Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1295
result(s)
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
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
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
Real-Financial Linkages in the Canadian Economy: An Input-Output Approach
Staff Working Paper 2011-14
Danny Leung,
Oana Secrieru
The purpose of this paper is twofold. First, we provide a detailed social accounting matrix (SAM), which incorporates the income and financial flows into the standard input-output matrix, for the Canadian economy for 2004.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets,
Sectoral balance sheet
JEL Code(s):
C,
C6,
C67,
D,
D5,
D57
Bank Loans for Private and Public Firms in a Credit Crunch
Staff Working Paper 2011-13
Jason Allen,
Teodora Paligorova
Banks reliance on short-term funding has increased over time. While an effective source of financing in good times, the 2007 financial crisis has exposed the vulnerability of banks and ultimately firms to such a liability structure.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions
JEL Code(s):
G,
G0,
G01,
G2,
G20
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