Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1302
result(s)
Cash Versus Card: Payment Discontinuities and the Burden of Holding Coins
Cash is the preferred method of payment for small value transactions generally less than $25. We provide insight to this finding with a new theoretical model that characterizes and compares consumers’ costs of paying with cash to paying with cards for each transaction.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Econometric and statistical methods
JEL Code(s):
D,
D0,
D03,
E,
E4,
E42
On the Tail Risk Premium in the Oil Market
Staff Working Paper 2017-46
Reinhard Ellwanger
This paper shows that changes in market participants’ fear of rare events implied by crude oil options contribute to oil price volatility and oil return predictability. Using 25 years of historical data, we document economically large tail risk premia that vary substantially over time and significantly forecast crude oil futures and spot returns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C5,
C53,
C58,
D,
D8,
D84,
E,
E4,
E44,
G,
G1,
G12,
G13,
Q,
Q4,
Q43
Identification of Random Resource Shares in Collective Households Without Preference Similarity Restrictions
Staff Working Paper 2017-45
Geoffrey R. Dunbar,
Arthur Lewbel,
Krishna Pendakur
Resource shares, defined as the fraction of total household spending going to each person in a household, are important for assessing individual material well-being, inequality and poverty. They are difficult to identify because consumption is measured typically at the household level, and many goods are jointly consumed, so that individual-level consumption in multi-person households is not directly observed.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Domestic demand and components,
Econometric and statistical methods
JEL Code(s):
C,
C3,
C31,
D,
D1,
D11,
D12,
D13,
I,
I3,
I32
Measuring Limits of Arbitrage in Fixed-Income Markets
Staff Working Paper 2017-44
Jean-Sébastien Fontaine,
Guillaume Nolin
We use relative value to measure limits to arbitrage in fixed-income markets. Relative value captures apparent deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
International financial markets
JEL Code(s):
G,
G1,
G12
The Mode is the Message: Using Predata as Exclusion Restrictions to Evaluate Survey Design
Staff Working Paper 2017-43
Heng Chen,
Geoffrey R. Dunbar,
Rallye Shen
Changes in survey mode (e.g., online, offline) may influence the values of survey responses, and may be particularly problematic when comparing repeated cross-sectional surveys.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C8
Policy Rules for Capital Controls
Staff Working Paper 2017-42
Gurnain Pasricha
This paper attempts to borrow the tradition of estimating policy reaction functions in monetary policy literature and apply it to capital controls policy literature. Using a novel weekly dataset on capital controls policy actions in 21 emerging economies over the period 1 January 2001 to 31 December 2015, I examine the mercantilist and macroprudential motivations for capital control policies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rate regimes,
Financial stability,
Financial system regulation and policies,
International topics
JEL Code(s):
F,
F3,
F4,
F5,
G,
G0,
G1
Global Trade Flows: Revisiting the Exchange Rate Elasticities
Staff Working Paper 2017-41
Matthieu Bussière,
Guillaume Gaulier,
Walter Steingress
This paper contributes to the debate on the magnitude of exchange rate elasticities by providing a set of price and quantity elasticities for 51 advanced and emerging-market economies. Specifically, for each of these countries we report the elasticity of trade prices and trade quantities on both the export and on the import sides, as well as the reaction of the trade balance.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Inflation and prices,
International topics
JEL Code(s):
C,
C5,
C51,
F,
F1,
F14,
F3,
F31,
F33,
F4,
F41
Government Spending Multipliers Under the Zero Lower Bound: Evidence from Japan
Staff Working Paper 2017-40
Thuy Lan Nguyen,
Dmitriy Sergeyev,
Wataru Miyamoto
Using a rich data set on government spending forecasts in Japan, we provide new evidence on the effects of unexpected changes in government spending when the nominal interest rate is near the zero lower bound (ZLB).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Fiscal policy
JEL Code(s):
E,
E3,
E32,
E5,
E6,
E62
Changes in Monetary Regimes and the Identification of Monetary Policy Shocks: Narrative Evidence from Canada
Staff Working Paper 2017-39
Julien Champagne,
Rodrigo Sekkel
We use narrative evidence along with a novel database of real-time data and forecasts from the Bank of Canada's staff economic projections from 1974 to 2015 to construct a new measure of monetary policy shocks and estimate the effects of monetary policy in Canada.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Central bank research,
Econometric and statistical methods,
Exchange rate regimes,
Inflation and prices,
Inflation targets,
Interest rates,
Monetary policy,
Monetary policy framework
JEL Code(s):
E,
E3,
E31,
E32,
E4,
E43,
E5,
E52,
E58