Research Bulletin
No.9 January 2017
Editorial
Gerard O’Reilly
This is the ninth edition of the Research Bulletin of the Central Bank of Ireland and its aim
is to highlight economic research and associated activities conducted by bank staff during 2016.
Nine research technical papers have been released last year. The non-technical summaries for
each of these papers are included in this bulletin while the full papers are available for download
from the Central Bank website. Some of the recent themes explored include: differences in
wages for new hires relative to incumbents or individuals who change jobs; the effects of mortgage
modification on loan performance; labour market participation in Ireland; the degree of contagion
between sovereign bond markets during the financial crisis; an examination of the effects of nonstandard measures on bank lending in a model with financial frictions; factors explaining the the
larger premium paid by small firms on loans in the euro area.
Thirteen economic letters were released in 2016 and a listing of these is included while the
actual Letters are available for download. Some of the topics covered in this series include: an
examination of household savings behaviour in Ireland; countercyclical capital buffer indicators;
the role of private placement in funding the wholesale banking industry; the differential impact
of oil on euro area inflation. Eight of the letters are related to the recent review of macroprudential regulations in the mortgage market. Some of the areas examined include describing
characteristics of borrowers and leverage pre and post the introduction of the mortgage rules;
models of the housing market including rents and house prices, an assessment of the resilence
of mortgages drawn down. We also published a number of signed articles with economic and
statisical content in the Quarterly Bulletin which can also be downloaded.
Also included in this edition are recent and forthcoming publications by bank staff in peer
reviewed academic journals as well as a listing of visiting speakers who presented over the past
year at the CBI. Bank staff have also presented extensively externally at a range of domestic
and international conferences and institutions including: Bank of England; EEA meetings; European Banking Authority; ECB; IEA annual conference; NBER summer meetings; Society for
Computational Economics; Money, Macro, Finance Meetings; NUI Maynooth and UCD amongst
others. The Bank also hosted the ESCB Network on Household Finance and Consumption in
June and held two history workshops one of the which was held under the auspices of CEPR.
Contents
Technical Paper Summaries
3
Economic Letters
10
Visiting Speakers
11
External Publications
Journal Articles . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
Forthcoming . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
Research Bulletin
Non Technical Summaries of Research Technical Papers 2016
01/RT/16: Understanding Irish Labour Force Participation
Stephen Byrne & Martin O’Brien
ence of some structural factors. Accordingly a
rise in the participation rate is to be expected in
the near term as the economic recovery continues, and current measures of slack in the economy should account for this. Combining our
results and various population projection scenarios, we show that policy actions to increase
female participation will support trend labour
force participaton but may not be sufficient to
fully offset declines in the male trend. Higher
immigration is another effective way of offsetting the expected decline in trend participation
out to 2025.
This paper explores developments in the labour
force participation rate in Ireland. Given the
important role of labour supply in explaining
Irish economic growth, we aim to identify the
relative influence of structural and cyclical factors in the recent dynamics of Irish labour
force participation. Using a number of empirical approaches our results highlight the role of
age, nationality and gender on the participation rate. We also find that the recent decline
in female participation is entirely a response
to the stage in the economic cycle given the
weaker labour market, whereas the fall in male
and overall participation also reflects the influ-
02/RT/16: Bank Lending, Collateral, and Credit Traps in a Monetary
Union
Giuseppe Corbisiero
Since the beginning of the recent financial crisis, the ECB has responded to financial system impairments by complementing cuts in the
policy interest rate with a wide range of nonstandard measures, so injecting a large amount
of liquidity at low cost. Nevertheless, bank
lending hardly reacted, notably in countries
where higher perceived risks of sovereign default emerged. At the same time, banks increased their domestic sovereign debt holdings
to a much greater extent in stressed countries.
tably because of the high leverage of banks and
their dependence on market confidence, which
can disappear in a crisis. Specifically, I assume that the occurrence of sovereign default
would generate a liquidity shock severely hitting a share of the country’s banks.
