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Bank of England working papers

From Bank of England
Bank of England, Threadneedle Street, London, EC2R 8AH.
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0703: A tiger by the tail: estimating the UK mortgage market vulnerabilities from loan-level data Downloads
Chiranjit Chakraborty, Mariana Gimpelewicz and Arzu Uluc
0702: Monetary and macroprudential policies under rules and discretion Downloads
Lien Laureys and Roland Meeks
0701: Demographic trends and the real interest rate Downloads
Noëmie Lisack, Rana Sajedi and Gregory Thwaites
0700: Volatility in equity markets and monetary policy rate uncertainty Downloads
Iryna Kaminska and Matt Roberts-Sklar
0699: A UK financial conditions index using targeted data reduction: forecasting and structural identification Downloads
George Kapetanios, Simon Price and Garry Young
0698: Liquidity holdings, diversification, and aggregate shocks Downloads
Matthieu Chavaz
0697: A financial stress index for the United Kingdom Downloads
Somnath Chatterjee, Ching-Wai (Jeremy) Chiu, Sinem Hacioglu-Hoke and Thibaut Duprey
0696: An interdisciplinary model for macroeconomics Downloads
Andrew Haldane and Arthur Turrell
0695: The impact of uncertainty shocks in the United Kingdom Downloads
Chris Redl
0694: Alternative finance and credit sector reforms: the case of China Downloads
Noëmie Lisack
0693: Financial shocks, credit spreads and the international credit channel Downloads
Ambrogio Cesa Bianchi and Andrej Sokol
0692: Do macro shocks matter for equities? Downloads
Will Dison and Konstantinos Theodoridis
0691: The Bank of England as lender of last resort: new historical evidence from daily transactional data Downloads
Mike Anson, David Bholat, Miao Kang and Ryland Thomas
0690: The leverage ratio and liquidity in the gilt and repo markets Downloads
Andreea Bicu-Lieb, Louisa Chen and David Elliott
0689: Spatial models of heterogeneous switching costs Downloads
Paolo Siciliani and Walter Beckert
0688: Sending firm messages: text mining letters from PRA supervisors to banks and building societies they regulate Downloads
David Bholat, James Brookes, Chris Cai, Katy Grundy and Jakob Lund
0687: The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets Downloads
Joseph Noss, Lucas Pedace, Ondrej Tobek, Oliver Linton and Liam Crowley-Reidy
0686: Staff Working Paper No. 686: Eight centuries of the risk-free rate: bond market reversals from the Venetians to the ‘VaR shock’ Downloads
Paul Schmelzing
0685: Investor behaviour and reaching for yield: evidence from the sterling corporate bond market Downloads
Robert Czech and Matt Roberts-Sklar
0684: Cross-border effects of regulatory spillovers: evidence from Mexico Downloads
Jagdish Tripathy
0683: Common correlated effect cross-sectional dependence corrections for non-linear conditional mean panel models Downloads
Sinem Hacioglu Hoke and George Kapetanios
0682: The international transmission of monetary policy through financial centres: evidence from the United Kingdom and Hong Kong Downloads
Robert Hills, Kelvin Ho, Dennis Reinhardt, Rhiannon Sowerbutts, Eric Wong and Gabriel Wu
0681: Solvency and wholesale funding cost interactions at UK banks Downloads
Kieran Dent, Sinem Hacioglu Hoke and Apostolos Panagiotopoulos
0680: International credit supply shocks Downloads
Ambrogio Cesa-Bianchi, Andrea Ferrero and Alessandro Rebucci
0679: Home values and firm behaviour Downloads
Saleem Bahaj, Angus Foulis and Gabor Pinter
0678: Optimal quantitative easing Downloads
Richard Harrison
0677: A time varying parameter structural model of the UK economy Downloads
Katerina Petrova, George Kapetanios, Riccardo M. Masolo and Matt Waldron
0676: The impact of de-tiering in the United Kingdom’s large-value payment system Downloads
Evangelos Benos, Gerardo Ferrara and Pedro Gurrola-Perez
0675: Competition and prudential regulation Downloads
Paul Fisher and Paul Grout
0674: Machine learning at central banks Downloads
Chiranjit Chakraborty and Andreas Joseph
0673: Borderline: judging the adequacy of return distribution estimation techniques in initial margin models Downloads
Melanie Houllier and David Murphy
0672: Central bank information and the effects of monetary shocks Downloads
Paul Hubert
0671: Bank capital and risk-taking: evidence from misconduct provisions Downloads
Belinda Tracey, Christian Schnittker and Rhiannon Sowerbutts
0670: The economics of distributed ledger technology for securities settlement Downloads
Evangelos Benos, Rodney Garratt and Pedro Gurrola-Perez
0669: Central counterparty auction design Downloads
Gerardo Ferrara and Xin Li
0668: An exorbitant privilege in the first age of international financial integration Downloads
Carlos Eduardo van Hombeeck
0667: Matching efficiency and labour market heterogeneity in the United Kingdom Downloads
Carlo Pizzinelli and Bradley Speigner
0666: Step away from the zero lower bound: small open economies in a world of secular stagnation Downloads
Giancarlo Corsetti, Eleonora Mavroeidi, Gregory Thwaites and Martin Wolf
0665: Staff Working Paper No. 665: Dealer intermediation, market liquidity and the impact of regulatory reform Downloads
Yuliya Baranova, Zijun Liu and Tamarah Shakir
0664: The impact of Solvency II regulations on life insurers’ investment behaviour Downloads
Graeme Douglas, Joseph Noss and Nicholas Vause
0663: The economic cost of capital: a VECM approach for estimating and testing the banking sector's response to changes in capital ratios Downloads
Sebastian De-Ramon and Michael Straughan
0662: The decline of solvency contagion risk Downloads
Marco Bardoscia, Paolo Barucca, Adam Brinley Codd and John Hill
0661: Labour market adjustment in Europe during the crisis: microeconomic evidence from the Wage Dynamics Network survey Downloads
Mario Izquierdo, Juan F Jimeno, Theodora Kosma, Ana Lamo, Stephen Millard, Tairi Room and Eliana Viviano
0660: Forecasting multidimensional tail risk at short and long horizons Downloads
Arnold Polanski and Evarist Stoja
0659: Down in the slumps: the role of credit in five decades of recessions Downloads
Jonathan Bridges, Christopher Jackson and Daisy McGregor
0658: The determinants of UK credit union failure Downloads
Jamie Coen, William Francis and May Rostom
0657: The transmission of monetary policy shocks Downloads
Silvia Miranda-Agrippino and Giovanni Ricco
0656: The role of foreign banks in trade Downloads
Stijn Claessens, Omar Hassib and Neeltje Van Horen
0655: Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies Downloads
Emmanouil Karimalis, Ioannis Kosmidis and Gareth Peters
0654: Uncertain forward guidance Downloads
Alex Haberis, Richard Harrison and Matt Waldron
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