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1785
result(s)
Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults
Staff Working Paper 2013-19
M. Hashem Pesaran,
TengTeng Xu
This paper proposes a theoretical framework to analyze the relationship between credit shocks, firm defaults and volatility, and to study the impact of credit shocks on business cycle dynamics.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Economic models,
Financial institutions
JEL Code(s):
E,
E3,
E32,
E4,
E44,
G,
G2,
G21
Booms and Busts in House Prices Explained by Constraints in Housing Supply
Staff Working Paper 2013-18
Narayan Bulusu,
Jefferson Duarte,
Carles Vergara-Alert
We study the importance of supply constraints in explaining the heterogeneity in house price cycles across geographies in the United States.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Economic models
JEL Code(s):
R,
R3,
R31
Fire-Sale FDI or Business as Usual?
Staff Working Paper 2013-17
Ron Alquist,
Rahul Mukherjee,
Linda Tesar
Using a new data set, we examine the characteristics and dynamics of cross-border mergers and acquisitions during emerging-market financial crises, that is, so-called “fire-sale FDI.” Our findings shed fresh light on whether the transactions undertaken during crisis periods differ in fundamental ways from those undertaken during more tranquil periods.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International financial markets,
International topics
JEL Code(s):
F,
F2,
F21,
G,
G0,
G01,
G3,
G34
Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances
Staff Working Paper 2013-16
Sermin Gungor,
Richard Luger
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C12,
C15,
C3,
C33,
G,
G1,
G11,
G12
What Central Bankers Need to Know about Forecasting Oil Prices
Staff Working Paper 2013-15
Christiane Baumeister,
Lutz Kilian
Forecasts of the quarterly real price of oil are routinely used by international organizations and central banks worldwide in assessing the global and domestic economic outlook, yet little is known about how best to generate such forecasts. Our analysis breaks new ground in several dimensions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C5,
C53,
E,
E3,
E32,
Q,
Q4,
Q43
Are Sunspots Learnable? An Experimental Investigation in a Simple General-Equilibrium Model
Staff Working Paper 2013-14
Jasmina Arifovic,
George Evans,
Olena Kostyshyna
We conduct experiments with human subjects in a model with a positive production externality in which productivity is a non-decreasing function of the average level of employment of other firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models
JEL Code(s):
D,
D8,
D83,
G,
G2,
G20
A Semiparametric Early Warning Model of Financial Stress Events
Staff Working Paper 2013-13
Ian Christensen,
Fuchun Li
The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial stability
JEL Code(s):
C,
C1,
C12,
C14,
G,
G0,
G01,
G1,
G17
Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics
Staff Working Paper 2013-12
Jianjian Jin
This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of risk-neutral and realized volatilities.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Economic models
JEL Code(s):
G,
G1,
G12,
G17
Forecasting with Many Models: Model Confidence Sets and Forecast Combination
Staff Working Paper 2013-11
Jon D. Samuels,
Rodrigo Sekkel
A longstanding finding in the forecasting literature is that averaging forecasts from different models often improves upon forecasts based on a single model, with equal weight averaging working particularly well. This paper analyzes the effects of trimming the set of models prior to averaging.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C5,
C53