C - Mathematical and Quantitative Methods

• 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

• Do Sunspots Matter? Evidence from an Experimental Study of Bank Runs

  Staff Working Paper 2014-12 Jasmina Arifovic, Janet Hua Jiang

  A "sunspot" is a variable that has no direct impact on the economy’s fundamental condition, such as preferences, endowments or technologies, but may nonetheless affect economic outcomes through the expectations channel as a coordination device. This paper investigates how people react to sunspots in the context of a bank-run game in a controlled laboratory environment.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial stability JEL Code(s): C, C9, C91, C92, D, D8, D80, E, E5, E58, G, G2, G20

• Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work

  Staff Working Paper 2014-11 Christiane Baumeister, Pierre Guérin, Lutz Kilian

  The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast monthly and quarterly oil prices. There also has been increased interest in the link between financial markets and oil markets, including the question of whether financial market information helps forecast the real price of oil in physical markets.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, G, G1, G14, Q, Q4, Q43

• 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 Research Topic(s): Bank notes, Financial services, International topics JEL Code(s): C, C6, C61, E, E4, E41, E47

• A Distributional Approach to Realized Volatility

  Staff Working Paper 2013-49 Selma Chaker, Nour Meddahi

  This paper proposes new measures of the integrated variance, measures which use high-frequency bid-ask spreads and quoted depths. The traditional approach assumes that the mid-quote is a good measure of frictionless price.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C14, C5, C51, C58

• Volatility Forecasting when the Noise Variance Is Time-Varying

  Staff Working Paper 2013-48 Selma Chaker, Nour Meddahi

  This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the noise variance is related to the true return volatility.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C14, C5, C51, C58

• Heterogeneous Returns to U.S. College Selectivity and the Value of Graduate Degree Attainment

  Staff Working Paper 2013-46 Mai Seki

  Existing studies on the returns to college selectivity have mixed results, mainly due to the difficulty of controlling for selection into more-selective colleges based on unobserved ability.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets JEL Code(s): C, C3, C30, I, I2, I21

• Expectations and Monetary Policy: Experimental Evidence

  Staff Working Paper 2013-44 Oleksiy Kryvtsov, Luba Petersen

  The effectiveness of monetary policy depends, to a large extent, on market expectations of its future actions. In a standard New Keynesian business-cycle model with rational expectations, systematic monetary policy reduces the variance of inflation and the output gap by at least two-thirds.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Monetary policy implementation, Monetary policy transmission JEL Code(s): C, C9, D, D8, D84, E, E3, E5, E52

• High-Frequency Real Economic Activity Indicator for Canada

  Staff Working Paper 2013-42 Gitanjali Kumar

  I construct a weekly measure of real economic activity in Canada. Based on the work of Aruoba et al. (2009), the indicator is extracted as an unobserved component underlying the co-movement of four monthly observed real macroeconomic variables - employment, manufacturing sales, retail sales and GDP.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C38, E, E3, E32