G00 - General

• Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields

  Staff Working Paper 2020-14 Guihai Zhao

  Given that the stochastic discount factor (SDF) from any equilibrium model has direct implications for yield curves, the historical dynamics of the US Treasury yield curve should tell us what a good SDF should look like from a historical perspective.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset pricing, Financial markets, Interest rates JEL Code(s): E, E4, E43, G, G0, G00, G1, G12

• Ambiguity, Nominal Bond Yields and Real Bond Yields

  Staff Working Paper 2018-24 Guihai Zhao

  Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal yield curves. We develop a model that can generate upward-sloping nominal and real yield curves by instead using ambiguity about inflation and growth.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset pricing, Financial markets, Interest rates JEL Code(s): E, E4, E43, G, G0, G00, G1, G12

• Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures

  Staff Working Paper 2007-25 Alejandro García, Ramazan Gençay

  We propose a framework that allows a portfolio manager to quantify the probability of simultaneous losses in multiple assets of a collateral portfolio. Using this framework, we propose a methodology to conduct stress tests on the market value of the portfolio of collateral when undesirable extreme dependence occurs.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, Financial markets, Financial stability JEL Code(s): C, C1, C10, G, G0, G00, G1, G10

• Financial Constraints and Investment: Assessing the Impact of a World Bank Loan Program on Small and Medium-Sized Enterprises in Sri Lanka

  Staff Working Paper 2003-37 Varouj Aivazian, Dipak Mazumdar, Eric Santor

  The authors examine the investment behaviour of a sample of small, credit-constrained firms in Sri Lanka. Using a unique panel-data set, they analyze and compare the activities of two groups of small firms distinguished by their different access to financing; one group consists of firms with heavily subsidized loans from the World Bank, and the other consists of firms without such subsidies.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Development economics JEL Code(s): G, G0, G00, O, O1, O16

• Financial Structure and Economic Growth: A Non-Technical Survey

  Staff Working Paper 2002-24 Veronika Dolar, Césaire Meh

  There is a large body of literature that studies the relationship between financial structure (that is, the degree to which the financial system is either market- or intermediary-based) and long-run economic growth.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Development economics, Economic models, Financial institutions, Financial markets, Financial services JEL Code(s): F, F3, F36, G, G0, G00, G1, G14, G2, G21, K, K2, K22, O, O1, O16