Staff working papers

• Rollover Risk, Liquidity and Macroprudential Regulation

  Staff Working Paper 2014-23 Toni Ahnert

  I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex ante and are subject to fire sales ex post.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial system regulation and policies JEL Code(s): G, G0, G01, G1, G11, G2, G28

• Understanding the Cash Demand Puzzle

  Staff Working Paper 2014-22 Janet Hua Jiang, Enchuan Shao

  We develop a model to explain a puzzling trend in cash demand in recent years: the value of bank notes in circulation as a percentage of GDP has remained stable despite decreasing cash usage at points of sale owing to competition from alternative means of payment such as credit cards.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Credit and credit aggregates, Digital currencies and fintech JEL Code(s): E, E4, E41, E5, E51

• Monetary Policy Transmission during Financial Crises: An Empirical Analysis

  Staff Working Paper 2014-21 Tatjana Dahlhaus

  This paper studies the effects of a monetary policy expansion in the United States during times of high financial stress. The analysis is carried out by introducing a smooth transition factor model where the transition between states (“normal” and high financial stress) depends on a financial conditions index.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, Monetary policy transmission JEL Code(s): C, C1, C11, C3, C32, E, E3, E32, E4, E44, G, G0, G01

• Consumer Cash Usage: A Cross-Country Comparison with Payment Diary Survey Data

  Staff Working Paper 2014-20 John Bagnall, David Bounie, Kim Huynh, Anneke Kosse, Tobias Schmidt, Scott Schuh, Helmut Stix

  We measure consumers’ use of cash by harmonizing payment diary surveys from seven countries. The seven diary surveys were conducted in 2009 (Canada), 2010 (Australia), 2011 (Austria, France, Germany and the Netherlands), and 2012 (the United States).

  Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods, Financial services JEL Code(s): D, D1, D12, E, E4, E41, E5, E58

• High-Frequency Trading Competition

  Staff Working Paper 2014-19 Jonathan Brogaard, Corey Garriott, Anna Pomeranets

  We analyze trading dynamics as successive high-frequency trading (HFT) firms begin to trade stocks in an equity market. Entrants compete with incumbents for volume, and there is crowding out.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G14, G2, G20, L, L1

• Interest on Cash, Fundamental Value Process and Bubble Formation on Experimental Asset Markets

  Staff Working Paper 2014-18 Giovanni Giusti, Janet Hua Jiang, Yiping Xu

  We study the formation of price bubbles on experimental asset markets where cash earns interest. There are two main conclusions.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets, Financial stability JEL Code(s): C, C9, C90, G, G1, G10

• Multiple Fixed Effects in Binary Response Panel Data Models

  Staff Working Paper 2014-17 Karyne B. Charbonneau

  This paper considers the adaptability of estimation methods for binary response panel data models to multiple fixed effects. It is motivated by the gravity equation used in international trade, where important papers such as Helpman, Melitz and Rubinstein (2008) use binary response models with fixed effects for both importing and exporting countries.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C2, C23, C25, F, F1, F14

• E-Money: Efficiency, Stability and Optimal Policy

  Staff Working Paper 2014-16 Jonathan Chiu, Tsz-Nga Wong

  What makes e-money more special than cash? Is the introduction of e-money necessarily welfare enhancing? Is an e-money system necessarily stable? What is the optimal way to design an efficient and stable e-money scheme?

  Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Payment clearing and settlement systems JEL Code(s): E, E4, E42, E5, E58, L, L5, L51

• The Efficiency of Private E-Money-Like Systems: The U.S. Experience with State Bank Notes

  Staff Working Paper 2014-15 Warren E. Weber

  In the United States prior to 1863 each bank issued its own distinct notes. E-money shares many of the characteristics of these bank notes. This paper describes some lessons relevant to e-money from the U.S. experience with state bank notes.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Financial services JEL Code(s): E, E4, E41, E42, E5, E58

• Uncertain Costs and Vertical Differentiation in an Insurance Duopoly

  Staff Working Paper 2014-14 Radoslav Raykov

  Classical oligopoly models predict that firms differentiate vertically as a way of softening price competition, but some metrics suggest very little quality differentiation in the U.S. auto insurance market.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Market structure and pricing JEL Code(s): D, D4, D43, D8, D81, G, G2, G22, L, L2, L22