Capturing the general equilibrium interplay
between liquidity, financial frictions, firms‘ collateral, and lending, the model shows that
the banking-sovereign nexus crucially impairs
the monetary transmission mechanism. In
This paper provides a model to explain particular, I show that lending responses to
these stylized facts by studying the transmis- monetary policy across countries are asymsion of central bank liquidity injections to cor- metric, with liquidity injections mainly financporate lending in a monetary union. In this ing the sovereign rather than boosting lendmodel, countries differ in sovereign risk, and ing in the risky country. This is because the
firms‘ access to external finance can be con- banking-sovereign nexus prevents banks from
strained by financial frictions. The framework fully taking into consideration the risk of their
takes into account that the banking sector is sovereign; hence, they respond to liquidity invery vulnerable to domestic sovereign risk, no- jections by purchasing domestic sovereign debt,
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Research Bulletin
to the detriment of private lending. This theoretical mechanism can shed light on the troubled transmission of the ECB‘s policy measures
to the economies of stressed countries during
the euro sovereign debt crisis. I also show that
sovereign risk in one country generates negative spillover effects that, through the collateral channel, can depress lending throughout
the monetary union.
Specifically, the possibility of a liquidity
shock due to sovereign risk can reduce the
expected price of assets used as loan collateral; therefore, to the extent that asset markets are integrated across countries, sovereign
risk can undermine debt capacity of firms even
in economies that do not suffer from high
sovereign risk. This transmission mechanism
provides new testable implications briefly discussed in the paper. This theory has the following policy implications. First, it can be beneficial to promote cross-border lending in the
Euro Area, as well as weakening the link between a country’s banking and the health of
its public finances. Second, a timely intervention in response to sovereign market turmoil
would lessen banks‘ search for sovereign yields
and allow a more effective monetary stimulus
to private lending in stressed countries. Third,
nonstandard measures able to improve corporate sector liquidity, circumventing the banking
intermediation channel may enhance the monetary stimulus.
03/RT/16: Contagion in Eurozone Sovereign Bond Markets? The
Good, the Bad and the Ugly
David Cronin, Tom Flavin & Lisa Sheehan
Eurozone sovereign bond markets have experienced considerable and persistent turmoil in
recent times. Most sovereigns have suffered
downgrades to their credit ratings since 2010.
Against this background, there is a burgeoning literature on how sovereign bond markets
within the Eurozone have interacted with each
other during periods of turbulence. In particular, there have been studies of whether contagion - an excessive co-movement between bond
spreads following a shock in one market - has
arisen. Results differ across studies, with some
finding evidence for contagion while others do
not.
of the data since 2003: a good normal environment and two states of crisis, termed the bad
and the ugly.
There is a striking difference between the
volatility increases experienced by Greece, Ireland, Portugal and Spain (the GIPS) and core
countries, such as Finland and the Netherlands, between normal and crisis phases with
the former group experiencing much larger increases. A striking feature of our results is
that there are relatively few examples of contagion among the member states. When contagion is detected, it occurs more often in the
ugly than in the bad regime. This highlights
We shed new light on the topic by analysing the importance of differentiating between the
relationships among ten Eurozone countries two phases of the crisis and not treating it as
using daily 10-year sovereign bond spreads one homogenous event. Contagion does not
over Germany from January 2003 to December emanate exclusively from the GIPS. There is
2014. Daily bond spreads for the United States at least as much evidence of contagion stemare also included to control for external events. ming from core countries. This is consistent
We follow Forbes and Rigobon (2002) in defin- with the view that larger financial markets proing contagion as a significant increase in mar- cess information more efficiently and transmit
ket dependence between normal and crisis pe- the news to more peripheral markets and that
riods. The econometric methodology allows us smaller sovereign bond markets, while under
define such periods and the econometric output more stress, have less ability to generate conpoints towards a three-regime characterisation tagion than core member states.
