Messages
7/26/2024
13 : 14
What caused the LDI crisis?
Gabor Pinter, Emil Siriwardane and Danny Walker In September 2022 the interest rate on UK gilts rose by over 100 basis points in four days. These unprecedent market movements are generally attributed
7/17/2024
8 : 4
Futures under stress: how did gilt futures behave in the LDI crisis?
Joel Mundy and Matt Roberts-Sklar When markets are volatile, liquidity tends to worsen. This makes it harder to intermediate buyers and sellers. We saw this during the 2022 liability-driven investment
7/12/2024
13 : 4
Forecast accuracy and efficiency at the Bank of England – and how forecast errors can be leveraged to do better
Derrick Kanngiesser and Tim Willems This post describes a systematic way for central banks to employ past forecasts (and associated errors) with the aim of learning more about the structure and
7/11/2024
8 : 4
Using sectoral data to estimate the trend in aggregate wage growth
Tomas Key Nominal wage growth has increased markedly in the UK in recent years, reaching levels that haven't been seen for more than 20 years. Although growth has moderated a little in recent
7/11/2024
6 : 24
‘No one length fits all’ – haircuts in the repo market
Miruna-Daniela Ivan, Joshua Lillis, Eduardo Maqui and Carlos Cañon Salazar Funding markets are crucial for healthy and active financial institutions, and consequently for everyone in the economy. The
5/23/2024
8 : 4
Selling England (no longer) by the pound: currency-mismatches and the dollarisation of UK exports
Marco Garofalo, Giovanni Rosso and Roger Vicquery Most international trade is denominated in dominant currencies such as the US dollar. What explains the adoption of dominant currency pricing and what
5/22/2024
8 : 4
The link between mortgage debt servicing burdens and arrears: is there a critical threshold?
Nuri Khayal and Jonathan Loke Many households in the UK have seen their mortgage payments go up since mortgage rates started to increase in 2022. In the current environment of higher rates, the
5/17/2024
13 : 14
Leveraging language models for prudential supervision
Adam Muhtar and Dragos Gorduza Imagine a world where machines can assist humans in navigating across complex financial rules. What was once far-fetched is rapidly becoming reality, particularly with
5/17/2024
12 : 54
Leverage finds a way: a comparison of US Treasury basis trading and the LDI event
Adam Brinley Codd, Daniel Krause, Pierre Ortlieb and Alex Briers We both drive cars, but the US drives on the right while the UK drives on the left. We both walk, but we do so on sidewalks in the US
4/24/2024
8 : 4
Quantifying the macroeconomic impact of geopolitical risk
Julian Reynolds Policymakers and market participants consistently cite geopolitical developments as a key risk to the global economy and financial system. But how can one quantify the potential
4/18/2024
8 : 4
Three facts about the rising number of UK business exits
Jelle Barkema, Maren Froemel and Sophie Piton Record-high firm exits make headlines, but who are the firms going out of business? This post documents three facts about the rising number of corporations
4/13/2024
8 : 24
To the lower bound and back: measuring UK monetary conditions
Natalie Burr, Julian Reynolds and Mike Joyce Monetary policymakers have a number of tools they can use to influence monetary conditions, in order to maintain price stability. While central banks
4/4/2024
8 : 4
The transmission channels of geopolitical risk
Samuel Smith and Marco Pinchetti Recent events in the Middle East, as well as Russia's invasion of Ukraine, have sparked renewed interest in the consequences of geopolitical tensions for global
4/3/2024
8 : 4
Flow of funds and the UK real economy
Laura Achiro, Gerry Gunner and Neha Bora A flow of funds framework is a way of understanding and tracking the movement of financial assets between different sectors of the economy. This blog
3/28/2024
9 : 4
Markup matters: monetary policy works through aspirations
Tim Willems and Rick van der Ploeg Since the post-Covid rise in inflation has been accompanied by strong wage growth, interactions between wage and price-setters, each wishing to attain a certain
3/27/2024
9 : 4
Another reason to care about investment taxes
Alex Kontoghiorghes Do lower taxes lead to higher stock prices? Do companies consider tax rates when deciding on their dividend pay-outs and whether to issue new capital? If you're thinking '
3/12/2024
9 : 4
New money, old money
David Rule and Iain de Weymarn Technologies such as distributed ledgers create the possibility of new forms of digital money, whether privately-issued 'stable coins', tokenised commercial bank
3/6/2024
9 : 4
How resilient are UK corporate bond issuers to refinancing risks?
Laura Achiro and Neha Bora Central banks in most advanced economies have tightened monetary policy by raising interest rates. Tighter financing conditions may make it harder for some businesses to
2/28/2024
9 : 4
Cash stuffing versus girl maths: how do people budget in a digital world?
BankUnderground posted: " Zahra Damji and Eleanor Hammerton The best purchases in life are free. How's that possible, you ask? Well, pay with cash of course! The idea that anything bought with
2/22/2024
9 : 4
Forecasting UK inflation in the presence of large global shocks
BankUnderground posted: " Dario Bonciani and Johannes Fischer The UK economy has been hit by significant terms-of-trade shocks, most notably the rise in energy prices following the Russian