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Bank of England

Bank of England working papers

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Content

2007

320 The real exchange rate and quality improvements
by Karen Dury & Özlem Oomen
319 Too many to fail - an analysis of time-inconsistency in bank closure policies
by Viral Acharya & Tanju Yorulmazer
318 Does Asia's choice of exchange rate regime affect Europe's exposure to US shocks?
by Bojan Markovic & Laura Povoledo

2006

317 Corporate debt and financial balance sheet adjustment: a comparison of the United States, the United Kingdom, France and Germany
by Peter Gibbard & Ibrahim Stevens
316 Financial infrastructure and corporate governance
by Helen Allen & Grigoria Christodoulou & Stephen Millard
315 Do announcements of bank acquisitions in emerging markets create value?
by Farouk Soussa & Tracy Wheeler
314 Consumer credit conditions in the United Kingdom
by Emilio Fernandez-Corugedo & John Muellbauer
313 Bank capital channels in the monetary transmission mechanism
by Bojan Markovic
312 Exchange rate pass-through into UK import prices
by Haroon Mumtaz & Özlem Oomen & Jian Wang
311 The yen real exchange rate may be stationary after all: evidence from non-linear unit root tests
by Georgios Chortareas & George Kapetanios
310 Returns to equity, investment and Q: evidence from the United Kingdom
by Simon Price & Christoph Schleicher
309 Fundamental inflation uncertainty
by Charlotta Groth & Jarkko Jääskelä & Paolo Surico
308 Optimal emerging market fiscal policy when trend output growth is unobserved
by Gregory Thwaites
307 Fiscal rules for debt sustainability in emerging markets: the impact of volatility and default risk
by Adrian Penalver & Gregory Thwaites
306 Consumption excess sensitivity, liquidity constraints and the collateral role of housing
by Andrew Benito & Haroon Mumtaz
305 Bank capital, asset prices and monetary policy
by David Aikman & Matthias Paustian
304 Procyclicality, collateral values and financial stability
by Prasanna Gai & Peter Kondor & Nicholas Vause
303 The danger of inflating expectations of macroeconomic stability: heuristic switching in an overlapping generations monetary model
by Alex Brazier & Richard Harrison & Mervyn King & Tony Yates
302 International and intranational consumption risk sharing: the evidence for the United Kingdom and OECD
by Vincent Labhard & Michael Sawicki
301 The welfare benefits of stable and efficient payment systems
by Stephen Millard & Matthew Willison
300 Elasticities, markups and technical progress: evidence from a state-space approach
by Colin Ellis
299 Optimal discretionary policy in rational expectations models with regime switching
by Richhild Moessner
298 Optimal monetary policy in Markov-switching models with rational expectations agents
by Andrew P Blake & Fabrizio Zampolli
297 Optimal monetary policy in a regime-switching economy: the response to abrupt shifts in exchange rate dynamics
by Fabrizio Zampolli
296 Sterling implications of a US current account reversal
by Morten Spange & Pawel Zabczyk
295 Productivity growth, adjustment costs and variable factor utilisation: the UK case
by Charlotta Groth & Soledad Nuñez & Sylaja Srinivasan
294 How does the down-payment constraint affect the UK housing market?
by Andrew Benito
293 Resolving banking crises - an analysis of policy options
by Misa Tanaka & Glenn Hoggarth
292 Switching costs in the market for personal current accounts: some evidence for the United Kingdom
by Céline Gondat-Larralde & Erlend Nier
291 Affine term structure models for the foreign exchange risk premium
by Luca Benati
290 UK monetary regimes and macroeconomic stylised facts
by Luca Benati
289 Defined benefit company pensions and corporate valuations: simulation and empirical evidence from the United Kingdom
by Kamakshya Trivedi & Garry Young
288 The price puzzle: fact or artefact?
by Efrem Castelnuovo & Paolo Surico
287 Assessing central counterparty margin coverage on futures contracts using GARCH models
by Raymond Knott & Marco Polenghi
286 Modelling the cross-border use of collateral in payment systems
by Mark J Manning & Matthew Willison

