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128 Results

Excess Collateral in the LVTS: How Much is Too Much?

Staff Working Paper 2003-36 Kim McPhail, Anastasia Vakos
The authors build a theoretical model that generates demand for collateral by Large Value Transfer System (LVTS) participants under the assumption that they minimize the cost of holding and managing collateral for LVTS purposes. The model predicts that the optimal amount of collateral held by each LVTS participant depends on the opportunity cost of collateral, the transactions costs of acquiring assets used as collateral and transferring them in and out of the LVTS, and the distribution of an LVTS participant's payment flows in the LVTS.

Managing Operational Risk in Payment, Clearing, and Settlement Systems

Staff Working Paper 2003-2 Kim McPhail
Awareness of operational risk has increased greatly in recent years, both at individual financial institutions and for payment, clearing, and settlement systems (PCSS). PCSS consist of networks of interconnected elements (i.e., central operators, participants, and settlement agents); operational problems at any one of the key elements have the potential to disrupt the system as a whole and negatively affect financial stability.

The Impact of Common Currencies on Financial Markets: A Literature Review and Evidence from the Euro Area

Staff Working Paper 2002-35 Liliane Karlinger
This paper reviews both the theoretical and empirical literature on the impact of common currencies on financial markets and evaluates the first three years of experience with Economic and Monetary Union (EMU).
Content Type(s): Staff research, Staff working papers Topic(s): Exchange rate regimes, Financial markets JEL Code(s): E, E4, E44, F, F2, F21, F3, F36, G, G1, G15

Implications of Uncertainty about Long-Run Inflation and the Price Level

Staff Working Paper 2001-16 Gerald Stuber
This paper surveys recent developments in the theoretical and empirical literature on the economic implications of uncertainty about the longer-term outlook for inflation. In particular, the linkages between inflation, long-run inflation uncertainty, and aggregate economic activity in industrial economies have become considerably better understood during the past decade.
Content Type(s): Staff research, Staff working papers Topic(s): Inflation: costs and benefits JEL Code(s): E, E2, E22, E3, E31, E4, E44

Modelling Risk Premiums in Equity and Foreign Exchange Markets

Staff Working Paper 2000-9 René Garcia, Maral Kichian
The observed predictability of excess returns in equity and foreign exchange markets has largely been attributed to the presence of time-varying risk premiums in these markets. For example, excess equity returns were found to be explained by various financial and economic variables.

Forecasting GDP Growth Using Artificial Neural Networks

Staff Working Paper 1999-3 Greg Tkacz, Sarah Hu
Financial and monetary variables have long been known to contain useful leading information regarding economic activity. In this paper, the authors wish to determine whether the forecasting performance of such variables can be improved using neural network models. The main findings are that, at the 1-quarter forecasting horizon, neural networks yield no significant forecast improvements. […]

Speculative Behaviour, Regime-Switching and Stock Market Crashes

Staff Working Paper 1996-13 Simon van Norden, Huntley Schaller
This paper uses regime-switching econometrics to study stock market crashes and to explore the ability of two very different economic explanations to account for historical crashes. The first explanation is based on historical accounts of "manias and panics."
Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): C, C4, C40, E, E4, E44, G, G1, G12
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