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Research Bulletin
We conclude that with most relationships
remaining stable over the sample period, it was
not changes to the shock transmission mechanism that caused the spread of the sovereign
debt crisis. Rather, its propagation was due
to pre-existing cross-country linkages that had
built up during the benign economic conditions
that characterised the pre-crisis period. Once
shocks arose in bond markets, their transmission to other markets should not have been unexpected given the interdependencies between
Eurozone sovereign bond markets that existed
before the crisis.
04/RT/16: Lending Conditions and Loan Default: What Can We
Learn From UK Buy-to-Let Loans?
Robert Kelly & Conor O’Toole
With an aim towards boosting systemic resilience in the financial system, there has been
a recent refocusing of financial regulation towards the use of macroprudential instruments.
Regulators globally are engaged in a process of
introducing, and designing, measures to limit
aggregate risk through a toolbox of macroprudential regulations.
While there are a range of instruments
available to policymakers such as capital
buffers and risk weight management, one area
of considerable focus has been the introduction
of limits on mortgage lending such as loan-tovalue and loan-to-income ratios. This is mainly
in response to the elevated level of mortgage
delinquency in many economies following the
crisis, the link between the mortgage market
and the wider financial turmoil and the evidence linking looser mortgage credit conditions
through credit growth to increases in house
prices.
In order to set the parameters of macroprudential policy appropriately, information is
needed on the role of originating lending conditions in determining subsequent loan default.
In this paper, we draw on a unique loan-level
dataset for the UK which contains the loans
of Irish banks‘ subsidiaries in that jurisdiction.
This is one of the few loan-level datasets available for the UK which spans the period pre and
post the financial crisis and also contains information on current and origination income and
loan-to-values. Our estimation strategy uses
a standard mortgage default model augmented
to explore non-linearities in the relationship between original rent coverage (ORC: our proxy
for the debt-service-ratio) and original loan-tovalues (OLTV) using cubic splines.
We find default is increasing with LTV at
origination and falling in original rent coverage. We also find threshold effects suggesting there are indeed non-linearities in the relationship between originated OLTV, ORC and
subsequent default. We also extend our empirical framework to control for portfolio values
of OLTV and ORC for borrowers with multiple
loans outstanding and find default rates double
in the case of multi-loan properties, with signifocantly greater sensitivity to OLTV and ORC
increases
05/RT/16: Mortgage modifications and loan performance
Christian Danne & Anne McGuinness
ing a unique Irish dataset. Compared to previous studies, our dataset allows us to observe
borrower and loan characteristics at the time
This paper studies the determinants of receiving a loan modification and the factors explaining repayment after mortgage modification us-
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Research Bulletin
the borrower experiences payment difficulties
and to directly observe the outcome of the
renegotiation process. The results show that
current borrower characteristics rather than
loan characteristics matter for receiving a permanent modification and making full payment
after modification. A higher mortgage repayment to income ratio, higher household leverage, and higher household expenditure reduce
the probability of receiving a permanent modifi-
cation and the probability of full payment after
modification. In addition, both unemployment
and divorce prior to engaging in mortgage renegotiations, reduce the probability of receiving a
permanent modification and the payment performance after modification. The change in
borrowers‘ mortgage repayment and thus their
subsequent mortgage affordability is the key
driver of a successful modification, irrespective
of the modification type.
06/RT/16: Flexibility of new hires earnings in Ireland
Reamonn Lydon & Matija Lozej
Two recent papers that are able to distinguish
between the wage flexibility of new hires, incumbent workers and job changers provide opposite results. We use an administrative tax
database on earnings and the data from Household Finance and Consumption Survey in Ireland to examine this issue and find that the
earnings of new hires are substantially more
flexible than those of the existing workers. This
is driven entirely by the flexibility of earnings
of new hires from unemployment, while earnings of job changers do not appear to behave
differently than earnings of existing workers.
The findings are robust to different econometric specifications, including controls for compositional shifts, age, education, occupation, and
sector. We find that earnings of new hires from
unemployment are more procyclical for workers with less valuable outside options, i.e., less
educated workers and workers who cannot afford to wait out until retirement. Overall, our
results indicate that wage rigidity may not be
a suitable device to generate sufficient unemployment volatility in macroeconomic models
for Ireland.