2005

285 The New Keynesian Phillips Curve in the United States and the euro area: aggregation bias, stability and robustness
by Bergljot Barkbu & Vincenzo Cassino & Aileen Gosselin-Lotz & Laura Piscitelli
284 Modelling manufacturing inventories
by John D Tsoukalas
283 Measuring investors' risk appetite
by Prasanna Gai & Nicholas Vause
282 Stress tests of UK banks using a VAR approach
by Glenn Hoggarth & Steffen Sorensen & Lea Zicchino
281 Monetary policy and data uncertainty
by Jarkko Jääskelä & Tony Yates
280 A quality-adjusted labour input series for the United Kingdom (1975-2002)
by Venetia Bell & Pablo Burriel-Llombart & Jerry Jones
279 Monetary policy and private sector misperceptions about the natural level of output
by Jarkko Jääskelä & Jack McKeown
278 Misperceptions and monetary policy in a New Keynesian model
by Jarkko Jääskelä & Jack McKeown
277 When is mortgage indebtedness a financial burden to British households? A dynamic probit approach
by Orla May & Merxe Tudela
276 Corporate expenditures and pension contributions: evidence from UK company accounts
by Philip Bunn & Kamakshya Trivedi
275 Wealth and consumption: an assessment of the international evidence
by Vincent Labhard & Gabriel Sterne & Chris Young
274 The substitution of bank for non-bank corporate finance: evidence for the United Kingdom
by Ursel Baumann & Glenn Hoggarth & Darren Pain
273 'Real-world' mortgages, consumption volatility and the low inflation environment
by Sebastian Barnes & Gregory Thwaites
272 What caused the early millennium slowdown? Evidence based on vector autoregressions
by Gert Peersman
271 Consumption, house prices and expectations
by Orazio Attanasio & Laura Blow & Robert Hamilton & Andrew Leicester
270 A model of bank capital, lending and the macroeconomy: Basel I versus Basel II
by Lea Zicchino
269 Accounting for the source of exchange rate movements: new evidence
by Katie Farrant & Gert Peersman
268 Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation
by George Kapetanios & Vincent Labhard & Simon Price
267 Bank loans versus bond finance: implications for sovereign debtors
by Misa Tanaka
266 The determinants of household debt and balance sheets in the United Kingdom
by Merxe Tudela & Garry Young
265 Asset pricing, asymmetric information and rating announcements: does benchmarking on ratings matter?
by Spyros Pagratis
264 Liquidity risk and contagion
by Rodrigo Cifuentes & Gianluigi Ferrucci & Hyun Song Shin
263 The determinants of unsecured borrowing: evidence from the British Household Panel Survey
by Ana Del-Río & Garry Young
262 The impact of unsecured debt on financial distress among British households
by Ana Del-Río & Garry Young
261 Default probabilities and expected recovery: an analysis of emerging market sovereign bonds
by Liz Dixon-Smith & Roman Goossens & Simon Hayes
260 Financial constraints and capacity adjustment in the United Kingdom: evidence from a large panel of survey data
by Ulf von Kalckreuth & Emma Murphy
259 Productivity growth in UK industries, 1970-2000: structural change and the role of ICT
by Nicholas Oulton & Sylaja Srinivasan
258 Estimating UK capital adjustment costs
by Charlotta Groth
257 The role of ICT in the global investment cycle
by Michael McMahon & Gabriel Sterne & Jamie Thompson
256 Comovements in the prices of securities issued by large complex financial institutions
by Christian Hawkesby & Ian W Marsh & Ibrahim Stevens
255 Learning the rules of the new game? Comparing the reactions in financial markets to announcements before and after the Bank of England's operational independence
by Ana Lasaosa
254 On the consumption-real exchange rate anomaly
by Gianluca Benigno & Christoph Thoenissen
253 Decomposing credit spreads
by Rohan Churm & Nikolaos Panigirtzoglou
252 Real-Time Gross Settlement and hybrid payment systems: a comparison
by Matthew Willison
251 The stock market and capital accumulation: an application to UK data
by Demetrios Eliades & Olaf Weeken
250 Asset price based estimates of sterling exchange rate risk premia
by Jan J J Groen & Ravi Balakrishnan
249 Optimal collective action clause thresholds
by Andrew G Haldane & Adrian Penalver & Victoria Saporta & Hyun Song Shin
248 Concepts of equilibrium exchange rates
by Rebecca L Driver & Peter F Westaway
247 The exposure of international bank loans to third-country risk: an empirical analysis of overdue claims
by Drew Dahl & Andrew Logan
246 Competitiveness, inflation, and monetary policy
by Hashmat Khan & Richhild Moessner

