Browse by: "D"

Discussions at the 11th OECD-WBG-IMF Global Bond Market Forum focused on four key areas: i) the impact of crisis-related measures and the potential implications of exit; ii) the measurement of sovereign risk; iii) the determinants of investor demand; and iv) debt managers’ response to the crisis. Overall, participants felt that the steps taken to stabilise financial conditions had generally been effective and that conditions in financial markets were normalising. However, discussions highlighted a number of ongoing risks including: i) while credible consolidation plans were needed, fiscal and monetary policy would be tightened too soon; ii) managing investor uncertainty would prove critical in managing risk in the near-term; and (iii) regulatory changes might lead to a deterioration in conditions in primary and secondary markets and otherwise aggravate the challenges facing debt managers. JEL Classification: G15, G18, G20, G24, G32, G38, H62, H68 Keywords: Outlook on public deficits and government debt, crisis and debt management policies, government debt market, measurement of sovereign risk, investor demand, exit strategy

This article looks at the stages of crisis management and some of the different degrees of transparency on losses and risks in the US and Europe. It also compares alternative approaches to dealing with impaired assets used in the USA and Europe. Exposure to off-balance losses remains a key issue. Europe, surprisingly, has been and remains the major issuer of collateralised synthetic obligations that have been so prominent in the crisis. The capital needs of banks over the next few years is examined, and great uncertainties remain due to the unknown extent to which off-balance sheet vehicles will need to be consolidated. Finally, the requirements of longer-run reform are outlined.

Digital security risk is increasing as malicious actors take advantage of the coronavirus (COVID-19) epidemic. Coronavirus-related scams and phishing campaigns are on the rise. There are also cases of ransomware and distributed denial of service (DDoS) attacks targeting hospitals. Individuals and businesses should exercise caution when they receive coronavirus-related communications, and use appropriate digital security “hygiene” measures (e.g. patching, use of strong and different passwords, regular backups, etc.). It is essential that governments raise awareness, monitor the threat landscape and publish easily accessible guidelines for digital security hygiene, in particular to vulnerable groups such as the elderly and small- and medium-sized enterprises (SMEs). Governments should also co-operate with all relevant stakeholders, including to provide assistance to operators of critical activities such as hospitals, as appropriate.

This work delves into the liquidations mechanism inherent in Decentralised Finance (DeFi) lending protocols and the connection between liquidations and price volatility in decentralised exchanges (DEXs). The analysis employs transactional data of three of the largest DeFi lending protocols and provides evidence of a positive relation between liquidations and post-liquidations price volatility across the main DEX pools. Without directly observing the behaviour of liquidators, these findings indirectly indicate that liquidators require market liquidity to carry out large liquidations and affect market conditions while doing so.

This policy paper catalogues tools and techniques used by public actors such as national development banks and green investment banks to mitigate project-level risks and attract private investment in infrastructure. The paper updates the dataset underlying the 2018 "Progress Update on Approaches to Mobilising Institutional Investment for Sustainable Infrastructure", to provide an expanded typology of de-risking instruments and highlight several novel approaches for mobilising institutional investment. The analysis provides development banks and other public financial institutions a nuanced view of options for targeted mobilisation efforts.

The aim of this study is to examine the validity of the day-of-the-week effect on both mean and volatility for changes in Consumer Confidence Index in Turkey. To the best of our knowledge, there is no previous study on this topic for an emerging market. Employing the E-GARCH method, we are able to validate day-of-the-week effect both in mean and volatility of the daily changes in the Consumer Confidence Index. In our findings, the mean equation exhibits only a Friday effect and the lowest volatility is also observed for Friday. Additionally, we use nonparametric stochastic dominance (SD) approach by employing several SD tests and verify the existence of Friday effects.

A business cycle is recognized as a growth cycle in a continuously growing economy such as Korea. This paper suggests reasonable dating rules for the reference date of a business cycle using various measures of a growth cycle. These measures are a cyclical component of the coincident composite index (CI), a coincident cumulative diffusion index, and a historical diffusion index with coincident component indicators. Dating rules include identifying turning points based on these measures of the growth cycle, and various approaches which confirm and review whether these turning points are appropriate for reference dates. And the dating rules are backed up by an administrative process to determine and disseminate these turning points as the reference dates of growth cycles in Korea. The process provides a strategy that gives authority to the released reference dates and minimises errorsin the dating. However, these dating rules have strict procedures to determine the reference date because the measures of a growth cycle are revised annually and their turning points could be affected by their revisions. Usually, a new reference date requires approximately three years before it is released officially. Due to the delayed dating strategy, the present and future business conditions need to be reviewed by detecting and forecasting models of the coming turning points with leading indexes and coincident indexes.

This paper establishes a reference chronology for the Greek business cycle from early 1970 to late 2012, against the backdrop of the late 2000s global recession and the most recent domestic economic developments, which once again stress the significance of dating business cycle turning points. The derivation of the exact dates of switches between expansions and recessions allows the identification of the point in time at which the Greek economy entered the recent recessionary business cycle regime in the late 2000s and the verification of the assertion that, up to the end of 2012, it had not yet exited the recession. We rely on both non-parametric and parametric procedures in order to check the coherence among the obtained turning points and evaluate the establishment of a reference chronology. We use quarterly GDP data and selected monthly indicators covering important sectors and activities in the Greek economy. On the basis of the obtained exact turning point dates and the indications provided by several business cycle and phases characteristics, we are able to propose a reference chronology for Greece and outline stylised facts of the Greek business cycle for a time period of over 40 years. Our findings clearly suggest that the Greek economy entered a recessionary business cycle regime in 2008 which was continued throughout 2012.

This paper aims at the production of a chronology for the EU15 business cycle by comparing parametric and non-parametric procedures on monthly and quarterly data as well in a combined approach. The main innovation is the joint use of the monthly series for the EU15 Gross Domestic Product (GDP) and the EU15 Industrial Production Index (IPI) from 1970 to 2003. The monthly IPI and the quarterly GDP at the EU15 level have been reconstructed starting from the available national series. The monthly GDP has then been computed using temporal disaggregation techniques. The obtained chronology is directly comparable to ones produced by several authors for the euro area.