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1323
result(s)
Nowcasting BRIC+M in Real Time
Staff Working Paper 2015-38
Tatjana Dahlhaus,
Justin-Damien Guénette,
Garima Vasishtha
Emerging-market economies have become increasingly important in driving global GDP growth over the past 10 to 15 years. This has made timely and accurate assessment of current and future economic activity in emerging markets important for policy-makers not only in these countries but also in advanced economies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C3,
C33,
C5,
C53,
E,
E3,
E37
Domestic and Multilateral Effects of Capital Controls in Emerging Markets
Staff Working Paper 2015-37
Gurnain Pasricha,
Matteo Falagiarda,
Martin Bijsterbosch,
Joshua Aizenman
Using a novel data set on capital control actions in 17 emerging-market economies (EMEs) over the period 2001–11, we provide new evidence on domestic and multilateral (or spillover) effects of capital controls.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial system regulation and policies,
International financial markets,
International topics,
Monetary policy framework
JEL Code(s):
F,
F3,
F32,
F4,
F41,
F42,
G,
G1,
G15
Downside Variance Risk Premium
Staff Working Paper 2015-36
Bruno Feunou,
Mohammad R. Jahan-Parvar,
Cédric Okou
We decompose the variance risk premium into upside and downside variance risk premia. These components reflect market compensation for changes in good and bad uncertainties. Their difference is a measure of the skewness risk premium (SRP), which captures asymmetric views on favorable versus undesirable risks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing
JEL Code(s):
G,
G1,
G12
The Carrot and the Stick: The Business Cycle Implications of Incentive Pay in the Labor Search Model
Staff Working Paper 2015-35
Julien Champagne
This paper considers a real business cycle model with labor search frictions where two types of incentive pay are explicitly introduced following the insights from the micro literature on performance pay (e.g. Lazear, 1986).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Labour markets
JEL Code(s):
E,
E2,
E24,
J,
J3,
J33,
J4,
J41
Heterogeneity in the Dynamic Effects of Uncertainty on Investment
Staff Working Paper 2015-34
Sungje Byun,
Soojin Jo
How does aggregate profit uncertainty influence investment activity at the firm level? We propose a parsimonious adaptation of a factor-autoregressive conditional heteroscedasticity model to exploit information in a subindustry sales panel for an efficient and tractable estimation of aggregate volatility.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Domestic demand and components,
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C2,
C22,
C23,
D,
D8,
D80,
E,
E2,
E22
Cheap But Flighty: How Global Imbalances Create Financial Fragility
Staff Working Paper 2015-33
Enrico Perotti,
Toni Ahnert
We analyze how a wealth shift to emerging countries may lead to instability in developed countries. Investors exposed to expropriation risk are willing to pay a safety premium to invest in countries with good property rights.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
F,
F3,
G,
G2
Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach
Staff Working Paper 2015-32
Kartik Anand,
Céline Gauthier,
Moez Souissi
We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and market risks of banks are intertwined.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Financial system regulation and policies
JEL Code(s):
C,
C7,
C72,
E,
E5,
E58,
G,
G0,
G01,
G2,
G21,
G28
Exchange Rate Pass-Through, Currency of Invoicing and Market Share
Staff Working Paper 2015-31
Michael Devereux,
Wei Dong,
Ben Tomlin
This paper investigates the impact of market structure on the joint determination of exchange rate pass-through and currency of invoicing in international trade. A novel feature of the study is the focus on market share of firms on both sides of the market—that is, exporting firms and importing firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Inflation and prices,
Market structure and pricing
JEL Code(s):
F,
F3,
F4
The Endogenous Relative Price of Investment
Staff Working Paper 2015-30
Joel Wagner
This paper takes a full-information model-based approach to evaluate the link between investment-specific technology and the inverse of the relative price of investment. The two-sector model presented includes monopolistic competition where firms can vary the markup charged on their product depending on the number of firms competing.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles
JEL Code(s):
E,
E3,
E32,
L,
L1,
L11,
L16