Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1306
result(s)
Monetary Policy Uncertainty: A Tale of Two Tails
Staff Working Paper 2018-50
Tatjana Dahlhaus,
Tatevik Sekhposyan
We document a strong asymmetry in the evolution of federal funds rate expectations and map this observed asymmetry into measures of monetary policy uncertainty. We show that periods of monetary policy tightening and easing are distinctly related to downside (policy rate is higher than expected) and upside (policy rate is lower than expected) uncertainty.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Monetary policy and uncertainty,
Monetary policy communications,
Monetary policy transmission
JEL Code(s):
C,
C1,
C18,
C3,
C32,
E,
E0,
E02,
E4,
E43,
E5,
E52
Financial Development Beyond the Formal Financial Market
Staff Working Paper 2018-49
Lin Shao
This paper studies the effects of financial development, taking into account both formal and informal financing. Using cross-country firm-level data, we document that informal financing is utilized more by rich countries than poor countries.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Firm dynamics,
Productivity
JEL Code(s):
E,
E4,
E44,
O,
O1,
O17,
O4,
O47
Should Bank Capital Regulation Be Risk Sensitive?
Staff Working Paper 2018-48
Toni Ahnert,
James Chapman,
Carolyn A. Wilkins
We present a simple model to study the risk sensitivity of capital regulation. A banker funds investment with uninsured deposits and costly capital, where capital resolves a moral hazard problem in the banker’s choice of risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G28
Challenges in Implementing Worst-Case Analysis
Staff Working Paper 2018-47
Jon Danielsson,
Lerby Ergun,
Casper G. de Vries
Worst-case analysis is used among financial regulators in the wake of the recent financial crisis to gauge the tail risk. We provide insight into worst-case analysis and provide guidance on how to estimate it. We derive the bias for the non-parametric heavy-tailed order statistics and contrast it with the semi-parametric extreme value theory (EVT) approach.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability
JEL Code(s):
C,
C0,
C01,
C1,
C14,
C5,
C58
How Long Does It Take You to Pay? A Duration Study of Canadian Retail Transaction Payment Times
Staff Working Paper 2018-46
Geneviève Vallée
Using an exclusive data set of payment times for retail transactions made in Canada, I show that cash is the most time-efficient method of payment (MOP) when compared with payments by debit and credit cards. I model payment efficiency using Cox proportional hazard models, accounting for consumer choice of MOP.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Econometric and statistical methods,
Payment clearing and settlement systems
JEL Code(s):
C,
C2,
C25,
C3,
C36,
C4,
C41,
D,
D2,
D23,
E,
E4,
E41,
E42
Blockchain-Based Settlement for Asset Trading
Staff Working Paper 2018-45
Jonathan Chiu,
Thorsten Koeppl
Can securities be settled on a blockchain and, if so, what are the gains relative to existing settlement systems? We consider a blockchain that ensures delivery versus payment by linking transfers of assets with payments and operates using a proof-of-work protocol. The main benefit of a blockchain is faster and more flexible settlement, whereas the challenge is to avoid settlement fails when participants fork the chain to get rid of trading losses.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Digital currencies and fintech,
Economic models,
Financial markets,
Payment clearing and settlement systems
JEL Code(s):
G,
G2,
H,
H4,
P,
P4,
P43
Price Selection
Staff Working Paper 2018-44
Carlos Carvalho,
Oleksiy Kryvtsov
We propose a simple, model-free way to measure selection in price setting and its contribution to inflation dynamics. The proposed measure of price selection is based on the observed comovement between inflation and the average level from which adjusting prices depart.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Inflation and prices,
Monetary policy transmission
JEL Code(s):
E,
E3,
E31,
E5,
E51
Market Size and Entry in International Trade: Product Versus Firm Fixed Costs
Staff Working Paper 2018-43
Walter Steingress
This paper develops a theoretical framework to infer the nature of fixed costs from the relationship between entry patterns in international markets and destination market size. If fixed costs are at the firm level, firms take advantage of an intrafirm spillover by expanding firm-level product range (scope).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Firm dynamics,
International topics,
Trade integration
JEL Code(s):
F,
F1,
F12,
F14,
F2,
F23
Responding to the First Era of Globalization: Canadian Trade Policy, 1870–1913
Staff Working Paper 2018-42
Ian Keay,
Patrick Alexander
In this paper we document Canada’s trade policy response to late-nineteenth- and earlytwentieth-century globalization. We link newly digitized annual product-specific data on the value of Canadian imports and duties paid from 1870–1913 to establishment-specific production and location information drawn from the manuscripts of the 1871 industrial census.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
International topics,
Trade integration
JEL Code(s):
F,
F1,
F13,
F14,
F4,
F42,
F6,
F60,
N,
N7,
N71