Europe’s New Post-Trade Infrastructure Rules. ECMI Policy Brief No. 20, 8 November 2012

After more than a decade of indecision, the EU is finally now set to implement a consistent regulatory architecture for clearing and settlement. Following the agreement on a European market infrastructure Regulation (EMIR), the European Commission has proposed harmonised rules for centralised settlement depositaries (CSDs), while the European Central Bank is moving forward with its plans for a central eurozone settlement engine. This paper analyses three components of the new post-trade infrastructure measures: 1) the regulatory framework for and supervision of central counterparties under the new EMIR legislation, 2) the authorisation requirements of trade repositories and 3) the draft CSD Regulation and the progress with the ECB’s Target 2 Securities project. It then discusses the impact of the new rules, and argues that, analogous to the unexpected impact of MiFID on trading infrastructures, a similar EMIR revolution may be on its way.

Modelling impacts of pollution in river systems: a new dispersion model and a case study of mine discharges in the Abrud, Aries and Mures river system in Transylvania, Romania

A new model of dispersion has been developed to simulate the impact of pollutant discharges on river systems. The model accounts for the main dispersion processes operating in rivers as well as the dilution from incoming tributaries and first-order kinetic decay processes. The model is dynamic and simulates the hourly behaviour of river flow and pollutants along river systems. The model has been applied to the Aries and Mures River System in Romania and has been used to assess the impacts of potential dam releases from the Roia Montan Mine in Transylvania, Romania. The question of mine water release is investigated under a range of scenarios. The impacts on pollution levels downstream at key sites and at the border with Hungary are investigated.

Decision-making in a phase II clinical trial: a new approach combining Bayesian and frequentist concepts

The aim of a phase H clinical trial is to decide whether or not to develop an experimental therapy further through phase III clinical evaluation. In this paper, we present a Bayesian approach to the phase H trial, although we assume that subsequent phase III clinical trials will hat,e standard frequentist analyses. The decision whether to conduct the phase III trial is based on the posterior predictive probability of a significant result being obtained. This fusion of Bayesian and frequentist techniques accepts the current paradigm for expressing objective evidence of therapeutic value, while optimizing the form of the phase II investigation that leads to it. By using prior information, we can assess whether a phase II study is needed at all, and how much or what sort of evidence is required. The proposed approach is illustrated by the design of a phase II clinical trial of a multi-drug resistance modulator used in combination with standard chemotherapy in the treatment of metastatic breast cancer. Copyright (c) 2005 John Wiley & Sons, Ltd.

A new floating model level scheme for the assimilation of boundary layer top inversions: the univariate assimilation of temperature.

The assimilation of observations with a forecast is often heavily influenced by the description of the error covariances associated with the forecast. When a temperature inversion is present at the top of the boundary layer (BL), a significant part of the forecast error may be described as a vertical positional error (as opposed to amplitude error normally dealt with in data assimilation). In these cases, failing to account for positional error explicitly is shown t o r esult in an analysis for which the inversion structure is erroneously weakened and degraded. In this article, a new assimilation scheme is proposed to explicitly include the positional error associated with an inversion. This is done through the introduction of an extra control variable to allow position errors in the a priori to be treated simultaneously with the usual amplitude errors. This new scheme, referred to as the ‘floating BL scheme’, is applied to the one-dimensional (vertical) variational assimilation of temperature. The floating BL scheme is tested with a series of idealised experiments a nd with real data from radiosondes. For each idealised experiment, the floating BL scheme gives an analysis which has the inversion structure and position in agreement with the truth, and outperforms the a ssimilation which accounts only for forecast a mplitude error. When the floating BL scheme is used to assimilate a l arge sample of radiosonde data, its ability to give an analysis with an inversion height in better agreement with that observed is confirmed. However, it is found that the use of Gaussian statistics is an inappropriate description o f t he error statistics o f t he extra c ontrol variable. This problem is alleviated by incorporating a non-Gaussian description of the new control variable in the new scheme. Anticipated challenges in implementing the scheme operationally are discussed towards the end of the article.

Life before ‘The New Biography’: Modernist biographical methods in the Hogarth Press ‘Books on Tolstoi’ 1920-24

In the early 1920s, before Virginia Woolf wrote her now well-known essays “The New Biography” and “The Art of Biography,” the Hogarth Press published four biographies of Tolstoy. Each of these English translations of Russian works takes a different approach to biographical composition, and as a group they offer multiple and contradictory perspectives on Tolstoy’s character and on the genre of biography in the early twentieth century. These works show that Leonard and Virginia Woolf’s Hogarth Press took a multi-perspectival, modernist approach to publishing literary lives.

