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449
result(s)
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
Productive Misallocation and International Transmission of Credit Shocks
Staff Working Paper 2015-19
Yuko Imura,
Julia Thomas
We develop an asymmetric, two-country equilibrium business cycle model to study the role of international trade in transmitting and propagating the real effects of global financial shocks. Our model predicts that a recession in a large economy considerably alters a recession in its smaller trade partner, with distinct investment dynamics driving the transmission.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
Financial markets,
Financial stability,
International topics
JEL Code(s):
E,
E2,
E22,
E3,
E32,
E4,
E44,
F,
F4,
F41,
F44
June 11, 2015
Canadian Open-End Mutual Funds: An Assessment of Potential Vulnerabilities
The authors examine the liquidity and leverage characteristics of Canadian long-term, open-end mutual funds in terms of their potential systemic effects on the Canadian mutual fund sector and on the Canadian financial system more broadly. In their overall assessment of this sector, they consider the regulation, market size and ownership structure of mutual funds in Canada and provide observations about the industry globally.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Financial institutions,
Financial markets
JEL Code(s):
G,
G2,
G23,
G28
Household Stockholding Behavior During the Great Financial Crisis
Staff Working Paper 2015-15
Jie Zhou
Using the Panel Study of Income Dynamics, this paper studies household stock market participation and trading behavior in 2007–09, a period that saw a major stock market downswing. The stock market participation rate fell after the market crash.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets
JEL Code(s):
G,
G0,
G01,
G1,
G11
Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis
Staff Working Paper 2015-13
Michael Ehrmann,
Marcel Fratzscher
The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting the heteroskedasticity of intraday changes in bond yields for identification.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Interest rates,
International financial markets
JEL Code(s):
E,
E5,
F,
F3,
G,
G1,
G15
Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns
Staff Working Paper 2015-12
Jean-Sébastien Fontaine,
René Garcia,
Sermin Gungor
Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets
JEL Code(s):
E,
E4,
E43,
H,
H1,
H12
Securitization under Asymmetric Information over the Business Cycle
Staff Working Paper 2015-9
Martin Kuncl
This paper studies the efficiency of financial intermediation through securitization in a model with heterogeneous investment projects and asymmetric information about the quality of securitized assets. I show that when retaining part of the risk, the issuer of securitized assets may credibly signal its quality.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Economic models,
Financial markets,
Financial stability,
Financial system regulation and policies
JEL Code(s):
E,
E3,
E32,
E4,
E44,
G,
G0,
G01,
G2,
G20
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