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1290
result(s)
A Behavioral New Keynesian Model of a Small Open Economy Under Limited Foresight
Staff Working Paper 2023-44
Seunghoon Na,
Yinxi Xie
This paper studies exchange rate dynamics by incorporating bounded rationality, that is, limited foresight, in a small open-economy model. This behavior of limited foresight helps explain several observations and puzzles in the data of exchange rate movements.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Exchange rates,
International topics,
Monetary policy transmission
JEL Code(s):
E,
E4,
E43,
E7,
E70,
F,
F3,
F31,
F4,
F41
Competition for Exclusivity and Customer Lock-in: Evidence from Copyright Enforcement in China
Staff Working Paper 2023-43
Youming Liu
This paper studies the music streaming industry and argues that having exclusive rights granted by copyright law drives firms to offer exclusive content to lock in customers. I employ theoretical and descriptive empirical analysis, along with a dynamic structural model, to support the argument and explore policies for improving competition.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Firm dynamics,
Market structure and pricing
JEL Code(s):
L,
L1,
L13,
L4,
L42,
L5,
L51
Understanding DeFi Through the Lens of a Production-Network Model
Staff Working Paper 2023-42
Jonathan Chiu,
Thorsten Koeppl,
Hanna Yu,
Shengxing Zhang
We develop a production-network model to capture how decentralized finance (DeFi) has evolved across different sectors of financial services. The model allows us to measure the value added by different DeFi sectors and to study how the connections across the sectors influence token prices.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Digital currencies and fintech,
Payment clearing and settlement systems
JEL Code(s):
G,
G2
Flagship Entry in Online Marketplaces
Staff Working Paper 2023-41
Ginger Zhe Jin,
Zhentong Lu,
Xiaolu Zhou,
Lu Fang
In this paper, we empirically study how flagship entry in an online marketplace affects consumers, the platform, and various sellers on the platform. We find flagship entry may benefit consumers by expanding the choice set, by intensifying price competition within the entry brand, and by improving consumer perception for parts of the platform.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Market structure and pricing
JEL Code(s):
D,
D4,
L,
L1,
L8
Generalized Autoregressive Gamma Processes
Staff Working Paper 2023-40
Bruno Feunou
We introduce generalized autoregressive gamma (GARG) processes, a class of autoregressive and moving-average processes in which each conditional moment dynamic is driven by a different and identifiable moving average of the variable of interest. We show that using GARG processes reduces pricing errors by substantially more than using existing autoregressive gamma processes does.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods
JEL Code(s):
C,
C5,
C58,
G,
G1,
G12
Is Money Essential? An Experimental Approach
Staff Working Paper 2023-39
Janet Hua Jiang,
Peter Norman,
Daniela Puzzello,
Bruno Sultanum,
Randall Wright
Monetary theory says that money is essential if it helps to achieve better incentive-feasible outcomes. We test this in the laboratory.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Economic models
JEL Code(s):
C,
C9,
C92,
E,
E4,
E5
Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps
Staff Working Paper 2023-38
Andrea Ugolini,
Juan C. Reboredo,
Javier Ojea Ferreiro
We study whether the credit derivatives of firms reflect the risk from climate transition. We find that climate transition risk has asymmetric and significant economic impacts on the credit risk of more vulnerable firms, and negligible effects on other firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Climate change,
Credit risk management,
Econometric and statistical methods
JEL Code(s):
C,
C2,
C24,
G,
G1,
G12,
G3,
G32,
Q,
Q5,
Q54
Global Demand and Supply Sentiment: Evidence from Earnings Calls
Staff Working Paper 2023-37
Temel Taskin,
Franz Ulrich Ruch
This paper quantifies global demand, supply and uncertainty shocks and compares two major global recessions: the 2008–09 Great Recession and the COVID-19 pandemic. We use two alternate approaches to decompose economic shocks: text mining techniques on earnings calls transcripts and a structural Bayesian vector autoregression model.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Coronavirus disease (COVID-19),
Econometric and statistical methods,
Inflation and prices,
International topics
JEL Code(s):
C,
C1,
C11,
C3,
C32,
E,
E3,
E32,
G,
G1,
G10
What People Believe About Monetary Finance and What We Can(’t) Do About It: Evidence from a Large-Scale, Multi-Country Survey Experiment
Staff Working Paper 2023-36
Cars Hommes,
Julien Pinter,
Isabelle Salle
We conduct a large-scale survey to shed light on what people believe about public finance. An experiment demonstrates that central bank communication can persistently shift views on monetary financing. It further suggests that views on monetary financing impact support for fiscal discipline.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Fiscal policy,
Monetary policy
JEL Code(s):
C,
C8,
C83,
E,
E5,
E58,
E6,
E60,
E62,
E7,
E70,
G,
G5,
G53,
H,
H3,
H31