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1311
result(s)
Real-Time Analysis of Oil Price Risks Using Forecast Scenarios
Staff Working Paper 2012-1
Christiane Baumeister,
Lutz Kilian
Recently, there has been increased interest in real-time forecasts of the real price of crude oil. Standard oil price forecasts based on reduced-form regressions or based on oil futures prices do not allow consumers of forecasts to explore how much the forecast would change relative to the baseline forecast under alternative scenarios about future oil demand and oil supply conditions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C5,
C53,
E,
E3,
E32,
Q,
Q4,
Q43
Bank Leverage Regulation and Macroeconomic Dynamics
Staff Working Paper 2011-32
Ian Christensen,
Césaire Meh,
Kevin Moran
This paper assesses the merits of countercyclical bank balance sheet regulation for the stabilization of financial and economic cycles and examines its interaction with monetary policy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial institutions,
Financial system regulation and policies,
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
E,
E4,
E44,
E5,
E52,
G,
G2,
G21
Do Low Interest Rates Sow the Seeds of Financial Crises?
Staff Working Paper 2011-31
Simona Cociuba,
Malik Shukayev,
Alexander Ueberfeldt
A view advanced in the aftermath of the late-2000s financial crisis is that lower than optimal interest rates lead to excessive risk taking by financial intermediaries.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial system regulation and policies,
Monetary policy transmission
JEL Code(s):
D,
D5,
D53,
E,
E4,
E44,
E5,
E52,
G,
G2,
G28
Trading Dynamics with Adverse Selection and Search: Market Freeze, Intervention and Recovery
Staff Working Paper 2011-30
Jonathan Chiu,
Thorsten Koeppl
We study the trading dynamics in an asset market where the quality of assets is private information of the owner and finding a counterparty takes time. When trading of a financial asset ceases in equilibrium as a response to an adverse shock to asset quality, a large player can resurrect the market by buying up lemons which involves assuming financial losses.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
E,
E6,
G,
G1
Effectiveness of Capital Controls in India: Evidence from the Offshore NDF Market
Staff Working Paper 2011-29
Michael Hutchison,
Gurnain Pasricha,
Nirvikar Singh
This paper examines the effectiveness of international capital controls in India over time by analyzing daily return differentials in the non-deliverable forward (NDF) markets using the self-exciting threshold autoregressive (SETAR) methodology.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International financial markets,
International topics
JEL Code(s):
F,
F3,
F31,
F32,
G,
G1,
G15
The Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market
Staff Working Paper 2011-28
Christiane Baumeister,
Gert Peersman
There has been a systematic increase in the volatility of the real price of crude oil since 1986, followed by a decline in the volatility of oil production since the early 1990s. We explore reasons for this evolution. We show that a likely explanation of this empirical fact is that both the short-run price elasticities of oil demand and of oil supply have declined considerably since the second half of the 1980s.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
E,
E3,
E31,
E32,
Q,
Q4,
Q43
Portfolio Considerations in Differentiated Product Purchases: An Application to the Japanese Automobile Market
Staff Working Paper 2011-27
Naoki Wakamori
Consumers often purchase more than one differentiated product, assembling a portfolio, which might potentially affect substitution patterns of demand and, as a consequence, oligopolistic firms’ pricing strategies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Market structure and pricing
JEL Code(s):
D,
D4,
L,
L5,
Q,
Q5
Security Transaction Taxes and Market Quality
Staff Working Paper 2011-26
Anna Pomeranets,
Daniel G. Weaver
We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask spreads, lower volume, and increased price impact of trades.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Market structure and pricing
JEL Code(s):
C,
C4,
C43,
G,
G1,
G10,
G12
Innovation and Growth with Financial, and Other, Frictions
Staff Working Paper 2011-25
Jonathan Chiu,
Césaire Meh,
Randall Wright
The generation and implementation of ideas, or knowledge, is crucial for economic performance. We study this process in a model of endogenous growth with frictions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Potential output,
Productivity
JEL Code(s):
E,
E4,
G,
G2,
O,
O3,
O4