Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1323
result(s)
Shift Contagion in Asset Markets
Staff Working Paper 2003-5
Toni Gravelle,
Maral Kichian,
James Morley
The authors develop a new methodology to investigate how crises cause the relationship between financial variables to change. Two possible sources of increased co-movement between markets during high-variance episodes are considered: larger common shocks operating through standard market linkages, and a structural change in the propagation of shocks between markets, called "shift contagion."
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C3,
C32,
F,
F4,
F42,
G,
G1,
G15
Are Distorted Beliefs Too Good to be True?
Staff Working Paper 2003-4
Miroslav Misina
In a recent attempt to account for the equity-premium puzzle within a representative-agent model, Cecchetti, Lam, and Mark (2000) relax the assumption of rational expectations and in its place use the assumption of distorted beliefs. The author shows that the explanatory power of the distorted beliefs model is due to an inconsistency in the model and that an attempt to remove this inconsistency removes the model's explanatory power.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets
JEL Code(s):
D,
D8,
D84,
G,
G1,
G12
Modélisation et prévision du taux de change réel effectif américain
Staff Working Paper 2003-3
René Lalonde,
Patrick Sabourin
This study describes a simple model for predicting the real U.S. exchange rate. Starting with a large number of error-correction models, the authors choose the one giving the best out-of-sample forecasts over the period 1992Q3–2002Q1.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Economic models,
Exchange rates,
International topics
JEL Code(s):
E,
E1,
E17,
F,
F3,
F31,
F4,
F47
Managing Operational Risk in Payment, Clearing, and Settlement Systems
Staff Working Paper 2003-2
Kim McPhail
Awareness of operational risk has increased greatly in recent years, both at individual financial institutions and for payment, clearing, and settlement systems (PCSS). PCSS consist of networks of interconnected elements (i.e., central operators, participants, and settlement agents); operational problems at any one of the key elements have the potential to disrupt the system as a whole and negatively affect financial stability.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E44,
G,
G2,
G21
Banking Crises and Contagion: Empirical Evidence
Staff Working Paper 2003-1
Eric Santor
Recent events, such as the East Asian, Mexican, Scandinavian, and Argentinian crises, have sparked considerable interest in exploring how shocks experienced by one country can spread vis-à-vis real and nominal links to other countries' banking systems. Given the large costs associated with banking-system failures, both economists and policy-makers are interested in predicting the onset of banking crises and assessing the likelihood of contagion during crisis events.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics
JEL Code(s):
F,
F3,
F30,
G,
G2,
G20
Salaire réel, chocs technologiques et fluctuations économiques
Staff Working Paper 2002-42
Dominique Tremblay
The author presents empirical evidence that he has obtained from an analysis of the response of different economic variables, including the real wage rate, to a technology shock.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models
JEL Code(s):
C,
C3,
C32,
E,
E2,
E24,
E3,
E32
Estimating Settlement Risk and the Potential for Contagion in Canada's Automated Clearing Settlement System
Staff Working Paper 2002-41
Carol Ann Northcott
Payments systems operate virtually unnoticed in our daily lives and yet are crucial to a wellfunctioning economy and financial system.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E44,
G,
G2,
G21
Inflation Changes, Yield Spreads, and Threshold Effects
Staff Working Paper 2002-40
Greg Tkacz
Using interest rate yield spreads to explain changes in inflation, we investigate whether such relationships can be modelled using two-regime threshold models.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Interest rates
JEL Code(s):
C,
C5,
C51,
E,
E3,
E31
An Empirical Analysis of Dynamic Interrelationships Among Inflation, Inflation Uncertainty, Relative Price Dispersion, and Output Growth
Staff Working Paper 2002-39
Francis Vitek
Within a unified framework, the author conducts an empirical investigation of dynamic interrelationships among inflation, inflation uncertainty, relative price dispersion, and output growth.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices
JEL Code(s):
E,
E3,
E31