2004

245 Horizontal and vertical integration in securities trading and settlement
by Jens Tapking & Jing Yang
244 Long-horizon equity return predictability: some new evidence for the United Kingdom
by Anne Vila Wetherilt & Simon Wells
243 Long-term interest rates, wealth and consumption
by Roy Cromb & Emilio Fernandez-Corugedo
242 Core inflation: a critical guide
by Alan Mankikar & Jo Paisley
241 Anticipation of monetary policy in UK financial markets
by Peter Lildholdt & Anne Vila Wetherilt
240 Price-setting behaviour, competition, and mark-up shocks in the New Keynesian model
by Hashmat Khan
239 From tiny samples do mighty populations grow? Using the British Household Panel Survey to analyse the household sector balance sheet
by Victoria Redwood & Merxe Tudela
238 Estimating time-variation in measurement error from data revisions; an application to forecasting in dynamic models
by George Kapetanios & Tony Yates
237 Forecasting with measurement errors in dynamic models
by Richard Harrison & George Kapetanios & Tony Yates
236 The effects of stock market movements on consumption and investment: does the shock matter?
by Stephen Millard & John Power
235 Rule-based monetary policy under central bank learning
by Kosuke Aoki & Kalin Nikolov
234 Intertemporal substitution and household production in labour supply
by Guillermo Felices & David Tinsley
233 The efficient resolution of capital account crises: how to avoid moral hazard
by Gregor Irwin & David Vines
232 Evolving post-World War II UK economic performance
by Luca Benati
231 Real exchange rate persistence and systematic monetary policy behaviour
by Jan J J Groen & Akito Matsumoto
230 Financial interlinkages in the United Kingdom's interbank market and the risk of contagion
by Simon Wells
229 On the resolution of banking crises: theory and evidence
by Glenn Hoggarth & Jack Reidhill & Peter Sinclair
228 The UK labour force participation rate: business cycle and trend influences
by Mark Schweitzer & David Tinsley
227 The Phillips curve under state-dependent pricing
by Hasan Bakhshi & Hashmat Khan & Barbara Rudolf
226 Corporate capital structure in the United Kingdom: determinants and adjustment
by Philip Bunn & Garry Young
225 Exploring the relationship between credit spreads and default probabilities
by Mark J Manning
224 The informational content of empirical measures of real interest rate and output gaps for the United Kingdom
by Jens D J Larsen & Jack McKeown
223 Real exchange rates and the relative prices of non-traded and traded goods: an empirical analysis
by Jan J J Groen & Clare Lombardelli
222 The roles of expected profitability, Tobin's Q and cash flow in econometric models of company investment
by Stephen Bond & Alexander Klemm & Rain Newton-Smith & Murtaza Syed & Gertjan Vlieghe
221 Female labour force participation in the United Kingdom: evolving characteristics or changing behaviour?
by Maria Guti'rrez-DomSnech & Brian Bell
220 Does job insecurity affect household consumption?
by Andrew Benito
219 Bail out or work out? Theoretical considerations
by Andrew G Haldane & Gregor Irwin & Victoria Saporta
218 Health, disability insurance and labour force participation
by Brian Bell & James Smith
217 International financial rescues and debtor-country moral hazard
by Prasanna Gai & Ashley Taylor
216 IMF lending and creditor moral hazard
by Andrew G Haldane & Jorg Scheibe
215 How can the IMF catalyse private capital flows? A model
by Adrian Penalver
214 An empirical model of household arrears
by John Whitley & Richard Windram & Prudence Cox
213 Investment-specific technological change and growth accounting
by Nicholas Oulton
212 Crisis spillovers in emerging market economies: interlinkages, vulnerabilities and investor behaviour
by Michael Chui & Simon Hall & Ashley Taylor
211 An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps
by Roberto Blanco & Simon Brennan & Ian W Marsh

