Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1311
result(s)
What Drives Interbank Loans? Evidence from Canada
Staff Working Paper 2018-5
Narayan Bulusu,
Pierre Guérin
We identify the drivers of unsecured and collateralized loan volumes, rates and haircuts in Canada using the Bayesian model averaging approach to deal with model uncertainty. Our results suggest that the key friction driving behaviour in this market is the collateral reallocation cost faced by borrowers.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Wholesale funding
JEL Code(s):
C,
C5,
C55,
E,
E4,
E43,
G,
G2,
G23
Modeling Fluctuations in the Global Demand for Commodities
Staff Working Paper 2018-4
Lutz Kilian,
Xiaoqing Zhou
It is widely understood that the real price of globally traded commodities is determined by the forces of demand and supply. One of the main determinants of the real price of commodities is shifts in the demand for commodities associated with unexpected fluctuations in global real economic activity.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
F,
F4,
F44,
Q,
Q1,
Q11,
Q3,
Q31,
Q4,
Q41,
Q43
Speed Segmentation on Exchanges: Competition for Slow Flow
Staff Working Paper 2018-3
Lisa Anderson,
Emad Andrews,
Baiju Devani,
Michael Mueller,
Adrian Walton
In 2015, TSX Alpha, a Canadian stock exchange, implemented a speed bump for marketable orders and an inverted fee structure as part of a redesign. We find no evidence that this redesign impacted market-wide measures of trading costs or contributed appreciably to segmenting retail order flow away from other Canadian venues with a maker-taker fee structure.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G14,
G2,
G24
How Do Central Bank Projections and Forward Guidance Influence Private-Sector Forecasts?
Staff Working Paper 2018-2
Monica Jain,
Christopher S. Sutherland
We construct a 23-country panel data set to consider the effect of central bank projections and forward guidance on private-sector forecast disagreement. We find that central bank projections and forward guidance matter mainly for private-sector forecast disagreement surrounding upcoming policy rate decisions and matter less for private-sector macroeconomic forecasts.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Inflation targets,
Monetary policy,
Monetary policy communications,
Monetary policy transmission
JEL Code(s):
D,
D8,
D83,
E,
E3,
E37,
E5,
E52,
E58
Capital-Goods Imports and US Growth
Staff Working Paper 2018-1
Michele Cavallo,
Anthony Landry
Capital-goods imports have become an increasing source of growth for the U.S. economy. To understand this phenomenon, we build a neoclassical growth model with international trade in capital goods in which agents face exogenous paths of total factor and investment-specific productivity measures.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Productivity,
Trade integration
JEL Code(s):
E,
E2,
F,
F2,
F4,
O,
O3,
O4
Wage Dynamics and Returns to Unobserved Skill
Staff Working Paper 2017-61
Lance Lochner,
Youngmin Park,
Youngki Shin
Economists disagree about the factors driving the substantial increase in residual wage inequality in the U.S. over the past few decades. We identify and estimate a general model of log wage residuals that incorporates: (i) changing returns to unobserved skills, (ii) a changing distribution of unobserved skills, and (iii) changing volatility in wages due to factors unrelated to skills.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Labour markets
JEL Code(s):
C,
C2,
C23,
J,
J2,
J24,
J3,
J31
Which Model to Forecast the Target Rate?
Staff Working Paper 2017-60
Bruno Feunou,
Jean-Sébastien Fontaine,
Jianjian Jin
Specifications of the Federal Reserve target rate that have more realistic features mitigate in-sample over-fitting and are favored in the data.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43
Credit Risk Transfer and Bank Insolvency Risk
Staff Working Paper 2017-59
Maarten van Oordt
The present paper shows that, everything else equal, some transactions to transfer portfolio credit risk to third-party investors increase the insolvency risk of banks. This is particularly likely if a bank sells the senior tranche and retains a sufficiently large first-loss position.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit risk management,
Financial institutions,
Financial stability
JEL Code(s):
G,
G2,
G21,
G28,
G3,
G32
Variance Premium, Downside Risk and Expected Stock Returns
Staff Working Paper 2017-58
Bruno Feunou,
Ricardo Lopez Aliouchkin,
Roméo Tedongap,
Lai Xi
We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large cross-section of firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets
JEL Code(s):
G,
G1,
G12