about 20 percent. The quid pro quo was the elimination of bank-float
revenues.
JEL Codes: D12, G21.
13
MNB – BIS-tájékoztató 2008. március
Using Securities Market Information for Bank Supervisory Monitoring by John Krainer and Jose A. Lopez
Abstract: U.S. bank supervisors conduct comprehensive inspections of bank holding companies and assign
them a supervisory rating, known as a BOPEC rating prior to 2005, meant to summarize their overall condition.
We develop an empirical model of these BOPEC ratings that combines supervisory and securities market
information. Securities market variables, such as stock returns and bond yield spreads, improve the model's in-
sample fit. Debt market variables provide more information on supervisory ratings for banks closer to default,
while equity market variables provide useful information on ratings for banks further from default. The out-of-
sample accuracy of the model with securities market variables is little different from that of a model based on
supervisory variables alone. However, the model with securities market information identifies additional ratings
downgrades, which are of particular importance to bank supervisors who are concerned with systemic risk and
contagion.
JEL Codes: G14, G21.
Capital Regulation and Banks' Financial Decisions by Haibin Zhu
Abstract: This paper develops a stochastic dynamic model to examine the impact of capital regulation on
banks’ financial decisions. In equilibrium, lending decisions, capital buffer, and the probability of bank failure are
endogenously determined. Compared to a flat-rate capital rule, a risk-sensitive capital standard causes the capital
requirement to be much higher for small (and riskier) banks and much lower for large (and less risky) banks.
Nevertheless, changes in actual capital holdings are less pronounced due to the offsetting effect of capital
buffers. Moreover, the nonbinding capital constraint in equilibrium implies that banks adopt an active portfolio
strategy, and hence the countercyclical movement of risk-based capital requirements does not necessarily lead to
a reinforcement of the credit cycle. In fact, the results from the calibrated model show that the impact on cyclical
lending behavior differs substantially across banks. Lastly, the analysis suggests that the adoption of a more risk-
sensitive capital regime can be welfare improving from a regulator’s perspective, in that it causes less distortion in
loan decisions and achieves a better balance between safety and efficiency.
JEL Codes: G21, G28.
Preference Heterogeneity in Monetary Policy Committees by Alessandro Riboni and Francisco J. Ruge-
Murcia
Abstract: This short paper employs individual voting records of the Monetary Policy Committee (MPC) of
the Bank of England to study heterogeneity in policy preferences among committee members. The analysis is
carried out using a simple generalization of the standard New Keynesian framework that allows members to
differ in the weight they give to output compared with inflation stabilization and in their views regarding optimal
inflation and natural output. Results indicate that, qualitatively, MPC members are fairly homogeneous in their
policy preferences, but there are systematic quantitative differences in their policy reaction functions that are
related to the nature of their membership and career background.
JEL Codes: E4, E5, D7.
6.2. CENTRAL BANK RESEARCH HUB: http://www.bis.org/cbhub/index.htm
It facilitates access to research publications from the community of central banks and international financial
institutions.
6.3. BIS ANNUAL REPORTS
http://www.bis.org/publ/annualreport.htm
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