CNB Research News

Learning and Cross-Country Correlations in a Multi-Country DSGE Model

Economic Modelling, 2023, Vol. 120, pp. 1–18

Macroprudential Policy in Central Banks: Integrated or Separate? Survey Among Academics and Central Bankers

Journal of Financial Stability, 2023, Vol. 65, pp. 1–13

Cooling the Mortgage Loan Market: The Effect of Borrower-Based Limits on New Mortgage Lending

Journal of International Money and Finance, 2023, Vol. 132, pp. 1–26

Monetary Policy Spillover to Small Open Economies: Is the Transmission Different Under Low Interest Rates?

Journal of Financial Stability, 2023, Vol. 65, pp. 1–14

Confidence Cycles and Liquidity Hoarding

International Journal of Central Banking, 2022, Vol. 18(3), pp. 281–320

Macroprudential Policy and Income Inequality: The Trade-off Between Crisis Prevention and Credit Redistribution

We estimate the impact of macroprudential policy on income inequality using a broad panel of 105 countries. The empirical results show that macroprudential policy can affect income inequality in both directions, with the direction of effect depending on the type of tool used and the wider macrofinancial conditions. The results suggest that timely implementation of macroprudential policy can contribute to a more even distribution of income in society, thanks to the increased resilience of the financial sector to financial crises.

The Application of Multiple-Output Quantile Regression on the US Financial Cycle

The paper demonstrates the benefits of multiple-output quantile regression for macroeconomic analysis. The domestic financial cycle, which is characterized by the co-movement of credit and property prices, is a natural subject of such methodology. The analysis finds that the crucial indicators include the banking sector’s exposure to household credit, household leverage, house price misalignment and financial market volatility. This contrasts with the negligible role of real-economy factors.

Finding the Optimal Currency Composition of Foreign Exchange Reserves with a Quantum Computer

In this paper, we focus on applications of quantum algorithms to dynamic portfolio optimization based on the Markowitz model. In particular, we compare algorithms for universal gate-based quantum computers (the QAOA, the VQE and Grover adaptive search), single-purpose quantum annealers, the classical exact branch and bound solver and classical heuristic algorithms (simulated annealing and genetic optimization). We demonstrate portfolio optimization on finding the optimal currency composition of the CNB’s FX reserves.

Regional Sentiment of Central European Currencies in the Global Context

This article focuses on the factors influencing exchange rate movements and shows that they are not only related to macroeconomic fundamentals, but also to changes in global investor sentiment and confidence in the region, especially in times of financial market uncertainty and the flight to safe assets.

At the Crossroads of Change: The 5G Digital Economy as a Gateway to the Future

This article examines the roll-out of fifth-generation (5G) technology, which has huge transformation potential due to the possible digitisation of the economy, especially as the modern world is hugely dependent on technology and data communications.

Do the Breadth and Intensity of the Tightening of Monetary Conditions Affect their Impact on the Global Economy?

This article examines the potential spillover effects of one of the most broad-based and rapid episodes of the tightening of global monetary conditions in history, which occurred in 2022 and 2021. In the article, the authors focus on the exchange rate channel, which is zero-sum in global terms, and the limited transmission speed. They also examine the resulting challenges for central banks.

Relationship Between the MREL and Macroprudential Capital Buffers

This article studies the impacts of the minimum requirement for own funds and eligible liabilities (MREL) on the effectiveness of macroprudential capital regulation of the banking sector. It examines the MREL's effect on the usability of banks' capital buffers and any capital surplus for absorbing losses and lending to the economy in various economic scenarios. The article concludes that the introduction of the MREL may cause usability to decrease, especially during long adverse economic episodes in banks that use internal models to manage credit risk.

Monetary Policy in the Midst of War: The Case of Ukraine

Ukraine has been plagued by war for over a year. Given the situation, most attention is understandably focused on matters other than monetary policy. That said, the central bank is playing a major role in ensuring at least the basic functioning of society and the economy in wartime conditions. This article first summarises the monetary policy regime operated by the National Bank of Ukraine (NBU) before the war. It then looks at the approach taken by the NBU since the war broke out in February last year.