Find our research on the financial system by keyword, author, content type, JEL code, topic or date of publication.
452
result(s)
An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks
Staff Working Paper 2012-5
Gregory Bauer,
Antonio Diez de los Rios
We construct a multi-country affine term structure model that contains unspanned macroeconomic and foreign exchange risks. The canonical version of the model is derived and is shown to be easy to estimate.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Exchange rates,
Interest rates
JEL Code(s):
E,
E4,
E43,
F,
F3,
F31,
G,
G1,
G12,
G15
Price Competition and Concentration in Search and Negotiation Markets: Evidence from Mortgage Lending
Staff Working Paper 2012-4
Jason Allen,
Robert Clark,
Jean-François Houde
This paper examines the impact of bank consolidation on mortgage rates in order to evaluate the extent to which mortgage markets are competitive. Mortgage markets are decentralized and so rates are determined through a search and negotiation process.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial services,
Interest rates
JEL Code(s):
G,
G2,
L,
L1
Fooled by Search: Housing Prices, Turnover and Bubbles
Staff Working Paper 2012-3
Brian Peterson
his paper develops and estimates a model to explain the behaviour of house prices in the United States. The main finding is that over 70% of the increase in house prices relative to trend during the increase of house prices in the United States from 1995 to 2006 can be explained by a pricing mechanism where market participants are ‘Fooled by Search.’
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Business fluctuations and cycles
JEL Code(s):
E,
E3,
R,
R2,
R21
A Model of the EFA Liabilities
Staff Discussion Paper 2011-11
Francisco Rivadeneyra,
Oumar Dissou
The authors describe the liabilities model of the Exchange Fund Account (EFA). The EFA is managed using an asset-liability matching framework that requires currency and duration matching of both sides of the balance sheet.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Debt management,
Foreign reserves management
JEL Code(s):
G,
G1,
G12,
G3,
G32
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
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