07/RT/16: Banks‘ Interconnectivity and Leverage
Alessandro Barattieri, Laura Moretti & Vincenzo Quadrini
This paper is motivated by the observation
that, in the period that preceded the 2008 crisis, there has been an increase in the ratio of
assets over equity of the US financial intermediaries (their leverage). At the same time, the
share of liabilities held by other financial intermediaries increased significantly (we use this
as a proxy for interconnectvity). This upward
trend in leverage and interconnectivity sharply
reversed after the crisis. In this paper, we analyze the relationship between banks’ interconnectivity and leverage, both theoretically and
empirically.
We proceed in three steps. First, we develop a dynamic model where banks make risky
investments outside the financial sector and, to
reduce risks, sell some of the investments to
other banks. The presence of an agency cost,
which increases with the degree of diversification, limits banks diversification. An important
implication of the model is that, when banks
become more leveraged, they face higher risks
and therefore have higher incentives to diversify. In order to diversify, banks sell part of
the investments to other banks and become
more interconnected. On the other hand, when
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Research Bulletin
banks become more interconnected, they face
less risk and therefore have higher incentive to
leverage.
Second, we provide evidence of a strong
positive correlation between interconnectivity
and leverage using Bankscope balance sheet
data for a sample of over 14,000 financial intermediaries in 32 OECD countries. We show
that, as predicted by the model, there is a
strong positive association between interconnectivity and leverage across countries, across
financial institutions and over time. Finally, we
extend the model to include an aggregate shock
to the whole banking sector. This enables us
to analyze why interconnectivity and leverage
have increased before the financial crisis and
reverted afterward. We interpret a negative
shock that decreases investment returns of all
banks as a banking crisis. We assume that the
probability distribution of the aggregate shock
is unknown and that banks make portfolio decisions based on their priors, which are then updated over time according to Bayes rules. We
show that the model with Bayesian learning can
generate the dynamics of interconnectivity and
leverage observed in the data.
08/RT/16: Joining the Dots: The FOMC and the future path of
policy rates
Stefan Gerlach and Rebecca Stuart
Given the importance of US monetary policy
for global economic and financial conditions,
economic policy makers and market analysts
across the world devote great resources to understand the Federal Open Market Committee’s (FOMCs) outlook for monetary policy. To
help them in this process, the Federal Reserve
has since 2012 published on a quarterly basis FOMC members’ assessments of appropriate monetary policy. This is defined as the future path of policy that each participant deems
most likely to foster outcomes for economic activity and inflation that best satisfy his or her
interpretation of the Federal Reserves dual objectives of maximum employment and stable
prices. The dot plots of members assessments
are now eagerly anticipated and much analysed
by market participants.
FOMC meetings in the projected path of interest rates thus react both shifting economic
conditions and changes in the forecast horizon.
They can therefore not be used directly to answer the question of what factors drive FOMC
members’ assessment of the appropriate level
of interest rates at a constant horizon, such as
one or two years ahead.
In this paper we ask how FOMC members
views of the future path of appropriate monetary policy evolved over time and how they
responded to changes in the macroeconomic
environment. To do so, we first quantify the
amount of variation in FOMC members views
of appropriate monetary policy. We then estimate a simple empirical model which allows
us to interpolate the path of interest rates the
FOMC members, on average, believe is approIt is natural to ask how FOMC members’ priate to achieve their policy objectives. We
views of the appropriate level of interest rates compute the average view of the appropriate
have evolved over time and how they have re- interest rate at constant maturities of one, two
sponded to changes in the macroeconomic en- and three years, and end by studying how these
vironment. In particular, how sensitive have views respond to current macroeconomic conthey been to changes in labour market condi- ditions.
tions, indicators of economic activity and inAs one of the first studies of the FOMC’s inflation pressures? Addressing this question is terest rate projections that we are aware of, this
complicated by the fact that Federal Reserve paper is interesting for a number of reasons.
typically only publishes these views for four or First, we quantify the dispersion of FOMC
five discrete points in time. Changes between members’ views of interest rates which is crit7
Research Bulletin
ical for judging the outlook for US monetary
policy. It is interesting to consider how dispersion varies with the horizon of the projection
and over time, given the broader economic uncertainty during the sample period. Second, we
show that a simple model can be used to in-
terpolate the interest projections between the
discrete data points published by the Federal
Reserve. Finally, we show that FOMC members’ projections have been more sensitive to
labour market conditions than to inflation rates
in our sample period.
