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1323
result(s)
Predicting Financial Stress Events: A Signal Extraction Approach
Staff Working Paper 2014-37
Ian Christensen,
Fuchun Li
The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of time. To achieve this goal, the signal extraction approach proposed by Kaminsky, Lizondo and Reinhart (1998) is used to monitor the evolution of a number of economic indicators that tend to exhibit an unusual behaviour in the periods preceding a financial stress event.
Global Inflation Dynamics in the Post-Crisis Period: What Explains the Twin Puzzle?
Staff Working Paper 2014-36
Christian Friedrich
Inflation dynamics in advanced countries have produced two consecutive puzzles during the years after the global financial crisis. The first puzzle emerged when inflation rates over the period 2009-11 were consistently higher than expected, although economic slack in advanced countries reached its highest level in recent history.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Fiscal policy,
Inflation and prices,
International topics
JEL Code(s):
E,
E3,
E31,
E5,
F,
F4,
F41
Search Frictions, Financial Frictions and Labour Market Fluctuations in Emerging Markets
Staff Working Paper 2014-35
Sumru Altug,
Serdar Kabaca
This paper examines the role of the extensive and intensive margins of labour input in the context of a business cycle model with a financial friction. We document significant variation in the hours worked per worker for many emerging-market economies. Both employment and hours worked per worker are positively correlated with each other and with output.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Development economics,
Interest rates,
International topics,
Labour markets
JEL Code(s):
E,
E4,
E44,
F,
F4,
F41,
J,
J4,
J40
Housework and Fiscal Expansions
Staff Working Paper 2014-34
Stefano Gnocchi,
Daniela Hauser,
Evi Pappa
We build an otherwise-standard business cycle model with housework, calibrated consistently with data on time use, in order to discipline consumption-hours complementarity and relate its strength to the size of fiscal multipliers.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Fiscal policy
JEL Code(s):
E,
E2,
E24,
E3,
E32,
E5,
E52,
E6,
E62
Competition in the Cryptocurrency Market
Staff Working Paper 2014-33
Neil Gandal,
Hanna Halaburda
We analyze how network effects affect competition in the nascent cryptocurrency market. We do so by examining the changes over time in exchange rate data among cryptocurrencies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Digital currencies and fintech
JEL Code(s):
L,
L1
Commodity Price Co-Movement and Global Economic Activity
Staff Working Paper 2014-32
Ron Alquist,
Olivier Coibion
Guided by a macroeconomic model in which non-energy commodity prices are endogenously determined, we apply a new factor-based identification strategy to decompose the historical sources of changes in commodity prices and global economic activity.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
International topics
JEL Code(s):
E,
E3,
F,
F4
Capital Flows and Macroprudential Policies - A Multilateral Assessment of Effectiveness and Externalities
Staff Working Paper 2014-31
John Beirne,
Christian Friedrich
This paper assesses the effectiveness and associated externalities that arise when macroprudential policies (MPPs) are used to manage international capital flows. Using a sample of up to 139 countries, we examine the impact of eight different MPP measures on cross-border bank flows over the period 1999-2009.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Balance of payments and components,
Financial markets,
International topics
JEL Code(s):
F,
F3,
F5,
G,
G0,
G01,
G1,
G11
Information, Amplification and Financial Crisis
Staff Working Paper 2014-30
Ali Kakhbod,
Toni Ahnert
We propose a parsimonious model of information choice in a global coordination game of regime change that is used to analyze debt crises, bank runs or currency attacks. A change in the publicly available information alters the uncertainty about the behavior of other investors.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
D,
D8,
D83,
G,
G0,
G01
Optimal Margining and Margin Relief in Centrally Cleared Derivatives Markets
Staff Working Paper 2014-29
Radoslav Raykov
A major policy challenge posed by derivatives clearinghouses is that their collateral requirements can rise sharply in times of stress, reducing market liquidity and further exacerbating downturns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Payment clearing and settlement systems
JEL Code(s):
G,
G1,
G19,
G2,
G21