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  • CFTC Extends Public Comment Period On Request For Information On Climate-Related Financial Risk

    Date 18/07/2022

    The Commodity Futures Trading Commission is extending the deadline for the public comment period on a Request for Information on Climate-Related Financial Risk (RFI) to October 7.

  • BIS: Capital flows And Monetary Policy Trade-Offs In Emerging Market Economies

    Date 18/07/2022

    Summary

    Focus

    Emerging market economies (EMEs) commonly combine inflation targeting monetary policy regimes with macroprudential tools, capital flow management measures and FX intervention, to meet the challenges they face from swings in capital flows. These swings raise difficult trade-offs for monetary policy and require policymakers to resort to complementary policy tools to enhance macro-financial stability. We provide a characterisation of these trade-offs, distinguishing between times of stress and normal times when vulnerabilities build up, and assess how complementary policy tools can address them.

  • Cboe Expands Implied Correlation Index Suite, Adds Eight Additional Volatility-Related Indices

    Date 18/07/2022

    • Cboe Implied Correlation Indices are the first widely disseminated market estimates of the average correlation of the stocks that comprise the S&P 500® Index (SPX)
    • Suite of volatility-related indices recently expanded to include additional tenors and skews
    • Helps allow market participants to gain a view of potential factors driving volatility in equity markets

  • ACER Grants An Extension For Regulators To Decide On The Minimum Activation Period Of Frequency Containment Reserves (FCR) Providers

    Date 18/07/2022

    The EU Agency for the Cooperation of Energy Regulators (ACER) adopted a decision granting National Regulatory Authorities (NRAs) of the Continental Europe Synchronous Area (CE SA) an extension of six months to decide on the minimum activation period of frequency containment reserves (FCR) providers.

  • BIS: The Holt-Winters Filter And The One-Sided HP Filter: A Close Correspondence

    Date 18/07/2022

    Summary

    Focus

    The Hodrick-Prescott (HP) filter is heavily used in economics and by policymakers. In many cases, the two-sided, full sample version is applied to determine trends. But the one-sided filter that is estimated recursively also has important applications. Most notably, it is embedded in the Basel III framework for the countercyclical capital buffer. In this paper, we show that the trend of the one-sided HP filter has a very close correspondence with the trend of the Holt-Winters (HW) filter.

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