G15 - International Financial Markets

• News-Driven International Credit Cycles

  Staff Working Paper 2021-66 Galip Kemal Ozhan

  This paper examines the implications of positive news about future asset values that turn out to be incorrect at a later date in an open economy model with banking. The model captures the patterns of bank credit and current account dynamics in Spain between 2000 and 2010. The model finds that the use of unconventional policies leads to a milder bust.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Economic models, Financial stability, Recent economic and financial developments, Sectoral balance sheet JEL Code(s): E, E4, E44, F, F3, F32, F4, F41, G, G1, G15, G2, G21

• Foreign Exchange Fixings and Returns Around the Clock

  Staff Working Paper 2021-48 Ingomar Krohn, Philippe Mueller, Paul Whelan

  We document a new empirical finding in the foreign exchange market: currency returns show systematic reversals around the benchmark fixings. Specifically, the US dollar, on average, appreciates in the hours before fixes and depreciates after fixes.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): F, F3, F31, G, G1, G15

• BoC–BoE Sovereign Default Database: What’s new in 2021?

  Staff Analytical Note 2021-15 David Beers, Elliot Jones, Zacharie Quiviger, John Walsh

  The BoC–BoE database of sovereign debt defaults, published and updated annually by the Bank of Canada and the Bank of England, provides comprehensive estimates of stocks of government obligations in default.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Debt management, Development economics, Financial stability, International financial markets JEL Code(s): F, F3, F34, G, G1, G10, G14, G15