Browse research

We use internationally comparable household-level data for ten euro area economies and the United States to investigate cross-country differences in debt holdings and the potential of debt overhang.

Sampling units for the 2013 Methods-of-Payment Survey were selected through an approximate stratified random sampling design. To compensate for non-response and non-coverage, the observations are weighted through a raking procedure.

Using the Panel Study of Income Dynamics, this paper studies household stock market participation and trading behavior in 2007–09, a period that saw a major stock market downswing. The stock market participation rate fell after the market crash.

Sample calibration is a procedure that utilizes sample and national-level demographic distribution information to weight survey participants. The objective of calibration is to weight the sample so that it is demographically representative of the target population.

We propose a novel theory of financial contagion. We study global coordination games of regime change in two regions with an initially uncertain correlation of regional fundamentals.

The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting the heteroskedasticity of intraday changes in bond yields for identification.

As the sole issuer of bank notes, the Bank of Canada conducts methods-of-payment (MOP) surveys to obtain a detailed and representative snapshot of Canadian payment choices, with a focus on cash usage.

Exports in advanced economies have been relatively sluggish since 2011, growing at a much slower pace than observed before the global financial crisis.

Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks.

Plain vanilla options have a single underlying asset and a single condition on the payoff at the expiration date. For this class of options, a well-known result of Duffie, Pan and Singleton (2000) shows how to invert the characteristic function to obtain a closed-form formula for their prices.