Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1290
result(s)
Financial Factors and Labour Market Fluctuations
Staff Working Paper 2011-12
Yahong Zhang
What are the effects of financial market imperfections on unemployment and vacancies? Since standard DSGE models do not typically model unemployment, they abstract from this issue.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets,
Labour markets
JEL Code(s):
E,
E3,
E32,
E4,
E44,
J,
J6
Mixed Frequency Forecasts for Chinese GDP
Staff Working Paper 2011-11
Philipp Maier
We evaluate different approaches for using monthly indicators to predict Chinese GDP for the current and the next quarter (‘nowcasts’ and ‘forecasts’, respectively). We use three types of mixed-frequency models, one based on an economic activity indicator (Liu et al., 2007), one based on averaging over indicator models (Stock and Watson, 2004), and a static factor model (Stock and Watson, 2002).
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
Sovereign Default Risk Premia, Fiscal Limits and Fiscal Policy
Staff Working Paper 2011-10
Huixin Bi
We develop a closed economy model to study the interactions among sovereign risk premia, fiscal limits, and fiscal policy. The stochastic fiscal limits, which measure the ability and willingness of the government to service its debt, arise endogenously from a dynamic Laffer curve.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Fiscal policy,
International topics
JEL Code(s):
E,
E6,
E62,
H,
H3,
H30,
H6,
H60
Inventories, Markups and Real Rigidities in Sticky Price Models of the Canadian Economy
Staff Working Paper 2011-9
Oleksiy Kryvtsov,
Virgiliu Midrigan
Recent New Keynesian models of macroeconomy view nominal cost rigidities, rather than nominal price rigidities, as the key feature that accounts for the observed persistence in output and inflation. Kryvtsov and Midrigan (2010a,b) reassess these conclusions by combining a theory based on nominal rigidities and storable goods with direct evidence on inventories for the U.S.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Monetary policy transmission
JEL Code(s):
E,
E3,
E31,
F,
F1,
F12
Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market
Staff Working Paper 2011-8
Ingrid Lo,
Stephen Sapp
This paper empirically examines how dispersions across investors beliefs influence traders order submission decisions in the foreign exchange market. Previous research has found that dispersion in traders beliefs regarding future macroeconomic announcements has a significant impact on both price dynamics and trading volume before the announcements in the foreign exchange and other financial markets.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Market structure and pricing
JEL Code(s):
D,
D4,
G,
G1
Money and Costly Credit
Staff Working Paper 2011-7
Mei Dong
I study an economy in which money and credit coexist as means of payment and the settlement of credit requires money. The model extends recent developments in microfounded monetary theory to address the choice of payment methods and the effects of inflation. Whether a buyer uses money or credit depends on the fixed cost of credit and the inflation rate.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Inflation: costs and benefits
JEL Code(s):
E,
E4,
E41,
E5,
E50
The Private Equity Premium Puzzle Revisited
Staff Working Paper 2011-6
Katya Kartashova
In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the authors’ methodology I replicate the original findings from the Survey of Consumer Finances (SCF) for the period 1989–1998 and show that the returns to private and public equity are similar.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Interest rates,
Recent economic and financial developments
JEL Code(s):
G,
G1,
G11,
G12,
G2,
G24,
G3,
G31,
G32
Private Information Flow and Price Discovery in the U.S. Treasury Market
Staff Working Paper 2011-5
George Jiang,
Ingrid Lo
Existing studies show that U.S. Treasury bond price changes are mainly driven by public information shocks, as manifested in macroeconomic news announcements and events. The literature also shows that heterogeneous private information contributes significantly to price discovery for U.S. Treasury securities.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G12,
G14
Counterfeit Quality and Verification in a Monetary Exchange
Staff Working Paper 2011-4
Ben Fung,
Enchuan Shao
Recent studies on counterfeiting in a monetary search framework show that counterfeiting does not occur in a monetary equilibrium. These findings are inconsistent with the observation that counterfeiting of bank notes has been a serious problem in some countries.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes
JEL Code(s):
D,
D8,
D82,
D83,
E,
E4,
E42,
E5,
E50