March 11, 2010
Posts
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Analyzing Default Risk and Liquidity Demand during a Financial Crisis: The Case of Canada
This paper explores the reliability of using prices of credit default swap contracts (CDS) as indicators of default probabilities during the 2007/2008 financial crisis. -
The Distributional Effects of Conventional Monetary Policy and Quantitative Easing: Evidence from an Estimated DSGE Model
This paper compares the distributional effects of conventional monetary policy and quantitative easing (QE) within an estimated open-economy DSGE model of the euro area. -
Adoption of a New Payment Method: Theory and Experimental Evidence
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. -
Reconciling Jaimovich-Rebelo Preferences, Habit in Consumption and Labor Supply
This note studies a form of a utility function of consumption with habit and leisure that (a) is compatible with long-run balanced growth, (b) hits a steady-state observed target for hours worked and (c) is consistent with micro-econometric evidence for the inter-temporal elasticity of substitution and the Frisch elasticity of labor supply. -
An Eclectic Approach to Estimating U.S. Potential GDP
The authors describe the principal results obtained from a new method applied to the estimation of potential U.S. GDP. -
February 10, 2010
U.S. interest rates: 10-year lookup
U.S. Prime Rate Charged by Banks, Federal Funds Rate, Commercial Paper. -
LVTS, the Overnight Market, and Monetary Policy
Operational events in the Large Value Transfer System (LVTS) almost always result in a disturbance of the regular flow of payments. -
Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns
Several studies have put forward the non-linear structure and option-like features of returns associated with hedge fund strategies. -