The housing market channel of monetary policy transmission in the Euro area

Purpose – The purpose of this paper is to explore the role of the housing market in the monetary policy transmission to consumption among euro area member states. It has been argued that the housing market in one country is then important when its mortgage market is well developed. The countries in the euro area follow unitary monetary policy, however, their housing and mortgage markets show some heterogeneity, which may lead to different policy effects on aggregate consumption through the housing market. Design/methodology/approach – The housing market can act as a channel of monetary policy shocks to household consumption through changes in house prices and residential investment – the housing market channel. We estimate vector autoregressive models for each country and conduct a counterfactual analysis in order to disentangle the housing market channel and assess its importance across the euro area member states. Findings – We find little evidence for heterogeneity of the monetary policy transmission through house prices across the euro area countries. Housing market variations in the euro area seem to be better captured by changes in residential investment rather than by changes in house prices. As a result we do not find significantly large house price channels. For some of the countries however, we observe a monetary policy channel through residential investment. The existence of a housing channel may depend on institutional features of both the labour market or with institutional factors capturing the degree of household debt as is the LTV ratio. Originality/value – The study contributes to the existing literature by assessing whether a unitary monetary policy has a different impact on consumption across the euro area countries through their housing and mortgage markets. We disentangle monetary-policy-induced effects on consumption associated with variations on the housing markets due to either house price variations or residential investment changes. We show that the housing market can play a role in the monetary transmission mechanism even in countries with less developed mortgage markets through variations in residential investment.

The contagion effect of public debt on monetary policy: the brazilian experience

This paper attempts to explain why the Brazilian inter-bank interest rate is so high compared with rates practiced by other emerging economies. The interplay between the markets for bank reserves and government securities feeds into the inter-bank rate the risk premium of the Brazilian public debt.

Ensaios sobre inflação e política monetária

Esta tese tem por objetivo principal o estudo da relação entre atividade econômica, inflação e política monetária no tocante a três aspectos importantes. O primeiro, a perspectiva histórica da evolução da relação entre atividade e inflação no pensamento econômico. O segundo, a análise da dinâmica inflacionária utilizando um modelo com fundamentação microeconômica, no caso a curva de Phillips Novo-Keynesiana, com uma aplicação ao caso brasileiro. O terceiro, a avaliação da eficiência dos mecanismos de sinalização de política monetária utilizados pelo Banco Central no Brasil com base nos movimentos na estrutura a termo da taxa de juros com a mudança da meta da Selic. O elemento central que une estes ensaios é a necessidade do formulador de política econômica compreender o impacto significativo das ações de política monetária na definição do curso de curto prazo da economia real para atingir seus objetivos de aliar crescimento econômico com estabilidade de preços. Os resultados destes ensaios indicam que o modelo Novo-Keynesiano, resultado de um longo desenvolvimento na análise econômica, constitui-se numa ferramenta valiosa para estudar a relação entre atividade e inflação. Uma variante deste modelo foi empregada para estudar com relativo sucesso a dinâmica inflacionária no Brasil, obtendo valores para rigidez da economia próximos ao comportamento observado em pesquisas de campo. Finalmente, foi aliviada a previsibilidade das ações do Banco Central para avaliar o estágio atual de desenvolvimento do sistema de metas no Brasil, através da reação da estrutura a termo de juros às mudanças na meta da taxa básica (Selic). Os resultados indicam que comparando o período de 2003 a 2008 com 2000 a 2003, verificamos que os resultados apontam para o aumento da previsibilidade das decisões do Banco Central. Este fato pode ser explicado por alguns fatores: o aprendizado do público sobre o comportamento do Banco Central; a menor volatilidade econômica no cenário econômico e o aperfeiçoamento dos mecanismos de sinalização e da própria operação do sistema de metas. Comparando-se o efeito surpresa no Brasil com aqueles obtidos por países que promoveram mudanças significativas para aumentar a transparência da política monetária no período de 1990 a 1997, observa-se que o efeito surpresa no Brasil nas taxas de curto prazo reduziu-se significativamente. No período de 2000 a 2003, o efeito surpresa era superior aos de EUA, Alemanha e Reino Unido e era da mesma ordem de grandeza da Itália. No período de 2003 a 2008, o efeito surpresa no Brasil está próximo dos valores dos EUA e Alemanha e inferiores aos da Itália e Reino Unido.