Spillovers
BoE paper finds fault with empirical methods for studying contagion
Review of spillover and contagion literature finds methods plagued by bias and heteroskedasticity, concluding no single technique is flawless, but some offer a partial solution
BIS paper digs into complex spillovers from US rates
Authors find short-run US rates have little impact on long-term rates elsewhere, but transmission at longer maturities and via bond markets is high
Sarb deputy sees tail risks from Brexit but expects storm to calm
Daniel Mminele sees tail risk coming from asset liquidation by UK corporates and investment funds, but if clear communication is given, the ‘storm is likely to calm’