Financial institutions

FEDS Paper: Linear Factor Models and the Estimation of Expected Returns

03/28/2024 Federal Reserve Central banks

Cisil Sarisoy, Peter de Goeij, and Bas J.M. WerkerThis paper analyzes the properties of expected return estimators on individual assets implied by the linear factor models of asset pricing, i.e., the product of β and λ. We provide the asymptotic properties of factor-model-based expected return estimators, which yield the standard errors for risk premium estimators for individual assets. We show that using factor-model-based risk premium estimates leads to sizable precision gains compared to using historical averages.

Transforming Data Collection – Bank and FCA respond to the phase two industry recommendations and share future strategy

03/28/2024 Bank of England Central banks

The Bank of England and FCA are leading a joint transformation programme with industry to transform data collection from the UK financial sector. Today they published a future strategy for achieving this, encompassing the regulator’s response to industry’s recommendations.

Payments systems Memorandum of Understanding

03/28/2024 Bank of England Central banks

Bank of England, PRA, FCA and PSR review Memorandum of Understanding in relation to payment systems in the UK

Financial Policy Summary and Record - March 2024

03/27/2024 Bank of England Central banks

Our Financial Policy Committee (FPC) meets to identify risks to financial stability and agree policy actions aimed at safeguarding the resilience of the UK financial system.

Consumer participation in the credit market during the COVID-19 pandemic and beyond

03/27/2024 European Central Bank Central banks

This paper analyses the consumer’s decision to apply for credit and the probability of the credit being accepted in the euro area during a period characterized by the unprecedented concomitance of events and changing borrowing conditions linked to the global COVID-19 pandemic and the Russian invasion of Ukraine. We use data between 2020Q1 and 2023Q2 from the ECB’s Consumer Expectations Survey. We find that the credit demand is highest when the first lockdown ends and drops when supportive monetary compensation schemes are implemented.

Consumer participation in the credit market during the COVID-19 pandemic and beyond

03/27/2024 European Central Bank Central banks

IFDP Paper: Demand for U.S Banknotes at Home and Abroad: A Post-Covid Update

03/25/2024 Federal Reserve Central banks

Ruth JudsonIn principle, physical currency should be disappearing: payments are increasingly electronic, with new technologies emerging rapidly, and governments increasingly restrict large-denomination notes as a way to reduce crime and tax evasion. Nonetheless, demand for U.S.

Asset Purchase Facility: Gilt Sales – Market Notice 22 March 2024

03/22/2024 Bank of England Central banks

This Market Notice sets out the schedule for sales in Q2 2024 of gilts held in the Asset Purchase Facility (APF) for monetary policy purposes.

FEDS Paper: In the Driver's Seat: Pandemic Fiscal Stimulus and Light Vehicles

03/22/2024 Federal Reserve Central banks

Jack Dunbar, Christopher Kurz, Geng Li, and Maria D. TitoThis paper explores the impact of two fiscal programs, the Economic Impact Payments and the Paycheck Protection Program, on vehicle purchases and relates our findings to post-pandemic price pressures. We find that receiving a stimulus check increased the probability of purchasing new vehicles.

FEDS Paper: Parental Employment at the Onset of the Pandemic: Effects of Lockdowns and Government Policies

03/22/2024 Federal Reserve Central banks

Kabir Dasgupta, Linda Kirkpatrick, and Alexander PlumThe COVID-19 pandemic had disproportionate impacts on women’s employment, especially for mothers with school-age and younger children. However, the impacts likely varied depending on the type of policy response adopted by various governments. New Zealand presents a unique policy setting in which one of the strictest lockdown restrictions was combined with a generous wage subsidy scheme to secure employment.

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