C61 - Optimization Techniques; Programming Models; Dynamic Analysis

• Improving the Efficiency of Payments Systems Using Quantum Computing

  Staff Working Paper 2022-53 Christopher McMahon, Donald McGillivray, Ajit Desai, Francisco Rivadeneyra, Jean-Paul Lam, Thomas Lo, Danica Marsden, Vladimir Skavysh

  We develop an algorithm and run it on a hybrid quantum annealing solver to find an ordering of payments that reduces the amount of system liquidity necessary without substantially increasing payment delays.

  Content Type(s): Staff research, Staff working papers Topic(s): Digital currencies and fintech, Financial institutions, Financial services, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): C, C6, C61, C63, D, D8, D83, E, E4, E42, E5, E58

• Quantum Monte Carlo for Economics: Stress Testing and Macroeconomic Deep Learning

  Staff Working Paper 2022-29 Vladimir Skavysh, Sofia Priazhkina, Diego Guala, Thomas Bromley

  Using the quantum Monte Carlo algorithm, we study whether quantum computing can improve the run time of economic applications and challenges in doing so. We apply the algorithm to two models: a stress testing bank model and a DSGE model solved with deep learning. We also present innovations in the algorithm and benchmark it to classical Monte Carlo.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Economic models, Financial stability JEL Code(s): C, C1, C15, C6, C61, C63, C68, C7, E, E1, E13, G, G1, G17, G2, G21

• 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

• Firm-level Investment Under Imperfect Capital Markets in Ukraine

  Staff Working Paper 2019-14 Oleksandr Shcherbakov

  This paper develops and estimates a model of firm-level fixed capital investment when firms face borrowing constraints.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Economic models, Firm dynamics JEL Code(s): C, C6, C61, C63, D, D2, D24, G, G3, G31

• Should Central Banks Worry About Nonlinearities of their Large-Scale Macroeconomic Models?

  Staff Working Paper 2017-21 Vadym Lepetyuk, Lilia Maliar, Serguei Maliar

  How wrong could policymakers be when using linearized solutions to their macroeconomic models instead of nonlinear global solutions?

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Economic models JEL Code(s): C, C6, C61, C63, C68, E, E3, E31, E5, E52

• Housing and Tax-Deferred Retirement Accounts

  Staff Working Paper 2016-24 Anson T. Y. Ho, Jie Zhou

  Assets in tax-deferred retirement accounts (TDA) and housing are two major components of household portfolios. In this paper, we develop a life-cycle model to examine the interaction between households’ use of TDA and their housing decisions.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Housing JEL Code(s): C, C6, C61, D, D1, D14, D9, D91, E, E2, E21, H, H2, H24, R, R2, R21

• Cash Management and Payment Choices: A Simulation Model with International Comparisons

  Staff Working Paper 2013-53 Carlos Arango, Yassine Bouhdaoui, David Bounie, Martina Eschelbach, Lola Hernández

  Despite various payment innovations, today, cash is still heavily used to pay for low-value purchases. This paper develops a simulation model to test whether standard implications of the theory on cash management and payment choices can explain the use of payment instruments by transaction size.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Financial services, International topics JEL Code(s): C, C6, C61, E, E4, E41, E47

• Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis

  Staff Working Paper 2007-13 David Bolder, Tiago Rubin

  The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt-management strategy provides a wide variety of useful information. It does not, however, assist in determining an optimal debt-management strategy for the government in its current form.

  Content Type(s): Staff research, Staff working papers Topic(s): Debt management, Econometric and statistical methods, Financial markets, Fiscal policy JEL Code(s): C, C0, C1, C14, C15, C5, C51, C52, C6, C61, C65, E, E6, G, G1, H, H6, H63

• Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence

  Staff Working Paper 2006-38 Fousseni Chabi-Yo

  The author develops a strategy for utilizing higher moments and conditioning information efficiently, and hence improves on the variance bounds computed by Hansen and Jagannathan (1991, the HJ bound) and Gallant, Hansen, and Tauchen (1990, the GHT bound).

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Market structure and pricing JEL Code(s): C, C6, C61, G, G1, G12, G13

• The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments

  Staff Working Paper 2005-2 Fousseni Chabi-Yo, René Garcia, Eric Renault

  The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Market structure and pricing JEL Code(s): C, C6, C61, G, G1, G11, G12