Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1304
result(s)
Loan Insurance, Market Liquidity, and Lending Standards
Staff Working Paper 2019-47
Toni Ahnert,
Martin Kuncl
We examine loan insurance—credit risk transfer upon origination—in a model in which lenders can screen, learn loan quality over time, and can sell loans. Some lenders with low screening ability insure, benefiting from higher market liquidity of insured loans while forgoing the option to exploit future information about loan quality.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets,
Financial system regulation and policies
JEL Code(s):
G,
G0,
G01,
G2,
G21,
G28
Extreme Downside Risk in Asset Returns
Staff Working Paper 2019-46
Lerby Ergun
Financial markets can experience sudden and extreme downward movements. Investors are highly concerned about the performance of their assets in such scenarios. Some assets perform badly in a downturn in the market; others have milder reactions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods
JEL Code(s):
C,
C1,
C14,
G,
G1,
G11,
G12
What Do Survey Data Tell Us About US Businesses?
Staff Working Paper 2019-45
Anmol Bhandari,
Serdar Birinci,
Ellen McGrattan,
Kurt See
This paper examines the reliability of survey data on business incomes, valuations, and rates of return, which are key inputs for studies of wealth inequality and entrepreneurial choice.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Firm dynamics
JEL Code(s):
C,
C8,
C83,
E,
E2,
E22,
H,
H2,
H25
Interconnected Banks and Systemically Important Exposures
Staff Working Paper 2019-44
Alan Roncoroni,
Stefano Battiston,
Marco D’Errico,
Grzegorz Halaj,
Christoffer Kok
How do banks' interconnections in the euro area contribute to the vulnerability of the banking system? We study both the direct interconnections (banks lend to each other) and the indirect interconnections (banks are exposed to similar sectors of the economy). These complex linkages make the banking system more vulnerable to contagion risks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability
JEL Code(s):
C,
C6,
C63,
G,
G1,
G15,
G2,
G21
A Macroprudential Theory of Foreign Reserve Accumulation
Staff Working Paper 2019-43
Fernando Arce,
Julien Bengui,
Javier Bianchi
This paper proposes a theory of foreign reserves as macroprudential policy. We study an open-economy model of financial crises in which pecuniary externalities lead to overborrowing, and show that by accumulating international reserves, the government can achieve the constrained-efficient allocation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Balance of payments and components,
Financial stability,
Financial system regulation and policies,
Foreign reserves management,
International financial markets
JEL Code(s):
D,
D5,
D52,
D6,
D62,
F,
F3,
F34
Amazon Effects in Canadian Online Retail Firm-Product-Level Data
Staff Working Paper 2019-42
Alex Chernoff
I use firm-product-level data for Canadian online retailers to study how product scope (the average number of product categories per firm) evolved from 1999 to 2012. During this period, product scope dropped monotonically from 59 to 5 product categories.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Firm dynamics,
Service sector
JEL Code(s):
D,
D2,
D22,
L,
L1,
L11,
L8,
L81
Trade Flows and Exchange Rates: Importers, Exporters and Products
Staff Working Paper 2019-41
Michael Devereux,
Wei Dong,
Ben Tomlin
Using highly disaggregated transaction-level trade data, we document the importance of new firm-level trade partner relationships and the addition of new products to existing relationships in driving aggregate trade flows.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Firm dynamics,
International topics
JEL Code(s):
F,
F1,
F4
The Economics of Cryptocurrencies—Bitcoin and Beyond
Staff Working Paper 2019-40
Jonathan Chiu,
Thorsten Koeppl
Since the creation of Bitcoin in 2009, over 2,000 cryptocurrencies have been issued. We evaluate how well a cryptocurrency functions as a payment system.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Digital currencies and fintech,
Monetary policy,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E5,
L,
L5
The BoC-BoE Sovereign Default Database: What’s New in 2019?
Staff Working Paper 2019-39
David Beers,
Patrisha de Leon-Manlagnit
Until recently, few efforts have been made to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada (BoC) developed a comprehensive database of sovereign defaults that is posted on its website and updated in partnership with the Bank of England (BoE).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Development economics,
Financial stability,
International financial markets
JEL Code(s):
F,
F3,
F34,
G,
G1,
G10,
G14,
G15