Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1306
result(s)
Flight from Safety: How a Change to the Deposit Insurance Limit Affects Households’ Portfolio Allocation
Staff Working Paper 2019-29
H. Evren Damar,
Reint Gropp,
Adi Mordel
Deposit insurance protects depositors from failing banks, thus making insured deposits risk-free. When a deposit insurance limit is increased, some deposits that previously were uninsured become insured, thereby increasing the share of risk-free assets in households’ portfolios. This increase cannot simply be undone by households, because to invest in uninsured deposits, a household must first invest in insured deposits up to the limit. This basic insight is the starting point of the analysis in this paper.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial system regulation and policies
JEL Code(s):
D,
D1,
D14,
G,
G2,
G21,
G28,
L,
L5,
L51
Tail Index Estimation: Quantile-Driven Threshold Selection
Staff Working Paper 2019-28
Jon Danielsson,
Lerby Ergun,
Casper G. de Vries,
Laurens de Haan
The most extreme events, such as economic crises, are rare but often have a great impact. It is difficult to precisely determine the likelihood of such events because the sample is small.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial stability
JEL Code(s):
C,
C0,
C01,
C1,
C14,
C5,
C58
Are Long-Horizon Expectations (De-)Stabilizing? Theory and Experiments
Staff Working Paper 2019-27
George Evans,
Cars Hommes,
Isabelle Salle,
Bruce McGough
Most models in finance assume that agents make trading plans over the infinite future. We consider instead that they are boundedly rational and may only form forecasts over a limited horizon.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Central bank research,
Economic models,
Financial markets
JEL Code(s):
C,
C9,
C92,
D,
D8,
D84,
E
An Application of Shapley Value Cost Allocation to Liquidity Savings Mechanisms
Staff Working Paper 2019-26
Rodney J. Garratt
Liquidity demands in real-time gross settlement payment systems can be enormous. To reduce the liquidity requirement, central banks around the world have implemented liquidity savings mechanisms (LSMs).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Payment clearing and settlement systems
JEL Code(s):
C,
C7,
C72,
E,
E5,
E58
Lending Standards, Productivity and Credit Crunches
Staff Working Paper 2019-25
Jonathan Swarbrick
We propose a macroeconomic model in which adverse selection in investment drives the amplification of macroeconomic fluctuations, in line with prominent roles played by the credit crunch and collapse of the asset-backed security market in the financial crisis.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Financial markets,
Financial stability,
Interest rates,
Productivity
JEL Code(s):
E,
E2,
E22,
E3,
E32,
E4,
E44,
G,
G0,
G01
Privacy as a Public Good: A Case for Electronic Cash
Staff Working Paper 2019-24
Rodney J. Garratt,
Maarten van Oordt
Cash gives users a high level of privacy when making payments, but the use of cash to make payments is declining. People increasingly use debit cards, credit cards or other methods to pay.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Central bank research,
Digital currencies and fintech,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E42,
G,
G2,
G28
Systemic Risk and Collateral Adequacy
Staff Working Paper 2019-23
Radoslav Raykov
Many derivatives markets use collateral requirements calculated with industry-standard but dated methods that are not designed with systemic risk in mind. This paper explores whether the conservative nature of conventional collateral requirements outweighs their lack of consideration of systemic risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets
JEL Code(s):
G,
G1,
G10,
G2,
G20
Online Privacy and Information Disclosure by Consumers
Staff Working Paper 2019-22
Shota Ichihashi
A consumer discloses information to a multi-product seller, which learns about the consumer’s preferences, sets prices, and makes product recommendations. While the consumer benefits from accurate product recommendations, the seller may use the information to price discriminate.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models
JEL Code(s):
D,
D8,
D82,
D83
Central Bank Communication That Works: Lessons from Lab Experiments
Staff Working Paper 2019-21
Oleksiy Kryvtsov,
Luba Petersen
We use controlled laboratory experiments to test the causal effects of central bank communication on economic expectations and to distinguish the underlying mechanisms of those effects. In an experiment where subjects learn to forecast economic variables, we find that central bank communication has a stabilizing effect on individual and aggregate outcomes and that the size of the effect varies with the type of communication.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy implementation,
Monetary policy transmission
JEL Code(s):
C,
C9,
D,
D8,
D84,
E,
E3,
E5,
E52