Data
News impacts stock prices through more than transient sentiment, paper finds
Working paper uses textual processing to examine more than 900,000 news stories; negative stories have a longer and more delayed reaction, authors find
Central Bank of Ireland to form analytical teams to improve ‘data architecture’
Governor Philip Lane encourages regulators to “embrace” technological advances, while stressing the balance between innovation and consumer protection
BoJ economists shed light on quality-price dynamics
Study of large database of prices shows how firms take advantage of new product launches to raise prices partly due to higher quality and partly to maintain profits
ECB paper considers impact of loss in collateral value
Research examines how a loss in value will impact the wider economy by studying the effects of a legal reform in Sweden in 2004; sees potential for ‘negative consequences’
BIS’s Tissot says micro data can plug macro gaps
Data is abundant in many areas, but making micro data work with macro is still proving tricky for statisticians, says BIS head of statistics
Mester favours ‘error band’ around FOMC projections
Cleveland Fed president Loretta Mester would like to some kind of “error band” introduced around FOMC projections, to reflect the uncertainty the committee is grappling with
German supervisors need more granular data – IMF staff
Staff say concerns about a housing bubble “look premature” but better data would help the authorities be prepared for imbalances; urge faster progress on structural reforms
US data can help nowcast Canadian growth, paper finds
Working paper published by Fed board introduces US data into dynamic factor model used for nowcasting the quarterly real GDP growth rate
Aussie dollar drops as RBA cuts inflation outlook
Reserve Bank of Australia cuts forecasts for headline and underlying inflation; lowered its key rate by 25bp to 1.75% earlier this week
Bean welcomes bid to increase ONS access to public data
Reforming the legal framework will improve ONS access to administrative data, former BoE deputy says, adding the ONS must be more proactive in acquiring and producing data
Cross-border banking contraction broadens – BIS statistics
Latest cross-border banking statistics show drop in cross-border claims spread in Q4 2015 from emerging markets to broader regions; China sees particularly large drops in lending
Fed liftoff pushed some rates down – Riksbank paper
Researchers find hike in policy rate lowered average interest rates on subprime lending, and narrowed spreads with the less risky section of the market, using novel "scraped" data set
MAS director hails work on natural catastrophe data
Bernard Wee introduces Natural Catastrophe Data Analytics Exchange, aimed at remedying “gappy” expertise in the region
Research digs into disagreement about inflation expectations
Paper published by Reserve Bank of Australia examines how the disagreement within stakeholder groups about inflation expectations has evolved
IMF working paper sees regulation as key driver of decline in foreign lending
Research contends regulatory tightening is behind much of the ‘sluggishness’ in international banking since the crisis; exploits survey data compiled in preparation for GFSR
BoE searches for better data on macro-financial links
As part of efforts to crack the UK’s productivity puzzle, the BoE plans improved data-gathering, seeking insight into the impact of capital accumulation and access to finance
Policy-makers could use fraud patterns as economic indicator – paper
Positive relationship exists between bank fraud and the macroeconomy, Chicago Fed risk specialist finds, suggesting fraud could offer an early warning sign of crisis
Sweden’s Riksbank has mixed forecasting performance, report finds
Riksbank “relatively good” at projecting growth and unemployment, but less so when it comes to the policy rate; this is “notable” and not “particularly satisfactory”, report notes
Inflation and unemployment affect wage rigidity, Icelandic authors find
Research challenges New Keynesian assumption that timings of wage changes are exogenous, showing level of inflation and unemployment also matter
Charlie Bean calls for ‘culture changes’ at ONS in final statistics report
ONS should set up two centres to better measure economic activity, Bean says; using these centres will allow the ONS to fully ‘capture’ the digital economy
BIS paper finds forecasters put too much faith in private information
‘Noisy information model’ of inflation forecasting implies forecasters put inefficient weightings on private information to differentiate themselves
BIS stats show further retreat in global banking flows
Falling claims on China drive bulk of overall reduction in cross-border claims, but pace of decline slows compared with previous quarter
Debelle highlights ‘rich potential’ in regulatory data
Regulatory reporting is still in its infancy, but already useful trends are starting to emerge, the RBA assistant governor says
Modern central banks need big data strategy, Riksbank economists say
Central banks need to adapt to growing data volumes, but the organisational changes required could help departments work together more closely, economists say