Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1302
result(s)
House Price Dynamics: Fundamentals and Expectations
Staff Working Paper 2012-12
Eleonora Granziera,
Sharon Kozicki
We investigate whether expectations that are not fully rational have the potential to explain the evolution of house prices and the price-to-rent ratio in the United States.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Domestic demand and components,
Economic models
JEL Code(s):
E,
E3,
E6,
E65,
R,
R2,
R21
Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
Staff Working Paper 2012-11
Bruno Feunou,
Jean-Sébastien Fontaine,
Abderrahim Taamouti,
Roméo Tedongap
Expected returns vary when investors face time-varying investment opportunities. Long-run risk models (Bansal and Yaron 2004) and no-arbitrage affine models (Duffie, Pan, and Singleton 2000) emphasize sources of risk that are not observable to the econometrician.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial services
JEL Code(s):
G,
G1,
G12,
G13
When Is It Less Costly for Risky Firms to Borrow? Evidence from the Bank Risk- Taking Channel of Monetary Policy
Staff Working Paper 2012-10
Teodora Paligorova,
João Santos
In an investigation of banks’ loan pricing policies in the United States over the past two decades, this study finds supporting evidence for the bank risk-taking channel of monetary policy. We show that banks charge lower spreads when they lend to riskier borrowers relative to the spreads they charge on loans to safer borrowers in periods of low short-term rates compared to periods of high short-term rates.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Monetary policy framework
JEL Code(s):
G,
G2,
G21
Central Bank Communication or the Media’s Interpretation: What Moves Markets?
Staff Working Paper 2012-9
Scott Hendry
The goal of this paper is to investigate what type of information from Bank of Canada communication statements or the market commentary based on these statements has a significant effect on the volatility or level of returns in a short-term interest rate market.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets
JEL Code(s):
E,
E5,
E58,
G,
G1,
G14
Growth in Emerging Market Economies and the Commodity Boom of 2003–2008: Evidence from Growth Forecast Revisions
Staff Working Paper 2012-8
Elif Arbatli,
Garima Vasishtha
Demand for industrial raw materials from emerging economies, particularly emerging Asia, is widely believed to have fueled the surge in oil and industrial commodity prices during 2002-2008. The paper first presents a simple storage model in which commodity prices respond to market participant’s changing expectations of the future macroeconomic environment.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
Q,
Q4,
Q41,
Q43
Short-Term Forecasting of the Japanese Economy Using Factor Models
Staff Working Paper 2012-7
Claudia Godbout,
Marco J. Lombardi
While the usefulness of factor models has been acknowledged over recent years, little attention has been devoted to the forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor models over different samples, including the recent financial crisis.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C5,
C50,
C53,
E,
E3,
E37,
E4,
E47
Macroprudential Rules and Monetary Policy when Financial Frictions Matter
Staff Working Paper 2012-6
Jeannine Bailliu,
Césaire Meh,
Yahong Zhang
This paper examines the interaction between monetary policy and macroprudential policy and whether policy makers should respond to financial imbalances. To address this issue, we build a dynamic general equilibrium model that features financial market frictions and financial shocks as well as standard macroeconomic shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets,
Financial stability,
Monetary policy framework
JEL Code(s):
E,
E4,
E42,
E5,
E50,
E6,
E60
An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks
Staff Working Paper 2012-5
Gregory Bauer,
Antonio Diez de los Rios
We construct a multi-country affine term structure model that contains unspanned macroeconomic and foreign exchange risks. The canonical version of the model is derived and is shown to be easy to estimate.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Exchange rates,
Interest rates
JEL Code(s):
E,
E4,
E43,
F,
F3,
F31,
G,
G1,
G12,
G15
Price Competition and Concentration in Search and Negotiation Markets: Evidence from Mortgage Lending
Staff Working Paper 2012-4
Jason Allen,
Robert Clark,
Jean-François Houde
This paper examines the impact of bank consolidation on mortgage rates in order to evaluate the extent to which mortgage markets are competitive. Mortgage markets are decentralized and so rates are determined through a search and negotiation process.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial services,
Interest rates
JEL Code(s):
G,
G2,
L,
L1