Find our research on the financial system by keyword, author, content type, JEL code, topic or date of publication.
452
result(s)
Interbank Asset-Liability Networks with Fire Sale Management
Staff Working Paper 2020-41
Zachary Feinstein,
Grzegorz Halaj
Raising liquidity when funding is stressed creates pressure on the financial market. Liquidating large quantities of assets depresses their prices and may amplify funding shocks. How do banks weathering a funding crisis contribute to contagion risk?
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Financial system regulation and policies,
Payment clearing and settlement systems
JEL Code(s):
C,
C6,
C62,
C63,
C7,
C72,
G,
G0,
G01,
G1,
G11
The Interplay of Financial Education, Financial Literacy, Financial Inclusion and Financial Stability: Any Lessons for the Current Big Tech Era?
Staff Working Paper 2020-32
Nicole Jonker,
Anneke Kosse
The objective of this paper is twofold. First, we assess whether financial education might be a suitable tool to promote the financial inclusion opportunities that big techs provide. Second, we study how this potential financial inclusion could impact financial stability.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Development economics,
Digital currencies and fintech,
Financial markets,
Financial services,
Financial stability
JEL Code(s):
D,
D1,
D14,
D9,
D91,
D92,
G,
G2,
G21,
G23,
O,
O1,
O16
Maturity Composition and the Demand for Government Debt
Staff Working Paper 2020-29
Jason Allen,
Jakub Kastl,
Milena Wittwer
The main objectives of debt management are to raise stable and low-cost funding to meet the government’s financial needs and to maintain a well-functioning market for government securities.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Financial markets
JEL Code(s):
C,
C1,
C14,
D,
D4,
D44,
E,
E5,
E58,
G,
G1,
G12
Why Fixed Costs Matter for Proof-of-Work Based Cryptocurrencies
Staff Working Paper 2020-27
Rodney J. Garratt,
Maarten van Oordt
Can Bitcoin survive? Some say it will become vulnerable to attacks as the rewards for processing Bitcoin transactions continue to decline. The economics of fixed costs suggest the specialized hardware used to mine Bitcoin may be key to its survival.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Digital currencies and fintech,
Payment clearing and settlement systems
JEL Code(s):
G,
G1,
G10,
L,
L1,
L11
Dynamic Competition in Negotiated Price Markets
Staff Working Paper 2020-22
Jason Allen,
Shaoteng Li
Repeated interactions between borrowers and lenders create the possibility of dynamic pricing: lenders compete aggressively with low prices to attract new borrowers and then raise their prices once borrowers have made a commitment. We find such pricing patterns in the Canadian mortgage market.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial services,
Market structure and pricing
JEL Code(s):
D,
D4,
G,
G2,
G21,
L,
L2
The Term Structures of Loss and Gain Uncertainty
Staff Working Paper 2020-19
Bruno Feunou,
Ricardo Lopez Aliouchkin,
Roméo Tedongap,
Lai Xu
We investigate the uncertainty around stock returns at different investment horizons. Since a return is either a loss or a gain, we categorize return uncertainty into two components—loss uncertainty and gain uncertainty. We then use these components to evaluate investment.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods
JEL Code(s):
G,
G1,
G12
How Do Mortgage Rate Resets Affect Consumer Spending and Debt Repayment? Evidence from Canadian Consumers
Staff Working Paper 2020-18
Katya Kartashova,
Xiaoqing Zhou
We study the causal effect of mortgage rate changes on consumer spending, debt repayment and defaults during an expansionary and a contractionary monetary policy episode in Canada. We find asymmetric responses of consumer durable spending, deleveraging and defaults. These findings help us to understand household sector response to interest rate changes.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Interest rates,
Monetary policy,
Monetary policy transmission
JEL Code(s):
D,
D1,
D12,
D14,
E,
E4,
E43,
E5,
E52,
G,
G2,
G21,
R,
R3,
R31
Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields
Staff Working Paper 2020-14
Guihai Zhao
This equilibrium model explains the trend in long-term yields and business-cycle movements in short-term yields and yield spreads. The less-frequent inverted yield curves (and less-frequent recessions) after the 1990s are due to recent secular stagnation and procyclical inflation expectations.
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
Optimal Taxation in Asset Markets with Adverse Selection
Staff Working Paper 2020-11
Mohammad Davoodalhosseini
What is the optimal tax schedule in over-the-counter markets, e.g., those for corporate bonds? I find that an optimal tax schedule is often non-monotonic. For example, trading of some high-price assets should be subsidized, and trading of some low-price assets should be taxed.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
D,
D8,
D82,
D83,
E,
E2,
E24,
G,
G1,
G10,
J,
J3,
J31,
J6,
J64