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 Research 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
Rollover Risk, Liquidity and Macroprudential Regulation Staff Working Paper 2014-23 Toni Ahnert I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex ante and are subject to fire sales ex post. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial system regulation and policies JEL Code(s): G, G0, G01, G1, G11, G2, G28
Some Economics of Private Digital Currency Staff Working Paper 2013-38 Joshua S. Gans, Hanna Halaburda This paper reviews some recent developments in digital currency, focusing on platform-sponsored currencies such as Facebook Credits. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Economic models, Payment clearing and settlement systems JEL Code(s): D, D4, D42, E, E4, L, L5, L51
Uncertainty and the Specificity of Human Capital Staff Working Paper 2007-57 Martin Gervais, Igor Livshits, Césaire Meh This paper studies the choice between general and specific human capital. A trade-off arises because general human capital, while less productive, can easily be reallocated across firms. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models JEL Code(s): D, D9, D92, J, J2, J24, J4, J41, J6, J62
Multibank Holding Companies and Bank Stability Staff Working Paper 2018-51 Radoslav Raykov, Consuelo Silva-Buston This paper studies the relationship between bank holding company affiliation and the individual and systemic risk of banks. Using the 2005 hurricane season in the US as an exogenous shock to bank balance sheets, we show that banks that are part of a holding parent company are more resilient than independent banks. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability JEL Code(s): G, G1, G2
Habit Formation and the Persistence of Monetary Shocks Staff Working Paper 2002-27 Hafedh Bouakez, Emanuela Cardia, Francisco Ruge-Murcia This paper studies the persistent effects of monetary shocks on output. Previous empirical literature documents this persistence, but standard general-equilibrium models with sticky prices fail to generate output responses beyond the duration of nominal contracts. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Monetary policy transmission JEL Code(s): E, E3, E4, E5
On the Wedge Between the PPI and CPI Inflation Indicators Staff Working Paper 2022-5 Shang-Jin Wei, Yinxi Xie We find that the CPI and PPI inflation indexes co-moved strongly throughout the late 20th century, but their correlation has fallen substantially since the early 2000s. We offer a structural explanation for this divergence based on the growth of global supply chains since 2000. This finding offers a unique perspective for the future design of optimal monetary policy. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Inflation targets, International topics, Monetary policy JEL Code(s): E, E3, E31, E5, E52, E58, F, F1, F11, F12, F4, F41, F6, F62
Credit in a Tiered Payments System Staff Working Paper 2006-36 Alexandra Lai, Nikil Chande, Sean O'Connor Payments systems are typically characterized by some degree of tiering, with upstream firms (clearing agents) providing settlement accounts to downstream institutions that wish to clear and settle payments indirectly in these systems (indirect clearers). Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial services, Market structure and pricing, Payment clearing and settlement systems JEL Code(s): G, G2, G21, L, L1, L12, L13, L2, L22
A Stochastic Volatility Model with Conditional Skewness Staff Working Paper 2011-20 Bruno Feunou, Roméo Tedongap We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods JEL Code(s): C, C1, C5, G, G1, G12
A Model of the EFA Liabilities Staff Discussion Paper 2011-11 Francisco Rivadeneyra, Oumar Dissou The authors describe the liabilities model of the Exchange Fund Account (EFA). The EFA is managed using an asset-liability matching framework that requires currency and duration matching of both sides of the balance sheet. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Debt management, Foreign reserves management JEL Code(s): G, G1, G12, G3, G32