Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1295
result(s)
Cyber Risk and Security Investment
Staff Working Paper 2022-32
Toni Ahnert,
Michael Brolley,
David Cimon,
Ryan Riordan
We develop a principal-agent model of cyber-attacking with fee-paying clients who delegate security decisions to financial platforms. We derive testable implications about clients’ vulnerability to cyber attacks and about the fees charged.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial services,
Financial stability,
Financial system regulation and policies,
Payment clearing and settlement systems
JEL Code(s):
D,
D7,
D78,
D8,
D81,
G,
G1,
G18,
G2,
G21,
G23
Comparison of Bayesian and Sample Theory Parametric and Semiparametric Binary Response Models
Staff Working Paper 2022-31
Xiangjin Shen,
Iskander Karibzhanov,
Hiroki Tsurumi,
Shiliang Li
We use graphic processing unit computing to compare Bayesian and sample theory semiparametric binary response models. Our findings show that optimal bandwidth does not outperform regular bandwidth in binary semiparametric models.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit risk management,
Econometric and statistical methods
JEL Code(s):
C,
C1,
C14,
C3,
C35,
C5,
C51,
C6,
C63,
D,
D1
International Transmission of Quantitative Easing Policies: Evidence from Canada
Staff Working Paper 2022-30
Serdar Kabaca,
Kerem Tuzcuoglu
This paper examines the cross-border spillovers from major economies’ quantitative easing (QE) policies to their trading partners. We concentrate on spillovers from the US to Canada during the zero lower bound period when QE policies were actively used.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
International topics,
Monetary policy transmission
JEL Code(s):
E,
E5,
E52,
F,
F4,
F41,
F44
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
Unregulated Lending, Mortgage Regulations and Monetary Policy
Staff Working Paper 2022-28
Ugochi Emenogu,
Brian Peterson
This paper evaluates the effectiveness of macroprudential policies when regulations are uneven across mortgage lender types. We look at credit tightening that results from macroprudential regulations and examine how much of it is counteracted by credit shifting to unregulated lenders. We also study the impact of monetary policy tightening when some lenders are unregulated.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial system regulation and policies,
Monetary policy transmission
JEL Code(s):
E,
E4,
E44,
E5,
E50,
E52,
E58,
G,
G2,
G21,
G23,
G28
Endogenous Liquidity and Capital Reallocation
Staff Working Paper 2022-27
Wei Cui,
Randall Wright,
Yu Zhu
We study economies where firms acquire capital in primary markets then retrade it in secondary markets after information on idiosyncratic productivity arrives. Our secondary markets incorporate bilateral trade with search, bargaining and liquidity frictions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Monetary policy
JEL Code(s):
E,
E2,
E22,
E4,
E44
Cash in the Pocket, Cash in the Cloud: Cash Holdings of Bitcoin Owners
Staff Working Paper 2022-26
Daniela Balutel,
Christopher Henry,
Kim Huynh,
Marcel Voia
We estimate the effect that owning Bitcoin has on the amount of cash held by Canadian consumers. Our results question the view that adopting certain new technologies, such as Bitcoin, leads to a decline in cash holdings.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Digital currencies and fintech,
Econometric and statistical methods
JEL Code(s):
C,
C1,
C12,
E,
E4,
O,
O3,
O33,
O5,
O51
Foreign Exchange Interventions: The Long and the Short of It
Staff Working Paper 2022-25
Patrick Alexander,
Sami Alpanda,
Serdar Kabaca
This paper studies the effects of foreign exchange (FX) interventions in a two-region model where governments issue both short- and long-term bonds. We find that the term premium channel dominates the trade balance channel in our calibrated model. As a result, the conventional beggar-thy-neighbor effects of interventions are overturned.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Exchange rate regimes,
Exchange rates,
Foreign reserves management,
International financial markets,
International topics
JEL Code(s):
F,
F3,
F31,
F33,
F4,
F41
Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification
Staff Working Paper 2022-24
Pablo Ottonello,
Wenting Song
We provide empirical evidence of effects to the aggregate economy from surprises about financial intermediaries’ net worth based on a high-frequency identification strategy. We estimate that news of a 1% decline in intermediaries’ net worth leads to a 0.2%–0.4% decrease in the market value of nonfinancial firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Business fluctuations and cycles,
Credit and credit aggregates,
Financial institutions,
Financial markets,
Financial system regulation and policies,
Monetary and financial indicators
JEL Code(s):
E,
E3,
E32,
E4,
E44,
E5,
E51,
G,
G0,
G01,
G1,
G12,
G2,
G21,
G23,
G24,
G3,
G32