Staff working papers

• Information Contagion and Systemic Risk

  Staff Working Paper 2017-29 Co-Pierre Georg, Toni Ahnert

  We examine the effect of ex-post information contagion on the ex-ante level of systemic risk defined as the probability of joint bank default.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability JEL Code(s): G, G0, G01, G1, G11, G2, G21

• Adoption of a New Payment Method: Theory and Experimental Evidence

  Staff Working Paper 2017-28 Jasmina Arifovic, John Duffy, Janet Hua Jiang

  We model the introduction of a new payment method, e.g., e-money, that competes with an existing payment method, e.g., cash. The new payment method involves relatively lower per-transaction costs for both buyers and sellers, but sellers must pay a fixed fee to accept the new payment method.

  Content Type(s): Staff research, Staff working papers Topic(s): Central bank research, Digital currencies and fintech JEL Code(s): C, C3, C35, C8, C83, C9, C92, E, E4, E41

• Firm Heterogeneity, Technological Adoption, and Urbanization: Theory and Measurement

  Staff Working Paper 2017-27 Alex Chernoff

  This paper develops a model of firm heterogeneity, technological adoption, and urbanization. In the model, welfare is measured by household real income, and urbanization is measured by population density. I use the model to derive statistics that measure the effect of a new technology on productivity, welfare, and urbanization.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Productivity, Regional economic developments JEL Code(s): N, N6, N61, O, O1, O14, R, R1, R13

• Quantitative Easing and Long‐Term Yields in Small Open Economies

  Staff Working Paper 2017-26 Antonio Diez de los Rios, Maral Shamloo

  We compare the Federal Reserve’s asset purchase programs with those implemented by the Bank of England and the Swedish Riksbank, and the Swiss National Bank’s reserve expansion program.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Interest rates, Monetary policy JEL Code(s): E, E4, E43, E5, E52, E58, G, G1, G12

• Monetary Policy Implementation in a Negative Rate Environment

  Staff Working Paper 2017-25 Michael Boutros, Jonathan Witmer

  Monetary policy implementation could, in theory, be constrained by deeply negative rates since overnight market participants may have an incentive to invest in cash rather than lend to other participants.

  Content Type(s): Staff research, Staff working papers Topic(s): Interest rates, Monetary policy framework, Monetary policy implementation JEL Code(s): E, E4, E40, E42, E43, G, G0

• Understanding Monetary Policy and its Effects: Evidence from Canadian Firms Using the Business Outlook Survey

  Staff Working Paper 2017-24 Matthieu Verstraete, Lena Suchanek

  This paper shows (i) that business sentiment, as captured by survey data, matters for monetary policy decisions in Canada, and (ii) how business perspectives are affected by monetary policy shocks. Measures of business sentiment (soft data) are shown to have systematic explanatory power for monetary policy decisions over and above typical Taylor rule variables.

  Content Type(s): Staff research, Staff working papers Topic(s): Firm dynamics, Interest rates, Monetary policy transmission JEL Code(s): D, D2, D22, E, E4, E44, E5, E52

• Understanding the Cross‐Country Effects of US Technology Shocks

  Staff Working Paper 2017-23 Thuy Lan Nguyen, Wataru Miyamoto

  Business cycles are substantially correlated across countries. Yet most existing models are not able to generate substantial transmission through international trade. We show that the nature of such transmission depends fundamentally on the features determining the responsiveness of labor supply and labor demand to international relative prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, International topics JEL Code(s): E, E3, E30, F, F4, F41, F44, F6, F62

• Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals

  Staff Working Paper 2017-22 Lorenzo Pozzi, Barbara Sadaba

  This paper presents a new testing method for the scapegoat model of exchange rates that aims to tighten the link between the theory on scapegoats and its empirical implementation. This new testing method consists of a number of steps.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Exchange rates, International financial markets JEL Code(s): C, C3, C32, F, F3, F31, G, G1, G15

• Should Central Banks Worry About Nonlinearities of their Large-Scale Macroeconomic Models?

  Staff Working Paper 2017-21 Vadym Lepetyuk, Lilia Maliar, Serguei Maliar

  How wrong could policymakers be when using linearized solutions to their macroeconomic models instead of nonlinear global solutions?

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Economic models JEL Code(s): C, C6, C61, C63, C68, E, E3, E31, E5, E52

• Volatility Risk and Economic Welfare

  Staff Working Paper 2017-20 Shaofeng Xu

  This paper examines the effects of time-varying volatility on welfare. I construct a tractable endogenous growth model with recursive preferences, stochastic volatility, and capital adjustment costs.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E2, E3