2003

210 Company accounts based modelling of business failures and the implications for financial stability
by Philip Bunn & Victoria Redwood
209 Settlement bank behaviour and throughput rules in an RTGS payment system with collateralised intraday credit
by Simon Buckle & Erin Campbell
208 A matching model of non-employment and wage pressure
by Andrew Brigden & Jonathan Thomas
207 A quantitative framework for commercial property and its relationship to the analysis of the financial stability of the corporate sector
by John Whitley & Richard Windram
206 The rise in US household debt: assessing its causes and sustainability
by Sebastian Barnes & Garry Young
205 Empirical determinants of emerging market economies' sovereign bond spreads
by Gianluigi Ferrucci
204 The dynamics of consumers' expenditure: the UK consumption ECM redux
by Emilio Fernandez-Corugedo & Simon Price & Andrew Blake
203 Analytics of sovereign debt restructuring
by Andrew G Haldane & Adrian Penalver & Victoria Saporta & Hyun Song Shin
202 Credit spreads on sterling corporate bonds and the term structure of UK interest rates
by Jeremy Leake
201 Debt maturity structure with pre-emptive creditors
by Prasanna Gai & Hyun Song Shin
200 Estimating real interest rates for the United Kingdom
by Jens Larsen & Ben May & James Talbot
199 Credit risk diversification: evidence from the eurobond market
by Simone Varotto
198 Non-interest income and total income stability
by Rosie Smith & Christos Staikouras & Geoffrey Wood
197 E-barter versus fiat money: will central banks survive?
by F H Capie & Dimitrios P Tsomocos & Geoffrey E Wood
196 UK business investment: long-run elasticities and short-run dynamics
by Colin Ellis & Simon Price
195 Forecasting inflation using labour market indicators
by Vincenzo Cassino & Michael Joyce
194 A Merton-model approach to assessing the default risk of UK public companies
by Merxe Tudela & Garry Young
193 Implicit interest rates and corporate balance sheets: an analysis using aggregate and disaggregated UK data
by Andrew Benito & John Whitley
192 Capital stocks, capital services, and depreciation: an integrated framework
by Nicholas Oulton & Sylaja Srinivasan
191 Endogenous price stickiness, trend inflation, and the New Keynesian Phillips curve
by Hasan Bakhshi & Pablo Burriel-Llombart & Hashmat Khan & Barbara Rudolf
190 What caused the 2000/01 slowdown? Results from a VAR analysis of G7 GDP components
by Vincent Labhard
189 Modelling investment when relative prices are trending: theory and evidence for the United Kingdom
by Hasan Bakhshi & Nicholas Oulton & Jamie Thompson
188 The role of asset prices in transmitting monetary and other shocks
by Stephen P Millard & Simon J Wells
187 Sovereign debt workouts with the IMF as delegated monitor - a common agency approach
by Prasanna Gai & Nicholas Vause
186 Ready, willing, and able? Measuring labour availability in the UK
by Mark E Schweitzer
185 What does economic theory tell us about labour market tightness?
by Andrew Brigden & Jonathan Thomas
184 The effect of payments standstills on yields and the maturity structure of international debt
by Benjamin Martin & Adrian Penalver
183 Capital flows to emerging markets
by Adrian Penalver
182 Import prices and exchange rate pass-through: theory and evidence from the United Kingdom
by Valerie Herzberg & George Kapetanios & Simon Price
181 Procyclicality and the new Basel Accord - banks' choice of loan rating system
by Eva Catarineu-Rabell & Patricia Jackson & Dimitrios P Tsomocos
180 The role of expectations in estimates of the NAIRU in the United States and the United Kingdom
by Rebecca L Driver & Jennifer V Greenslade & Richard G Pierse
179 A Kalman filter approach to estimating the UK NAIRU
by Jennifer V Greenslade & Richard G Pierse & Jumana Saleheen
178 The impact of price competitiveness on UK producer price behaviour
by Colin Ellis & Simon Price
177 The provisioning experience of the major UK banks: a small panel investigation
by Darren Pain
176 Rational expectations and fixed-event forecasts: an application to UK inflation
by Hasan Bakhshi & George Kapetanios & Anthony Yates
175 Equilibrium analysis, banking, contagion and financial fragility
by Dimitrios P Tsomocos
174 Money market operations and volatility of UK money market rates
by Anne Vila Wetherilt
173 Current accounts, net foreign assets and the implications of cyclical factors
by Matthieu Bussiere & Georgios Chortareas & Rebecca L Driver
172 Public demand for low inflation
by Kenneth Scheve

