Find our research on the financial system by keyword, author, content type, JEL code, topic or date of publication.
452
result(s)
Improving Public Equity Markets? No Pain, No Gain
Staff Working Paper 2014-41
Katya Kartashova
This paper quantifies the effects of improving public equity markets on macroeconomic aggregates and welfare. I use an open-economy extension of Angeletos (2007), where entrepreneurs face idiosyncratic productivity risk in privately held firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Development economics,
Financial institutions,
Financial markets
JEL Code(s):
E,
E4,
E44,
G,
G1,
G11,
O,
O1,
O11,
O16
Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?
Staff Working Paper 2014-40
Rodrigo Sekkel
This paper conducts a real-time, out-of-sample analysis of the forecasting power of various aggregate financial intermediaries’ balance sheets to a wide range of economic activity measures in the United States.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C5,
C53
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.
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
Removal of the Unwinding Provisions in the Automated Clearing Settlement System: A Risk Assessment
Staff Discussion Paper 2014-4
Nicholas Labelle,
Varya Taylor
A default in the Automated Clearing Settlement System (ACSS) occurs when a Direct Clearer is unable to settle its final obligation.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
C,
C1,
C15,
G,
G0,
G01,
G2,
G3
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
Retail Payment Innovations and Cash Usage: Accounting for Attrition Using Refreshment Samples
Staff Working Paper 2014-27
Heng Chen,
Marie-Hélène Felt,
Kim Huynh
We exploit the panel dimension of the Canadian Financial Monitor (CFM) data to estimate the impact of retail payment innovations on cash usage. We estimate a semiparametric panel data model that accounts for unobserved heterogeneity and allows for general forms of non-random attrition.
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,
E,
E4,
E41
Filling in the Blanks: Network Structure and Interbank Contagion
Staff Working Paper 2014-26
Kartik Anand,
Ben Craig,
Goetz von Peter
The network pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial institutions,
Financial stability
JEL Code(s):
C,
C6,
C63,
D,
D8,
D85,
G,
G2,
G21,
L,
L1,
L14