Posts

• June 20, 2014

  Weekly Financial Statistics - 20 June 2014

  Content Type(s): Publications, Historical: Weekly Financial Statistics

• Optimal Margining and Margin Relief in Centrally Cleared Derivatives Markets

  Staff Working Paper 2014-29 Radoslav Raykov

  A major policy challenge posed by derivatives clearinghouses is that their collateral requirements can rise sharply in times of stress, reducing market liquidity and further exacerbating downturns.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Payment clearing and settlement systems JEL Code(s): G, G1, G19, G2, G21

• Forecasting Short-Term Real GDP Growth in the Euro Area and Japan Using Unrestricted MIDAS Regressions

  Staff Discussion Paper 2014-3 Maxime Leboeuf, Louis Morel

  In this paper, the authors develop a new tool to improve the short-term forecasting of real GDP growth in the euro area and Japan. This new tool, which uses unrestricted mixed-data sampling (U-MIDAS) regressions, allows an evaluation of the usefulness of a wide range of indicators in predicting short-term real GDP growth.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C50, C53, E, E3, E37, E4, E47

• Consumer Attitudes and the Epidemiology of Inflation Expectations

  Staff Working Paper 2014-28 Michael Ehrmann, Damjan Pfajfar, Emiliano Santoro

  This paper studies the formation of consumers’ inflation expectations using micro-level data from the Michigan Survey. It shows that beyond the well-established socio-economic determinants of inflation expectations such as gender, income or education, other characteristics such as the households’ financial situation and their purchasing attitudes also matter.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices JEL Code(s): C, C5, C53, D, D8, D84, E, E3, E31

• Retail Payment Innovations and Cash Usage: Accounting for Attrition Using Refreshment Samples

  Staff Working Paper 2014-27 Heng Chen, Marie-Hélène Felt, Kim Huynh

  We exploit the panel dimension of the Canadian Financial Monitor (CFM) data to estimate the impact of retail payment innovations on cash usage. We estimate a semiparametric panel data model that accounts for unobserved heterogeneity and allows for general forms of non-random attrition.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods, Financial services JEL Code(s): C, C3, C35, E, E4, E41

• Filling in the Blanks: Network Structure and Interbank Contagion

  Staff Working Paper 2014-26 Kartik Anand, Ben Craig, Goetz von Peter

  The network pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial institutions, Financial stability JEL Code(s): C, C6, C63, D, D8, D85, G, G2, G21, L, L1, L14

• Improving Overnight Loan Identification in Payments Systems

  Staff Working Paper 2014-25 Mark Rempel

  Information on the allocation and pricing of over-the-counter (OTC) markets is scarce. Furfine (1999) pioneered an algorithm that provides transaction-level data on the OTC interbank lending market.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Interest rates, Payment clearing and settlement systems JEL Code(s): C, C3, C38, C5, C53, E, E4, E42, E44, G, G1, G10

• Sheep in Wolf’s Clothing: Using the Least Squares Criterion for Quantile Estimation

  Staff Working Paper 2014-24 Heng Chen

  Estimation of the quantile model, especially with a large data set, can be computationally burdensome. This paper proposes using the Gaussian approximation, also known as quantile coupling, to estimate a quantile model.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C13, C14, C2, C21
• June 14, 2014

  Workshop on Price Dynamics, Inflation and Monetary Policy

  Workshop held on 14 June 2014

  Content Type(s): Conferences and workshops
• June 13, 2014

  Weekly Financial Statistics - 13 June 2014

  Content Type(s): Publications, Historical: Weekly Financial Statistics