09/RT/16: Sources of the small firm financing premium: Evidence
from euro area banks
Sarah Holton and Fergal McCann
try and the same month, so that we precisely
identify which bank-level factors contribute to
the disproportionate increases in borrowing for
small firms. Moreover, the cross country and
time series aspects of the data mean that we
can assess how bank level factors interact with
macroeconomic developments. We use panel
fixed effects models to empirically assess the
effects of four broad categories of variables: (i)
banks‘ market power (ii) the stability of a banks
funding base (iii) banks‘ holdings of domestic
sovereign bonds (iv) bank balance sheet stress.
Then we examine the interactions with macroeconomic variables that capture sovereign, financial and real economy stress.
The recent financial crisis highlighted the importance of bank balance sheet strength for access to credit for the real economy. This paper
analyses the determinants of the cost of bank
finance faced by smaller firms, as captured by
the interest rate spread between small and large
loans, which became particularly elevated at
the height of the crisis. This spread, which
we denote as the small firm financing premium
(SFFP), is a particularly relevant concern for
monetary policy given that smaller firms tend
to rely on bank finance and have fewer external
financing choices compared to larger firms. We
analyse whether bank level characteristics drive
the SFFP and assess whether macroeconomic
factors alter the impact of relevant characteristics.
A number of our key hypotheses are confirmed. We find that banks with a greater
We find that bank market power, sovereign market share charge a higher SFFP, and that
bond holdings and balance sheet weaknesses the effect is particularly strong in times of real
can lead to disproportionate borrowing cost in- economy stress. Secondly we find that banks
creases for small firms, and that these features with impaired balance sheets, as captured by
act to exacerbate the impact of a weak macroe- non-performing loans, also have a higher SFFP
conomy. The results are in line with previous and the effect increases in times of high unliterature that finds that smaller, bank depen- employment. We also show that banks with a
dent borrowers are charged relatively higher in- more stable funding base charge a lower SFFP
terest rates during a period of bank funding dif- and that it can act to mitigate the effects of
ficulties, as they have lower bargaining power macroeconomic stress. Finally, we find that
as a result of their limited alternative financing in countries experiencing sovereign stress, high
options.
domestic bond holdings lead to higher SFFP,
but the effect is reversed in the absence of
Our analysis is based on monthly bank
sovereign stress. Moreover, after controlling
panel data from twelve euro area countries from
for other indicators that capture bank balance
2007 to 2015. We focus on the difference besheet risk, the effect becomes insignificant.
tween interest rates charged on small and large
loans by the same bank, in the same counThe findings of this paper show that bank
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Research Bulletin
balance sheet strength is particularly important
for access to finance for small firms. This is not
only because loans constitute a relatively higher
share of their external financing, but also because banks can extract greater revenue from
these dependent borrowers. Our results show
that banks with characteristics that capture
impaired funding and capital positions indeed
charge smaller firms disproportionately higher
interest rates. This underscores the importance
of having a strong and resilient banking sector.
