FSRC - Financial System Research Center

• 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 Topic(s): Debt management, Foreign reserves management JEL Code(s): G, G1, G12, G3, G32

• Bank Leverage Regulation and Macroeconomic Dynamics

  Staff Working Paper 2011-32 Ian Christensen, Césaire Meh, Kevin Moran

  This paper assesses the merits of countercyclical bank balance sheet regulation for the stabilization of financial and economic cycles and examines its interaction with monetary policy.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial institutions, Financial system regulation and policies, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E4, E44, E5, E52, G, G2, G21

• Do Low Interest Rates Sow the Seeds of Financial Crises?

  Staff Working Paper 2011-31 Simona Cociuba, Malik Shukayev, Alexander Ueberfeldt

  A view advanced in the aftermath of the late-2000s financial crisis is that lower than optimal interest rates lead to excessive risk taking by financial intermediaries.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial system regulation and policies, Monetary policy transmission JEL Code(s): D, D5, D53, E, E4, E44, E5, E52, G, G2, G28

• Trading Dynamics with Adverse Selection and Search: Market Freeze, Intervention and Recovery

  Staff Working Paper 2011-30 Jonathan Chiu, Thorsten Koeppl

  We study the trading dynamics in an asset market where the quality of assets is private information of the owner and finding a counterparty takes time. When trading of a financial asset ceases in equilibrium as a response to an adverse shock to asset quality, a large player can resurrect the market by buying up lemons which involves assuming financial losses.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Financial stability JEL Code(s): E, E6, G, G1

• Effectiveness of Capital Controls in India: Evidence from the Offshore NDF Market

  Staff Working Paper 2011-29 Michael Hutchison, Gurnain Pasricha, Nirvikar Singh

  This paper examines the effectiveness of international capital controls in India over time by analyzing daily return differentials in the non-deliverable forward (NDF) markets using the self-exciting threshold autoregressive (SETAR) methodology.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International financial markets, International topics JEL Code(s): F, F3, F31, F32, G, G1, G15

• Security Transaction Taxes and Market Quality

  Staff Working Paper 2011-26 Anna Pomeranets, Daniel G. Weaver

  We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask spreads, lower volume, and increased price impact of trades.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Market structure and pricing JEL Code(s): C, C4, C43, G, G1, G10, G12

• What Matters in Determining Capital Surcharges for Systemically Important Financial Institutions?

  Staff Discussion Paper 2011-9 Céline Gauthier, Toni Gravelle, Xuezhi Liu, Moez Souissi

  One way of internalizing the externalities that each individual bank imposes on the rest of the financial system is to impose capital surcharges on them in line with their systemic importance.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial system regulation and policies JEL Code(s): C, C1, C15, C8, C81, E, E4, E44, G, G0, G01, G2, G21

• Innovation and Growth with Financial, and Other, Frictions

  Staff Working Paper 2011-25 Jonathan Chiu, Césaire Meh, Randall Wright

  The generation and implementation of ideas, or knowledge, is crucial for economic performance. We study this process in a model of endogenous growth with frictions.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Potential output, Productivity JEL Code(s): E, E4, G, G2, O, O3, O4

• Determinants of Financial Stress and Recovery during the Great Recession

  Staff Working Paper 2011-24 Joshua Aizenman, Gurnain Pasricha

  In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size of the peak-trough declines in the stock price indices was comparable to that in high income countries, indicating that there was no decoupling, even before Lehman Brothers’ demise.

  Content Type(s): Staff research, Staff working papers Topic(s): Balance of payments and components, Financial markets, International topics JEL Code(s): F, F3, F32, G, G1, G15

• How Do You Pay? The Role of Incentives at the Point-of-Sale

  Staff Working Paper 2011-23 Carlos Arango, Kim Huynh, Leonard Sabetti

  This paper uses discrete-choice models to quantify the role of consumer socioeconomic characteristics, payment instrument attributes, and transaction features on the probability of using cash, debit card, or credit card at the point-of-sale.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Econometric and statistical methods, Financial services JEL Code(s): C, C3, C35, C8, C83, E, E4, E41