2002

171 Leading indicators of balance-of-payments crises: a partial review
by Michael Chui
170 Base rate pass-through: evidence from banks' and building societies' retail rates
by Paul Mizen & Boris Hofmann
169 House prices, consumption, and monetary policy: a financial accelerator approach
by Kosuke Aoki & James Proudman & Gertjan Vlieghe
168 Financial pressure and balance sheet adjustment by UK firms
by Andrew Benito & Garry Young
167 The role of short-run inflation targets and forecasts in disinflation
by Lavan Mahadeva & Gabriel Sterne
166 The role of corporate balance sheets and bank lending policies in a financial accelerator framework
by Simon Hall & Anne Vila Wetherilt
165 Committees versus individuals: an experimental analysis of monetary policy decision-making
by Clare Lombardelli & James Proudman & James Talbot
164 Understanding UK inflation: the role of openness
by Ravi Balakrishnan & J David Lopez-Salido
163 Productivity versus welfare: or, GDP versus Weitzman's NDP
by Nicholas Oulton
162 Factor utilisation and productivity estimates for the United Kingdom
by Jens Larsen & Katharine Neiss & Fergal Shortall
161 Regulatory and 'economic' solvency standards for internationally active banks
by Patricia Jackson & William Perraudin & Victoria Saporta
160 On gross worker flows in the United Kingdom: evidence from the Labour Force Survey
by Brian Bell & James Smith
159 The implications of an ageing population for the UK economy
by Garry Young
158 Soft liquidity constraints and precautionary saving
by Emilio Fernandez-Corugedo
157 Financial liberalisation and consumers' expenditure: 'FLIB' re-examined
by Emilio Fernandez-Corugedo & Simon Price
156 Equilibrium exchange rates and supply-side performance
by Gianluca Benigno & Christoph Thoenissen
155 Monetary policy and stagflation in the UK
by Edward Nelson & Kalin Nikolov
154 A monetary model of factor utilisation
by Katharine S Neiss & Evi Pappa
153 Do changes in structural factors explain movements in the equilibrium rate of unemployment?
by Vincenzo Cassino & Richard Thornton
152 How uncertain are the welfare costs of inflation?
by Hasan Bakhshi & Ben Martin & Tony Yates

2001

151 Other financial corporations: Cinderella or ugly sister of empirical monetary economics?
by K Alec Chrystal & Paul Mizen
150 Financial accelerator effects in UK business cycles
by Simon Hall
149 Monetary policy rules for an open economy
by Nicoletta Batini & Richard Harrison & Stephen P Millard
148 UK inflation in the 1970s and 1980s: the role of output gap mismeasurement
by Edward Nelson & Kalin Nikolov
147 Hard Times or Great Expectations?: Dividend omissions and dividend cuts by UK firms
by Andrew Benito & Garry Young
146 Indicators of fragility in the UK corporate sector
by Gertjan W. Vlieghe
145 Skill imbalances in the UK labour market: 1979-99
by Pablo Burriel-Llombart & Jonathan Thomas
144 Costs of banking system instability: some empirical evidence
by Glenn Hoggarth & Ricardo Reis & Victoria Saporta
143 Does it pay to be transparent? International evidence from central bank forecasts
by Georgios Chortareas & David Stasavage & Gabriel Sterne
142 Band-pass filtering, cointegration, and business cycle analysis
by Luca Benati
141 The fallacy of the fiscal theory of the price level, again
by Willem H. Buiter
140 ICT and productivity growth in the United Kingdom
by Nicholas Oulton
139 The United Kingdom's small banks' crisis of the early 1990s: what were the leading indicators of failure?
by Andrew Logan
138 PPP and the real exchange rate-real interest rate differential puzzle revisited: evidence from non-stationary panel data
by Georgios E. Chortareas & Rebecca L. Driver
137 Leading indicator information in UK equity prices: an assessment of economic tracking portfolios
by Simon Hayes
136 Crisis costs and debtor discipline: the efficacy of public policy in sovereign debt crises
by Prasanna Gai & Simon Hayes & Hyun Song Shin
135 Hybrid inflation and price level targeting
by Nicoletta Batini & Anthony Yates
134 Consumption, money and lending: a joint model for the UK household sector
by K Alec Chrystal & Paul Mizen
133 Stability of ratings transitions
by Pamela Nickell & William Perraudin & Simone Varotto
132 Ratings versus equity-based credit risk modelling: an empirical analysis
by Pamela Nickell & William Perraudin & Simone Varotto
131 The structure of credit risk: spread volatility and ratings transitions
by Rudiger Kiesel & William Perraudin & Alex Taylor
130 The real interest rate gap as an inflation indicator
by Katharine S. Neiss & Edward Nelson
129 Investment-specific technological progress in the United Kingdom
by Hasan Bakhshi & Jens Larsen
128 'Oscillate Wildly': asymmetries and persistence in company-level profitability
by Andrew Benito
127 Sticky prices and volatile output
by Martin Ellison & Andrew Scott
126 New estimates of the UK real and nominal yield curves
by Nicola Anderson & John Sleath
125 Assessing the impact of macroeconomic news announcements on securities prices under different monetary policy regimes
by Andrew Clare & Roger Courtenay

2000

124 Age structure and the UK unemployment rate
by Richard Barwell
123 An analysis of the relationship between international bond markets
by Andrew Clare & Ilias Lekkos

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