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1901
result(s)
Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work
Staff Working Paper 2014-11
Christiane Baumeister,
Pierre Guérin,
Lutz Kilian
The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast monthly and quarterly oil prices. There also has been increased interest in the link between financial markets and oil markets, including the question of whether financial market information helps forecast the real price of oil in physical markets.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C5,
C53,
G,
G1,
G14,
Q,
Q4,
Q43
Macroeconomic Experiences and Risk Taking of Euro Area Households
Staff Working Paper 2014-10
Miguel Ampudia,
Michael Ehrmann
This paper studies to what extent the experiences of households shape their willingness to take financial risks. It follows the methodology of Malmendier and Nagel (2011) and applies it to a novel data set on household finances covering euro area households.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Sectoral balance sheet
JEL Code(s):
D,
D0,
D03,
D1,
D14,
D8,
D83,
G,
G1,
G11
Labor Market Participation, Unemployment and Monetary Policy
Staff Working Paper 2014-9
Alessia Campolmi,
Stefano Gnocchi
We incorporate a participation decision in a standard New Keynesian model with matching frictions and show that treating the labor force as constant leads to incorrect evaluation of alternative policies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Labour markets,
Monetary policy transmission
JEL Code(s):
E,
E2,
E24,
E3,
E32,
E5,
E52
Rollover Risk and the Maturity Transformation Function of Banks
Staff Working Paper 2014-8
Teodora Paligorova,
João Santos
This paper shows that banks that rely heavily on short-term funding engage less in maturity transformation in an attempt to decrease their exposure to rollover risk. These banks shorten both the maturity of their portfolio of loans as well as the maturity of newly issued loans. We find that the loan yield curve becomes steeper with banks’ increasing use of short-term funding.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability
JEL Code(s):
G,
G2,
G21
Database of Sovereign Defaults, 2017
Technical Report No. 101
David Beers,
Jamshid Mavalwalla
Until recently, there have been few efforts to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada’s Credit Rating Assessment Group (CRAG) has developed a comprehensive database of sovereign defaults posted on the Bank of Canada’s website.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Debt management,
Development economics,
Financial stability,
International financial markets
JEL Code(s):
F,
F3,
F34,
G,
G1,
G10,
G14,
G15
Banks’ Financial Distress, Lending Supply and Consumption Expenditure
Staff Working Paper 2014-7
H. Evren Damar,
Reint Gropp,
Adi Mordel
The paper employs a unique identification strategy that links survey data on household consumption expenditure to bank-level data in order to estimate the effects of bank financial distress on consumer credit and consumption expenditures.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Domestic demand and components,
Financial institutions
JEL Code(s):
E,
E2,
E21,
E4,
E44,
G,
G0,
G01,
G2,
G21
A Policy Model to Analyze Macroprudential Regulations and Monetary Policy
Staff Working Paper 2014-6
Sami Alpanda,
Gino Cateau,
Césaire Meh
We construct a small-open-economy, New Keynesian dynamic stochastic general-equilibrium model with real-financial linkages to analyze the effects of financial shocks and macroprudential policies on the Canadian economy. Our model has four key features.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial system regulation and policies
JEL Code(s):
E,
E1,
E17,
E3,
E32,
E4,
E44,
F,
F4,
F41
Corporate Governance, Product Market Competition and Debt Financing
Staff Working Paper 2014-5
Teodora Paligorova,
Jun Yang
This paper examines the impact of product market competition and corporate governance on the cost of debt financing and the use of bond covenants. We find that more anti-takeover provisions are associated with a lower cost of debt only in competitive industries.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G3,
G34
Technology Shocks, Labour Mobility and Aggregate Fluctuations
Staff Working Paper 2014-4
Daniela Hauser
We provide evidence regarding the dynamic behaviour of net labour flows across U.S. states in response to a positive technology shock. Technology shocks are identified as disturbances that increase relative state productivity in the long run for 226 state pairs, encompassing 80 per cent of labour flows across U.S. states in the 1976 - 2008 period.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Labour markets
JEL Code(s):
E,
E2,
E24,
E3,
E32,
J,
J6,
J61