Staff working papers

• Portfolio Considerations in Differentiated Product Purchases: An Application to the Japanese Automobile Market

  Staff Working Paper 2011-27 Naoki Wakamori

  Consumers often purchase more than one differentiated product, assembling a portfolio, which might potentially affect substitution patterns of demand and, as a consequence, oligopolistic firms’ pricing strategies.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Market structure and pricing JEL Code(s): D, D4, L, L5, Q, Q5

• 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

• 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

• Money and Price Posting under Private Information

  Staff Working Paper 2011-22 Mei Dong, Janet Hua Jiang

  We study price posting with undirected search in a search-theoretic monetary model with divisible money and divisible goods. Ex ante homogeneous buyers experience match specific preference shocks in bilateral trades. The shocks follow a continuous distribution and the realization of the shocks is private information.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Inflation and prices JEL Code(s): D, D8, D82, D83, E, E3, E31

• Fixed-Term and Permanent Employment Contracts: Theory and Evidence

  Staff Working Paper 2011-21 Shutao Cao, Enchuan Shao, Pedro Silos

  This paper constructs a theory of the coexistence of fixed-term and permanent employment contracts in an environment with ex-ante identical workers and employers. Workers under fixed-term contracts can be dismissed at no cost while permanent employees enjoy labor protection.

  Content Type(s): Staff research, Staff working papers Topic(s): Labour markets, Potential output, Productivity JEL Code(s): H, H2, H29, J, J2, J23, J3, J38

• A Stochastic Volatility Model with Conditional Skewness

  Staff Working Paper 2011-20 Bruno Feunou, Roméo Tedongap

  We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods JEL Code(s): C, C1, C5, G, G1, G12

• Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach

  Staff Working Paper 2011-19 Toni Gravelle, Fuchun Li

  In this paper, we define a financial institution’s contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the financial institution. The higher the contribution is, the more systemically important is the institution for the system.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): C, C1, C14, C5, C58, G, G2, G21, G3, G32

• Price-Level Targeting and Inflation Expectations: Experimental Evidence

  Staff Working Paper 2011-18 Robert Amano, Jim Engle-Warnick, Malik Shukayev

  In this paper, we use an economics decision-making experiment to test a key assumption underpinning the efficacy of price-level targeting relative to inflation targeting for business cycle stabilization and mitigating the effects of the zero lower bound on nominal interest rates.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary policy framework JEL Code(s): E, E3, E32, E5, E52