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Research Bulletin
Economic Letters
1. Understanding Irish Labour Force Participation
Stephen Byrne & Martin O’Brien
2. Indicators for Setting the Countercyclical Capital Buffer
Con Creedon & Eoin O’Brien
3. Macroprudential Measures and Irish Mortgage Lending: A Review of Recent Data
Enda Keenan, Christine Kinghan, Yvonne McCarthy, & Conor O’Toole
4. Private Placement Debt Securities and Wholesale Funding of Banking System
Dermot Coates & Jennifer Dooley
5. Household Saving Behaviour in Ireland
Julia LeBlanc
6. Macroprudential Measures and Irish Mortgage Lending: Insights from H1 2016
Christina Kinghan, Paul Lyons, Yvonne McCarthy & Conor O’Toole
7. Do all oil price shocks have the same impact? Evidence from the Euro Area
Anastasios Evgenidis
8. Model-based estimates of the resilience of mortgages at origination
John Joyce & Fergal McCann
9. Originating Loan to Value ratios and the resilience of mortgage portfolios
Fergal McCann & Ellen Ryan
10. Assessing the sustainability of Irish residential property prices: 1980Q1-2016Q2
Gerard Kennedy, Eoin O’Brien & Maria Woods
11. Housing supply after the crisis
Gerard Kennedy & Rebecca Stuart
12. Exploring developments in Ireland’s regional rental markets
Fergal McCann
13. Modelling Irish Rents: Recent Developments in Historical Context
Gerard Kennedy, Lisa Sheenan & Maria Woods
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Research Bulletin
Visitor Seminar Series
Presenter
Affiliation
Title
Livio Stracca
ECB
Marc Hinterschweiger
Bank of England
Ron Davies
UCD
Joseph Tracy
NY Fed
Luca Gambetti
Marek Jarocinski
Universitat Autnoma
de Barcelona
Friedrich-Alexander
University
ECB
Michael Kumhof
Bank of England
Saverio Simonelli
University of Naples
Wouter den Haan
LSE
Sebasitan Gechert
Jeremy Chiu
Macroeconomic Policy
Institute, Hans-BcklerFoundation
Bank of England
Anthony Murphy
Dallas Fed
Manfred Kremar
Alessandro Galesi
ECB
Banque de Espana
Charles O’Donnell
Banque de France
Stefan Ried
Arsenios Skaperdas
Deutsche Bundesbank
Federal Reserve
In and out of the eurozone: is it really so
different?
Macroprudential Policy in an Agent-Based
Model of the UK Housing Market
Knocking on tax haven’s door: Multinational firms and transfer pricing
The role of investors in the housing boom
and bust
VAR information and the empirical validation of DSGE models
Banking and the Macroeconomy: A MicroMacro Linkage
An inflation-predicting measure of output
gap in the euro area
Banks are not intermediaries of loanable
funds and why this matters
Bank exposures and sovereign stress transmission
Unemployment (Fears) and Deflationary
Spirals
Top-Down vs. Bottom-Up? Reconciling the
Effects of Tax and Transfer Shocks on Output
The nonlinear effects of mortgage spreads
over the business cycle
Housing, Consumption and the U.S. Financial Crisis
Macrofinancial linkages and systemic risk
Uncovering the Heterogeneous Effects of
ECB Unconventional Monetary Policies
The interest of being eligible: the 2012
extension of the Eurosystem’s collateral
framework and loan rates to French firms?
Distributional Effects of Monetary Policy
Costly Unconventional Monetary Policy
Christian Merkl
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Research Bulletin
External Publications
Journal Articles
Bermingham, Colin, Dermot Coates, and Derry O’Brien, “Estimating Commodity Substitution
in the Irish Inflation Rate Statistics during the Financial Crisis,” Economic and Social Review,
2016, 47 (3), 327–337.
Bover, Olympia, Jose Maria Casado, Sonia Costa, Philip Du Caju, Yvonne McCarthy, Eva
Sierminska, Panagiota Tzamourina, Ernesto Villanueva, and Tibor Zavadil, “The Distribution
of Debt Across Euro Area Countries: The Role of Individual Characteristics, Institutions and
Credit Conditions,” International Journal of Central Banking, 2016, 12 (2), 71–128.
Casey, Eddie and Diarmaid Smyth, “Revisions to Macroeconomic Date: Ireland and the OECD,”
Economics & Social Review, 2016, 47 (1), 33–68.
