Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1292
result(s)
Price Formation and Liquidity Provision in Short-Term Fixed Income Markets
Staff Working Paper 2007-27
Chris D'Souza,
Ingrid Lo,
Stephen Sapp
Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Interest rates,
Market structure and pricing
JEL Code(s):
G,
G1,
G12,
G14,
G15
Optimal Monetary Policy and Price Stability Over the Long-Run
Staff Working Paper 2007-26
Oleksiy Kryvtsov,
Malik Shukayev,
Alexander Ueberfeldt
This paper examines the role of monetary policy in an environment with aggregate risk and incomplete markets. In a two-period overlapping-generations model with aggregate uncertainty and nominal bonds, optimal monetary policy attains the ex-ante Pareto optimal allocation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy framework
JEL Code(s):
E,
E5
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
Corporate Balance Sheets in Developed Economies: Implications for Investment
Staff Working Paper 2007-24
Denise Côté,
Christopher Graham
In this paper, the authors examine the aggregate national balance-sheets of non-financial corporations in Australia and the G7 countries with a view to assessing both their financial structure and their financial position. More importantly, the authors investigate whether the financial position of non-financial corporations (i.e., debt-to-equity ratio) is material to the economy's investment prospects and whether the importance of this channel differs depending on the structure of corporate financing i.e., bank-based or market-oriented financing structures.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
International topics
JEL Code(s):
E,
E2,
E22,
E3,
E32,
E4,
E44
Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?
Staff Working Paper 2007-23
Ingrid Lo,
Stephen Sapp
Dealers trading in a limit order market must choose both the order aggressiveness and the quantity for their orders. We empirically investigate how dealers jointly make these decisions in the foreign exchange market using a unique simultaneous equations model.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial markets
JEL Code(s):
G,
G1,
G14
IMF-Supported Adjustment Programs: Welfare Implications and the Catalytic Effect
Staff Working Paper 2007-22
Carlos De Resende
The author studies the welfare implications of adjustment programs supported by the International Monetary Fund (IMF). He uses a model where an endogenous borrowing constraint, set up by international lenders who will never lend more than a debt ceiling, forces the borrowing economy to always choose repayment over default.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics
JEL Code(s):
F,
F3,
F32,
F33,
F34,
F4,
F41
A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate
Staff Working Paper 2007-21
Fousseni Chabi-Yo,
Jun Yang
We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrage term structure model. With Canadian and US data, we are able to study the impact of macroeconomic shocks from both countries on their yield curves and the exchange rate.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Econometric and statistical methods,
Exchange rates,
Financial markets,
Interest rates
JEL Code(s):
E,
E1,
E12,
E4,
E43,
F,
F4,
F41,
G,
G1,
G12,
G15
Multivariate Realized Stock Market Volatility
Staff Working Paper 2007-20
Gregory Bauer,
Keith Vorkink
We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of both lagged volatility and returns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C3,
C32,
C5,
C53,
G,
G1,
G14
Perhaps the FOMC Did What It Said It Did: An Alternative Interpretation of the Great Inflation
Staff Working Paper 2007-19
Sharon Kozicki,
P. A. Tinsley
This paper uses real-time briefing forecasts prepared for the Federal Open Market Committee (FOMC) to provide estimates of historical changes in the design of U.S. monetary policy and in the implied central-bank target for inflation. Empirical results support a description of policy with an effective inflation target of roughly 7 percent in the 1970s.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Monetary aggregates,
Monetary policy implementation
JEL Code(s):
E,
E3,
E5,
N,
N1