Banks' living wills involve both recovery and resolution. Since it may not always be clear when recovery plans or actions should be triggered, there is a role for an objective metric to trigger recovery. We outline how such a metric could be constructed meeting criteria of (i) adequate loss...

 

The recent crisis underlined that proper estimation of distress-dependence amongst banks in a global system is essential for financial stability assessment. We present a set of banking stability measures embedding banks’ linear (correlation) and nonlinear distress-dependence, and their changes...

This paper assesses the linkages between money, credit, house prices and economic activity in industrialised countries over the last three decades. The analysis is based on a fixed-effects panel VAR estimated using quarterly data for 17 industrialized countries spanning the period 1970-2006. The...

This paper analyses the role of financial variables in the conduct of monetary policy. In the baseline model for the analysis of interest rules, the inflation rate depends on the output gap, which is solely determined by its own lags and the lagged short-term real interest rate. However, from a...

This paper assesses the linkages between money, credit, house prices and economic activity in industrialised countries over the last three decades. The analysis is based on a fixed-effects panel VAR estimated using quarterly data for 17 industrialized countries spanning the period 1970-2006. The...

In this paper we assess the performance of the New Keynesian IS Curve for the G7 countries. We find that there is an IS puzzle for both the purely backwardlooking as well as for the forward-looking IS curve. The real interest rate does not have a significantly negative effect on the output gap....

A Monetary Conditions Index (MCI), a weighted average of the short-term real interest rate and the real exchange rate, is a commonly used indicator of aggregate demand conditions. In-sample evidence for the US, the euro area, Japan and the UK suggests that a Financial Conditions Index (FCI),...

The experience of historical episodes of financial crises in the late 19th and early 20th century, and also more recent episodes of boom and bust cycles in credit markets suggest that the build up of financial imbalances is reflected in asset prices, especially property prices, rather than in...