CNB Research News

Researching the Research: A Central Banking Edition

International Journal of Central Banking, 2024, Vol. 20, No. 1, pp. 263-323.

Retail Fund Flows and Performance: Insights from Supervisory Data

Emerging Markets Review, Vol. 59, pp. 1-20.

A Stress Test Approach to the Calibration of Borrower-Based Measures: A Case Study of the Czech Republic

This paper focuses on the calibration of borrower-based measures using a semi-structural modelling framework and defines two approaches to the setting of these measures. The first approach takes into account the magnitude of losses in the mortgage portfolio and the associated absorption potential of banks, while the second, preferred approach, considers both the benefits of regulation in terms of loss reduction and its costs manifested as foregone profits.

Monetary Policy Has a Long-Lasting Impact on Credit: Evidence from 91 VAR Studies

We synthesized 3,175 estimates (454 impulse responses) of the semi-elasticity of credit with respect to changes in the monetary policy rate from 91 vector autoregression studies. We found that monetary policy tightening consistently yields a negative and long-lasting response in both credit volume and credit growth. Several factors contribute to the substantial heterogeneity of the effect sizes in this literature. 

Easing of Borrower-Based Measures: Evidence from Czech Loan-Level Data

This article examines the impact of relaxed borrower-based limits — LTV, DTI, and DSTI — on mortgage lending in the Czech Republic in 2020. The findings reveal increased borrowing and purchases of more expensive houses by affected households. A rise in borrower debt was balanced by income growth. The effects varied regionally and demographically, with significant differences in behavior among constrained borrowers.

Do Shareholder Activism Announcements Affect Stock Prices? A Meta-Analysis

The authors analyzed 1,973 estimates of stock price reactions to shareholder activism from 67 studies, finding that reactions, adjusted for publication bias, range from 0% to 1.5%. Stronger responses occur in environments with better protection of shareholder rights and in smaller stock markets relative to the economy. Individual investor activism, confrontational tactics, targeting company sales, and successful activism elicit more positive stock price reactions. These results provide insights for regulators in designing an optimal regulatory framework and for researchers in choosing an appropriate research design to measure the impact of shareholder activism.

Uncertain Trends in Economic Policy Uncertainty

The news-based Economic Policy Uncertainty (EPU) indices for Germany, France, and the United Kingdom exhibit unique trends not observed in other European countries or uncertainty indicators. We replicate the EPU index for European nations and show that these trends are sensitive to the arbitrary choice of normalizing raw news counts. Utilizing an alternative normalization method based on economic policy news yields distinct long-term dynamics, showing less pronounced trends and significantly reduced uncertainty during key periods like Brexit and the COVID-19 pandemic. Our results imply that the economic impact of uncertainty during these events may have been overestimated.

The Rise of Artificial Intelligence: Does Humanity Have a Revolutionary Yet Double-edged Weapon?

In today's world, rapid advances in AI bring both promise and challenges. AI, which runs the gamut from basic to advanced models, is reshaping both industries and societies. While offering efficiency and solutions, ethical and security concerns arise. This article focuses not only on the economic perspective, which promises increased work efficiency and productivity, but also mentions the ethical, safety and social issues that the new technology brings.

Central Banks’ Macroeconomic Forecasts: When Two Do the Same Thing, It is Not the Same Thing

This article compares forecasting and analytical tools used by inflation-targeting central banks in monetary policy decisions. Based on a questionnaire distributed to 22 central banks in 2023, responses reveal diverse approaches in forecasting processes and transparency levels. Ownership of forecasts and management involvement vary, impacting internal discussions and external communications. The COVID-19 and energy crises prompt central banks to review their policy frameworks and modeling strategies amid global economic tensions.

The Fading of the Inflation Tsunami: Causes and Outlooks

The early 2020s witnessed a rapid succession of shocks including the COVID-19 pandemic and energy crises, leading to unprecedented price surges. Global supply chain disruptions and volatile energy prices contributed, alongside increased demand for tradables. Generous fiscal and loose monetary policies amplified demand, leading firms to raise prices. This article summarizes factors behind the inflation surge and suggests it may stabilize unless new shocks occur.

Denmark’s Monetary Policy: Permanently Halfway to the Euro?

Denmark is not a member of the euro area and has a negotiated opt-out for the adoption of the euro, nevertheless the Danish krone is firmly tied to the euro by the fixed exchange rate regime. The country is also a long-term member of the ERM II mechanism. This article describes the specificities of the Danish approach to monetary policy and explains that although Denmark has been successfully operating with a fixed exchange rate and the long-term participation in ERM II, its experience is not easily transferable to other countries.