Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1302
result(s)
Financial Crisis Resolution
Staff Working Paper 2012-42
Josef Schroth
This paper studies a dynamic version of the Holmstrom-Tirole model of intermediated finance. I show that competitive equilibria are not constrained efficient when the economy experiences a financial crisis. A pecuniary externality entails that banks’ desire to accumulate capital over time aggravates the scarcity of informed capital during the financial crisis.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial system regulation and policies
JEL Code(s):
D,
D5,
D53,
E,
E6,
E60,
G,
G0,
G01,
G1,
G10,
G18
Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy
Staff Working Paper 2012-41
Jean-Sébastien Fontaine
Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Still, for most applications, researchers rely on the assumption that the policy rate changes linearly with economic conditions and they do not distinguish between dates with and without scheduled announcements.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43,
E44,
E47,
G,
G1,
G12,
G13
The Effects of Oil Price Uncertainty on the Macroeconomy
Staff Working Paper 2012-40
Soojin Jo
This paper investigates the effect of oil price uncertainty on real economic activity using a quarterly VAR with stochastic volatility in mean. Stochastic volatility allows oil price uncertainty to vary separately from changes in the level of oil prices, and thus the impact of oil price uncertainty can be examined in a more flexible yet tractable way.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods
JEL Code(s):
C,
C3,
C32,
E,
E3,
E32,
Q,
Q4,
Q43
Consumer Interest Rates and Retail Mutual Fund Flows
Staff Working Paper 2012-39
Jesus Sierra
This paper documents a link between the real and financial sides of the economy. We find that retail equity mutual fund flows in Canada are negatively related to current and past changes in a component of the prime and 5-year mortgage rates that is uncorrelated with government rates.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial services,
Interest rates
JEL Code(s):
G,
G2,
G21,
G23
Liquidity and Central Clearing: Evidence from the CDS Market
Staff Working Paper 2012-38
Joshua Slive,
Jonathan Witmer,
Elizabeth Woodman
An international initiative to increase the use of central clearing for OTC derivatives emerged as one of the reactions to the 2008 financial crisis. The move to central clearing is a fundamental change in the structure of the market.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G3,
G30,
G38
Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields
Staff Working Paper 2012-37
Bruno Feunou,
Jean-Sébastien Fontaine
We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk premiums when real bonds or inflation swaps are unavailable or unreliable due to their relative illiquidity.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods,
Inflation and prices,
Interest rates
JEL Code(s):
E,
E4,
E43,
E47,
G,
G1,
G12
The Role of Credit in International Business Cycles
Staff Working Paper 2012-36
TengTeng Xu
This paper examines the role of bank credit in modeling and forecasting business cycle fluctuations, and investigates the international transmission of US credit shocks, using a global vector autoregressive (GVAR) framework and associated country-specific error correction models.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Econometric and statistical methods,
International financial markets
JEL Code(s):
C,
C3,
C32,
E,
E3,
E32,
E4,
E44,
G,
G2,
G21
When Lower Risk Increases Profit: Competition and Control of a Central Counterparty
Staff Working Paper 2012-35
Jean-Sébastien Fontaine,
Héctor Pérez Saiz,
Joshua Slive
We model the behavior of dealers in Over-the-Counter (OTC) derivatives markets where a small number of dealers trade with a continuum of heterogeneous clients (hedgers). Imperfect competition and (endogenous) default induce a familiar trade-off between competition and risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G1,
G10,
G18
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
Staff Working Paper 2012-34
Peter Christoffersen,
Bruno Feunou,
Kris Jacobs,
Nour Meddahi
Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods
JEL Code(s):
G,
G1,
G13