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IMF Working Paper-Systemic Risk Modeling: How Theory Can Meet Statistics
March 13, 2020--Summary:
We propose a framework to link empirical models of systemic risk to theoretical network/ general equilibrium models used to understand the channels of transmission of systemic risk. The theoretical model allows for systemic risk due to interbank counterparty risk, common asset exposures/fire sales, and a "Minsky" cycle of optimism.
The empirical model uses stock market and CDS spreads data to estimate a multivariate density of equity returns and to compute the expected equity return for each bank, conditional on a bad macro-outcome. Theses "cross-sectional" moments are used to re-calibrate the theoretical model and estimate the importance of the Minsky cycle of optimism in driving systemic risk.
IMF Working Paper-Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment
March 22, 2020--Summary:
Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with the empirical properties of cashflow valuations identified in the literature.
We provide evidence that non-linearities arise from hedging strategies of investors exposed to interest rate risk. Capital losses are amplified when interest rates increase and risk averse investors have taken positions on instruments with longer maturity, expecting instead interest rates to revert back to their historical average.
Bitcoin plunges in worsening crypto rout
March 12, 2020--Bitcoin plunged on Thursday, at one point sinking through US$6,000 for the first time since May as a sell-off in cryptocurrencies became a rout amid wider market turmoil sparked by the coronavirus pandemic.
The largest digital currency at one point tumbled to US$5,705.31, though the move eased slightly to trade down 23 per cent at $6,068 as of 7:37 a.m. in New York, according to Bloomberg pricing. The wider Bloomberg Galaxy Crypto Index slumped 25 per cent, with Ether, XRP and Litecoin also plunging.
IEA-Oil Market Report-March 2020-Global oil demand expected to decline as the impact of the new coronavirus spreads around the world
March 12, 2020-The situation remains very fluid, however, making it extremely difficult to assess the full impact
Highlights
Covid-19 (coronavirus) has spread beyond China and our 2020 base case global oil demand forecast is cut by 1.1 mb/d. For the first time since 2009, demand is expected to fall year-on-year, by 90 kb/d. In 1Q20, China's demand falls by 1.8 mb/d y-o-y with global demand down 2.5 mb/d.
We assume that oil demand returns to close to normal in 2H20. In this Report we provide a Low Case and a High Case detailing weaker and stronger outlooks, respectively.
Global oil supply fell by 580 kb/d in February as production from Libya slowed to a trickle. At 100 mb/d, output was virtually flat on a year ago, with non-OPEC gains of 2.4 mb/d offsetting declines from OPEC. Robust non-OPEC supply gains of 2.1 mb/d in 2020 and a contraction in demand cut the call on OPEC crude to 27.3 mb/d. In 1Q20, the call is 25 mb/d, 3.5 mb/d below the group’s assumed output for the period.
Investors pull $41.7bn from emerging markets amid coronavirus outbreak
March 11, 2020--Outflows from emerging market stocks and bonds since the onset of the coronavirus outbreak have dwarfed the amount that left EM assets at the start of the global financial crisis, highlighting the strength of risk aversion among global investors.
Foreign investors have withdrawn $41.7bn from EM stocks and bonds since global markets woke up to the Covid-19 outbreak on January 21, according to the Institute of International Finance. That was double the amount of outflows in the same 51-day period after September 8, 2008.
CryptoCompare Launches Real-time Market Data Streaming Product
March 11, 2020--Leading cryptoasset data provider CryptoCompare has launched a real-time market data streaming product that can be accessed via a WebSocket connection.
The new product, according to a press release, offers real-time trade, ticker, volume, and level 2 orderbook data, along with OHLC candles and a subscription to the CryptoCompare Aggregate Index (CCAGGG).
How's Life? reveals improvements in well-being but persistent inequalities
March 9, 2020--Life has generally improved for many people in OECD countries over the past 10 years but inequalities persist and insecurity, despair and disconnection affect significant parts of the population, according to a new report.
OECD's latest How's Life? report says household disposable income per capita has risen in more than half of OECD countries since 2010. Employment rates are up by nearly 5 percentage points on average for people aged 25-64 (today, almost eight in ten adults are in paid employment), and fewer people are working very long hours.
view the OECD How's Life? 2020 Measuring Well-being
As the ETF turns 30, it is time for active managers to embrace it
March 4, 2020--Exchange traded funds can provide greater flexibility, lower costs and ready access. The dominant narrative surrounding exchange traded funds over their 30-year history has been a kind of active-versus-indexing derby, in which investors must choose one or the other.
But that is the wrong way of looking at it. These days, there is a quiet revolution under way, in which index-tracking ETFs are used within actively managed portfolios. In an ironic twist, it is active fund managers who are now among the fastest-growing segments among users of ETFs.
Shaping the future of payments: BIS Quarterly Review
March 1, 2020--March 1, 2020--The BIS Quarterly Review takes an in-depth look at the fast-changing world of payments, explaining the strengths and weaknesses of existing systems, describing the rapid pace of technological change and its impact, and assessing new solutions.
Thanks to the speed of changes and the potential for disruption, payment systems have shot to the top of policymakers' agendas.
The BIS and central banks have a leading role in shaping policymakers' response to these changes.
The BIS and central banks have a leading role in shaping policymakers' response to these changes.
"Central banks have a core role in payment systems, and the changes under way require them to step up and play a more significant part in improving the safety and efficiency of these systems," Agustín Carstens, BIS General Manager, wrote in the introduction to this special edition of the Quarterly. "Money and payment systems are founded on trust in the currency-whether cash or digital-and this trust is something that only the central bank can ensure", he added.
IMF Working Paper-Transitory and Permanent Shocks in the Global Market for Crude Oil
February 28, 2020--Summary:
This paper documents the determinants of real oil price in the global market based on SVAR model embedding transitory and permanent shocks on oil demand and supply as well as speculative disturbances. We find evidence of significant differences in the propagation mechanisms of transitory versus permanent shocks, pointing to the importance of disentangling their distinct effects.
Permanent supply disruptions turn out to be a bigger factor in historical oil price movements during the most recent decades, while speculative shocks became less influential.
view the IMF Working Paper-Transitory and Permanent Shocks in the Global Market for Crude Oil
