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1775
result(s)
Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach
Staff Working Paper 2011-19
Toni Gravelle,
Fuchun Li
In this paper, we define a financial institution’s contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the financial institution. The higher the contribution is, the more systemically important is the institution for the system.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
C,
C1,
C14,
C5,
C58,
G,
G2,
G21,
G3,
G32
Price-Level Targeting and Inflation Expectations: Experimental Evidence
Staff Working Paper 2011-18
Robert Amano,
Jim Engle-Warnick,
Malik Shukayev
In this paper, we use an economics decision-making experiment to test a key assumption underpinning the efficacy of price-level targeting relative to inflation targeting for business cycle stabilization and mitigating the effects of the zero lower bound on nominal interest rates.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy framework
JEL Code(s):
E,
E3,
E32,
E5,
E52
Analyzing Default Risk and Liquidity Demand during a Financial Crisis: The Case of Canada
Staff Working Paper 2011-17
Jason Allen,
Ali Hortaçsu,
Jakub Kastl
This paper explores the reliability of using prices of credit default swap contracts (CDS) as indicators of default probabilities during the 2007/2008 financial crisis.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E42,
E5,
E58,
G,
G0,
G01,
G2,
G28
The Impact of Operational Events on the Network Structure of the LVTS
Staff Discussion Paper 2011-7
Tom Roberts
The author uses a quantitative network analysis approach to assess how participants in the Large Value Transfer System (LVTS) respond to partial outages at other banks.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Payment clearing and settlement systems
JEL Code(s):
C,
C4,
C49,
G,
G1,
G14,
G2,
G21
Real-Time Forecasts of the Real Price of Oil
Staff Working Paper 2011-16
Christiane Baumeister,
Lutz Kilian
We construct a monthly real-time data set consisting of vintages for 1991.1-2010.12 that is suitable for generating forecasts of the real price of oil from a variety of models.
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
The Role of Financial Speculation in Driving the Price of Crude Oil
Staff Discussion Paper 2011-6
Ron Alquist,
Olivier Gervais
Over the past 10 years, financial firms have increased the size of their positions in the oil futures market. At the same time, oil prices have increased dramatically.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
International topics
JEL Code(s):
G,
G1,
G12,
Q,
Q4,
Q41
External Stability, Real Exchange Rate Adjustment and the Exchange Rate Regime in Emerging-Market Economies
Staff Discussion Paper 2011-5
Olivier Gervais,
Lawrence L. Schembri,
Lena Suchanek
In emerging-market economies, real exchange rate adjustment is critical for maintaining a sustainable current account position and thereby for helping to reduce macroeconomic and financial instability.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Development economics,
Exchange rate regimes,
International topics
JEL Code(s):
F,
F3,
F31,
F32,
F4,
F41
Lessons from International Central Counterparties: Benchmarking and Analysis
Staff Discussion Paper 2011-4
Alexandre Lazarow
Since the financial crisis, attention has focused on central counterparties (CCPs) as a solution to systemic risk for a variety of financial markets, ranging from repurchase agreements and options to swaps.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial markets,
Financial stability,
Financial system regulation and policies,
Payment clearing and settlement systems
JEL Code(s):
G,
G0,
G01,
G1,
G14,
G18,
G2,
G28,
G3,
G38
Forecasting the Price of Oil
Staff Working Paper 2011-15
Ron Alquist,
Lutz Kilian,
Robert Vigfusson
We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications?
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C5,
C53,
Q,
Q4,
Q43,
Q47