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1323
result(s)
International Spillovers of Policy Uncertainty
Staff Working Paper 2014-57
Stefan Klößner,
Rodrigo Sekkel
Using the Baker et al. (2013) index of policy uncertainty for six developed countries, this paper estimates spillovers of policy uncertainty. We find that spillovers account for slightly more than one-fourth of the dynamics of policy uncertainty in these countries, with this share rising to one-half during the financial crisis.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C3,
D,
D8,
D80,
F,
F4,
F42
High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
Staff Working Paper 2014-56
George Jiang,
Ingrid Lo,
Giorgio Valente
This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i- Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and price efficiency.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G10,
G12,
G14
Persistent Leverage in Portfolio Sorts: An Artifact of Measurement Error?
Staff Working Paper 2014-55
Michael Mueller
Studies such as Lemmon, Roberts and Zender (2008) demonstrate how stable firms’ capital structures are over time, and raise the question of whether new theories of capital structure are needed to explain these phenomena.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C18,
G,
G3,
G32
International House Price Cycles, Monetary Policy and Risk Premiums
Staff Working Paper 2014-54
Gregory Bauer
Using a panel logit framework, the paper provides an estimate of the likelihood of a house price correction in 18 OECD countries. The analysis shows that a simple measure of the degree of house price overvaluation contains a lot of information about subsequent price reversals.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Housing
JEL Code(s):
C,
C2,
E,
E4,
E43,
R,
R2,
R21
The Impact of U.S. Monetary Policy Normalization on Capital Flows to Emerging-Market Economies
Staff Working Paper 2014-53
Tatjana Dahlhaus,
Garima Vasishtha
The Federal Reserve’s path for withdrawal of monetary stimulus and eventually increasing interest rates could have substantial repercussions for capital flows to emerging-market economies (EMEs).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics,
Monetary policy transmission
JEL Code(s):
C,
C3,
C32,
E,
E5,
E52,
F,
F3,
F33,
F4,
F42
Targeting Inflation from Below - How Do Inflation Expectations Behave?
Staff Working Paper 2014-52
Michael Ehrmann
Inflation targeting (IT) had originally been introduced as a device to bring inflation down and stabilize it at low levels. Given the current environment of persistently weak inflation in many advanced economies, IT central banks must now bring inflation up to target.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Inflation targets
JEL Code(s):
C,
C5,
C53,
E,
E3,
E31,
E5,
E52,
E58
Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
Staff Working Paper 2014-51
Sermin Gungor,
Richard Luger
We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C12,
C14,
C15,
G,
G1,
G12
The Effect of the Federal Reserve’s Tapering Announcements on Emerging Markets
Staff Working Paper 2014-50
Vikram Rai,
Lena Suchanek
The Federal Reserve’s quantitative easing (QE) program has been accompanied by a flow of funds into emerging-market economies (EMEs) in search of higher returns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International financial markets,
International topics,
Monetary policy transmission
JEL Code(s):
C,
C3,
C33,
E,
E5,
E58,
F,
F3,
F32,
G,
G1,
G14
Credit Market Frictions and Sudden Stops
Staff Working Paper 2014-49
Yuko Imura
Financial crises in emerging economies in the 1980s and 1990s often entailed abrupt declines in foreign capital inflows, improvements in trade balance, and large declines in output and total factor productivity (TFP).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Financial markets,
International topics
JEL Code(s):
E,
E2,
E22,
E3,
E32,
F,
F4,
F41,
G,
G0,
G01