Clancy, Daragh, Pascal Jacquinot, and Matija Lozej, “Government expenditure composition
and fiscal policy spillovers in small open economies within a monetary union,” Journal of
Macroeconomics, 2016, 48, 305–326.
Cronin, David and Kieran McQuinn, “Credit Availability, Macroprudential Regulations, and the
House Price-to-Rent Ratio,” Journal of Policy Modeling, 2016, 38 (5), 971–984.
, Thomas Flavin, and Lisa Sheehan, “Contagion in Eurozone Sovereign Bond Markets? The
Good, the Bad and the Ugly,” Economics Letters, 2016, 143, 5–8.
Evgenidis, Anastasios and Costas Siriopoulos, “An Explanation of Spread’s Ability to Predict
Economic Activity: A Regime Switching Model,” Journal of Economic Studies, 2016, 43 (3),
488–503.
Frisell, Lars, “Europe’s Regulatory Treatment of Banks’ Sovereign Exposures - How a Flawed
Framework Was Put to Use in the Irish Financial Crisis,” European Economy, 2016, 1, 105–
117.
Gerlach, Stefan, Reamonn Lydon, and Rebecca Stuart, “Unemployment and Inflation in Ireland:
1926-2012,” Cliometrica, 2016, 10 (3), 345–364.
Kelly, Robert and Fergal McCann, “Some defaults are deeper than others: Understanding longterm mortgage arrears,” Journal of Banking & Finance, 2016, 72 (C), 15–27.
and Terence O’Malley, “The good, the bad and the impaired: A credit risk model of the Irish
mortgage market,” Journal of Financial Stability, 2016, 22, 1–9.
Kenny, Oisin, Neill Killeen, and Kitty Moloney, “Network analysis using EMIR credit default
swap data: Micro-level evidence from Irish domiciled special purpose vehicles,” Bank for
International Settlements Bulletin, 2016, (41), 369–388.
Le Blanc, Julia, Alessandro Porpiglia, Federica Teppa, Junyi Zhu, and Michael Ziegelmeyer,
“Household Saving Behavior in the Euro Area,” International Journal of Central Banking,
2016, 12 (2), 15–70.
and Almuth Scholl, “Optimal Savings for Retirement: The Role of Individual Accounts,”
Macroeconomic Dynamics, 2016, pp. 1–28.
McCarthy, Yvonne and Kieran McQuinn, “Attenuation Bias, Recall Error and the Housing Wealth
Effect,” Kyklos, 2016, 69 (3), 492–517.
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Research Bulletin
McQuinn, Kieran and Diarmaid Smyth, “Assessing the sustainable nature of housing-related
taxation receipts: the case of Ireland,” Journal of European Real Estate Research, 2016, 9
(2), 193–214.
Moretti, Laura and Toru Suzuki, “Strategic Transparency and Electoral Pressure,” Journal of
Public Economic Theory, 2016, 18 (4), 624–641.
Forthcoming
Byrne, Stephen and Martin D. O’Brien, “Understanding Irish Labour Force Participation,” The
Economic and Social Review.
Evgenidis, Anastasios, Tsaganos Athanasios, and Costas Siriopoulos, “Towards an asymmetric
long run equilibrium between stock market uncertainty and the yield spread. A threshold vector
error correction approach,” Research in International Business and Finance.
Fasianos, Apostolos, Diego Guevara, and Christos Pierros, “ Have we Been Here Before? Phases
of Financialisation within the 20th Century in the US ,” Review of Keynesian Economics.
, Hamid Raza, and Stephen Kinsella, “Exploring the link between Household Debt and Income
Inequality: An Asymmetric Approach,” Applied Economics Letters.
McCarthy, Yvonne and Kieran McQuinn, “Credit Conditions in a Boom and Bust Property
Market: Insights for Macro-Prudential Policy,” Quarterly Review of Economics and Finance.
Rannenberg, Ansgar, “Bank Leverage Cycles and the External Finance Premium,” Journal of
Money, Credit & Banking.
13