Asset Purchase Facility: Gilt Sales – Market Notice 20 December 2024
This Market Notice sets out the schedule for sales in Q1 2025 of gilts held in the Asset Purchase Facility (APF) for monetary policy purposes.
Financial institutions
FEDS Paper: Measuring the Euro Area Output Gap
Matteo Barigozzi, Claudio Lissona, and Matteo LucianiWe measure the Euro Area (EA) output gap and potential output using a non-stationary dynamic factor model estimated on a large dataset of macroeconomic and financial variables. From 2012 to 2023, we estimate that the EA economy was tighter than the European Commission and the International Monetary Fund estimate, suggesting that the slow EA growth is the result of a potential output issue, not a business cycle issue.
FEDS Paper: Hidden Risk
Daniel Barth, Phillip J. Monin, Emil Siriwardane, and Adi SunderamSince 2013, large U.S. hedge fund advisers have been required to report risk exposures in their regulatory filings. Using these data, we first establish that managers’ perceptions of risk contain useful information that is not embedded in fund returns.
FEDS Paper: Life-Cycle Portfolio Choices and Heterogeneous Stock Market Expectations
Mateo Velásquez-GiraldoSurvey measurements of households' expectations about U.S. equity returns show substantial heterogeneity and large departures from the historical distribution of actual returns. The average household perceives a lower probability of positive returns and a greater probability of extreme returns than history has exhibited. I build a life-cycle model of saving and portfolio choices that incorporates beliefs estimated to match these survey measurements of expectations.
FEDS Paper: A Market Interpretation of Treatment Effects
Robert Minton and Casey B. MulliganMarkets, likened to an invisible hand, often appear to contradict econometric assumptions that rule out spillovers of one person’s treatment on another’s outcomes. This paper provides a simple statistical framework highlighting that controls are indirectly affected by the treatment through the market. Further, the effect of the treatment on the treated reveals only part of the consequence for the treated of treating the entire market.
FEDS Paper: Measured Inflation and the New-Keynesian Model
Lawrence J. Christiano, Martin Eichenbaum, and Benjamin K. JohannsenResearchers typically compare inflation in the new Keynesian (NK) model to published inflation measures constructed from indices like the CPI. Inflation in the standard NK model without price indexation is bounded above. The model analogue of fixed-weight inflation measures, like the CPI, is not.
Minutes of the UK Money Markets Code Sub-Committee – November 2024
The Money Markets Committee is a forum for market participants and authorities to discuss the UK unsecured deposits and funding market and securities lending and repo markets.
FEDS Paper: The Fed's Discount Window in "Normal" Times (Revised)
Huberto M. Ennis and Elizabeth KleeWe study transaction-level data of bank borrowings at the Federal Reserve’s discount window from 2010 to 2019. We merge these data with quarterly information on bank balance sheets and income statements. To aid in the interpretation of our empirical analysis, we also develop a detailed model of the decision of banks to borrow from various sources, including the discount window.
Payment systems Memorandum of Understanding
Bank of England, FCA, PRA and PSR conduct 2024 review of Memorandum of Understanding for payment systems in the UK
The Bank of England welcomes API Panel of Expert recommendations to enhance cross-border payments
The Bank of England welcomes the October 2024 publication of Promoting the harmonisation of application programming interfaces to enhance cross-border payments: recommendations and toolkit.
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