Staff Working Papers

• Contagion in Dealer Networks

  Staff Working Paper 2020-1 Jean-Sébastien Fontaine, Adrian Walton

  Dealers connect investors who want to buy or sell securities in financial markets. Over time, dealers and investors form trading networks to save time and resources. An emerging field of research investigates how networks form.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial markets, Market structure and pricing, Payment clearing and settlement systems JEL Code(s): E, E4, G, G1, G2, G21, L, L1, L14

• Monetary Policy and Government Debt Dynamics Without Commitment

  Staff Working Paper 2019-52 Dmitry Matveev

  I show that maturity considerations affect the optimal conduct of monetary and fiscal policy during a period of government debt reduction. I consider a New Keynesian model and study a dynamic game of monetary and fiscal policy authorities without commitment, characterizing the incentives that drive the choice of interest rate.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Fiscal Policy, Monetary Policy JEL Code(s): E, E5, E52, E6, E62, E63

• Technology Adoption in Input-Output Networks

  Staff Working Paper 2019-51 Xintong Han, Lei Xu

  We study how input-output networks affect the speed of technology adoption. In particular, we model the decision to adopt the programming language Python 3 by software packages. Python 3 provides advanced features but is not backward compatible with Python 2, which implies it comes with adoption costs.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Economic models, Firm dynamics, Productivity JEL Code(s): C, C6, C61, L, L2, L23, L8, L86, O, O1, O14, O3, O33

• Monetary Payoff and Utility Function in Adaptive Learning Models

  Staff Working Paper 2019-50 Erhao Xie

  When players repeatedly face an identical or similar game (e.g., coordination game, technology adoption game, or product choice game), they may learn through experience to perform better in the future. This learning behaviour has important economic implications.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, Economic models JEL Code(s): C, C5, C57, C7, C72, C9, C92

• On the Evolution of Multiple Jobholding in Canada

  Staff Working Paper 2019-49 Olena Kostyshyna, Etienne Lalé

  The number of workers who hold more than one job (a.k.a. multiple jobholders) has increased recently in Canada. While this seems to echo the view that non-standard work arrangements are becoming pervasive, the increase has in fact been trivial compared with the long-run rise of multiple jobholding that has occurred since the mid-1970s.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, Labour markets JEL Code(s): E, E2, E24, J, J2, J21, J22, J6, J60

• Model Uncertainty and Wealth Distribution

  Staff Working Paper 2019-48 Edouard Djeutem, Shaofeng Xu

  This paper studies the implications of model uncertainty for wealth distribution in a tractable general equilibrium model with a borrowing constraint and robustness à la Hansen and Sargent (2008). Households confront model uncertainty about the process driving the return of the risky asset, and they choose robust policies.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Business fluctuations and cycles, Economic models JEL Code(s): D, D3, D8, E, E2

• Loan Insurance, Market Liquidity, and Lending Standards

  Staff Working Paper 2019-47 Toni Ahnert, Martin Kuncl

  Third parties often assume default risk at loan origination in return for a fee. Insurance, various guarantees and external credit enhancements protect the owner of the loan against borrower default. Governments often assume such default risk through guarantees for various types of loans, including mortgages, student loans and small business loans.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial Institutions, Financial markets, Financial system regulation and policies JEL Code(s): G, G0, G01, G2, G21, G28

• Extreme Downside Risk in Asset Returns

  Staff Working Paper 2019-46 Lerby Ergun

  Financial markets can experience sudden and extreme downward movements. Investors are highly concerned about the performance of their assets in such scenarios. Some assets perform badly in a downturn in the market; others have milder reactions.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Econometric and statistical methods JEL Code(s): C, C1, C14, G, G1, G11, G12

• What Do Survey Data Tell Us About US Businesses?

  Staff Working Paper 2019-45 Anmol Bhandari, Serdar Birinci, Ellen McGrattan, Kurt See

  This paper examines the reliability of survey data on business incomes, valuations, and rates of return, which are key inputs for studies of wealth inequality and entrepreneurial choice.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Business fluctuations and cycles, Firm dynamics JEL Code(s): C, C8, C83, E, E2, E22, H, H2, H25

• Interconnected Banks and Systemically Important Exposures

  Staff Working Paper 2019-44 Alan Roncoroni, Stefano Battiston, Marco D’Errico, Grzegorz Halaj, Christoffer Kok

  How do banks' interconnections in the euro area contribute to the vulnerability of the banking system? We study both the direct interconnections (banks lend to each other) and the indirect interconnections (banks are exposed to similar sectors of the economy). These complex linkages make the banking system more vulnerable to contagion risks.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial stability JEL Code(s): C, C6, C63, G, G1, G15, G2, G21