Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1320
result(s)
Money and Price Posting under Private Information
Staff Working Paper 2011-22
Mei Dong,
Janet Hua Jiang
We study price posting with undirected search in a search-theoretic monetary model with divisible money and divisible goods. Ex ante homogeneous buyers experience match specific preference shocks in bilateral trades. The shocks follow a continuous distribution and the realization of the shocks is private information.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Inflation and prices
JEL Code(s):
D,
D8,
D82,
D83,
E,
E3,
E31
Fixed-Term and Permanent Employment Contracts: Theory and Evidence
Staff Working Paper 2011-21
Shutao Cao,
Enchuan Shao,
Pedro Silos
This paper constructs a theory of the coexistence of fixed-term and permanent employment contracts in an environment with ex-ante identical workers and employers. Workers under fixed-term contracts can be dismissed at no cost while permanent employees enjoy labor protection.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Labour markets,
Potential output,
Productivity
JEL Code(s):
H,
H2,
H29,
J,
J2,
J23,
J3,
J38
A Stochastic Volatility Model with Conditional Skewness
Staff Working Paper 2011-20
Bruno Feunou,
Roméo Tedongap
We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods
JEL Code(s):
C,
C1,
C5,
G,
G1,
G12
Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach
Staff Working Paper 2011-19
Toni Gravelle,
Fuchun Li
In this paper, we define a financial institution’s contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the financial institution. The higher the contribution is, the more systemically important is the institution for the system.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
C,
C1,
C14,
C5,
C58,
G,
G2,
G21,
G3,
G32
Price-Level Targeting and Inflation Expectations: Experimental Evidence
Staff Working Paper 2011-18
Robert Amano,
Jim Engle-Warnick,
Malik Shukayev
In this paper, we use an economics decision-making experiment to test a key assumption underpinning the efficacy of price-level targeting relative to inflation targeting for business cycle stabilization and mitigating the effects of the zero lower bound on nominal interest rates.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy framework
JEL Code(s):
E,
E3,
E32,
E5,
E52
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