Find our research on the financial system by keyword, author, content type, JEL code, topic or date of publication.
452
result(s)
Immigrants and Mortgage Delinquency in the United States
Staff Working Paper 2015-1
Zhenguo Lin,
Yingchun Liu,
Jia Xie
We investigate the relationship between immigrant status and mortgage delinquency in the United States.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Financial stability
JEL Code(s):
G,
G2,
G21,
J,
J1,
J15
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
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
Integrating Uncertainty and Monetary Policy-Making: A Practitioner’s Perspective
Staff Discussion Paper 2014-6
Stephen S. Poloz
This paper discusses how central banking is evolving in light of recent experience, with particular emphasis on the incorporation of uncertainty into policy decision-making.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Economic models,
Financial stability,
Monetary policy and uncertainty,
Monetary policy communications,
Monetary policy framework
JEL Code(s):
C,
C5,
C50,
E,
E3,
E37,
E5,
E6,
E61
The Role of Card Acceptance in the Transaction Demand for Money
Staff Working Paper 2014-44
Kim Huynh,
Philipp Schmidt-Dengler,
Helmut Stix
The use of payment cards, either debit or credit, is becoming more and more widespread in developed economies. Nevertheless, the use of cash remains significant.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Digital currencies and fintech,
Econometric and statistical methods,
Financial services
JEL Code(s):
C,
C3,
C35,
C8,
C83,
E,
E4,
E41