Staff working papers

• Which Parametric Model for Conditional Skewness?

  Staff Working Paper 2013-32 Bruno Feunou, Mohammad R. Jahan-Parvar, Roméo Tedongap

  This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness models. This procedure is based on regressing the realized skewness measures on model-implied conditional skewness values.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C51, G, G1, G12, G15

• The ‘Celtic Crisis’: Guarantees, Transparency and Systemic Liquidity Risk

  Staff Working Paper 2013-31 Philipp König, Kartik Anand, Frank Heinemann

  Bank liability guarantee schemes have traditionally been viewed as costless measures to shore up investor confidence and prevent bank runs. However, as the experiences of some European countries, most notably Ireland, have demonstrated, the credibility and effectiveness of these guarantees are crucially intertwined with the sovereign’s funding risks.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): D, D8, D89, G, G0, G01, G2, G28

• Endogenous Trade Participation with Incomplete Exchange Rate Pass-Through

  Staff Working Paper 2013-30 Yuko Imura

  This paper investigates the implications of endogenous trade participation for international business cycles, trade flow dynamics and exchange rate pass-through when price adjustments are staggered across firms.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Exchange rates, International topics JEL Code(s): F, F1, F12, F4, F44

• Volatility and Liquidity Costs

  Staff Working Paper 2013-29 Selma Chaker

  Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator inspired by the market microstructure literature to explicitly model the noise and remove it from observed returns before estimating their variance.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Market structure and pricing JEL Code(s): C, C1, C14, C5, C51, C58, G, G2, G20

• Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach

  Staff Working Paper 2013-28 Christiane Baumeister, Lutz Kilian

  The U.S. Energy Information Administration regularly publishes short-term forecasts of the price of crude oil.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, E, E3, E32, Q, Q4, Q43

• Analyzing Fiscal Sustainability

  Staff Working Paper 2013-27 Huixin Bi, Eric M. Leeper

  The authors study the implications of fiscal policy behaviour for sovereign risk in a framework that determines a country’s fiscal limit, the point at which, for economic or political reasons, taxes and spending can no longer adjust to stabilize debt.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Fiscal policy JEL Code(s): E, E6, E62, E65, H, H6, H63

• Uncertain Fiscal Consolidations

  Staff Working Paper 2013-26 Huixin Bi, Eric M. Leeper, Campbell Leith

  The paper explores the macroeconomic consequences of fiscal consolidations whose timing and composition - either tax- or spending-based - are uncertain.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Fiscal policy, Monetary policy and uncertainty JEL Code(s): E, E6, E62, E63, H, H3, H30, H6, H60

• Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis

  Staff Working Paper 2013-25 Christiane Baumeister, Lutz Kilian, Xiaoqing Zhou

  Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of oil which has not been studied systematically to date.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, G, G1, G15, Q, Q4, Q43

• Is There a Quality Bias in the Canadian CPI? Evidence from Micro Data

  Staff Working Paper 2013-24 Oleksiy Kryvtsov

  Rising consumer prices may reflect shifts by consumers to new higher-priced products, mostly for durable and semi-durable goods. I apply Bils’ (2009) methodology to newly available Canadian consumer price data for non-shelter goods and services to estimate how price increases can be divided between quality growth and price inflation.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Potential output JEL Code(s): E, E3, E31, M, M1, M11, O, O4, O47

• A Blessing in Disguise: The Implications of High Global Oil Prices for the North American Market

  Staff Working Paper 2013-23 Ron Alquist, Justin-Damien Guénette

  We examine the implications of increased unconventional crude oil production in North America. This production increase has been made possible by the existence of alternative oil-recovery technologies and persistently elevated oil prices that make these technologies commercially viable.

  Content Type(s): Staff research, Staff working papers Topic(s): International topics, Recent economic and financial developments JEL Code(s): Q, Q4, Q41, Q43, Q47