Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1306
result(s)
Identifying the Degree of Collusion Under Proportional Reduction
Staff Working Paper 2017-51
Oleksandr Shcherbakov,
Naoki Wakamori
Proportional reduction is a common cartel practice in which cartel members reduce their output proportionately. We develop a method to quantify this reduction relative to a benchmark market equilibrium scenario and relate the reduction to the traditional conduct parameter.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Market structure and pricing
JEL Code(s):
C,
C3,
C36,
D,
D2,
D22,
L,
L4,
L41
Is the Discretionary Income Effect of Oil Price Shocks a Hoax?
Staff Working Paper 2017-50
Christiane Baumeister,
Lutz Kilian,
Xiaoqing Zhou
The transmission of oil price shocks has been a question of central interest in macroeconomics since the 1970s. There has been renewed interest in this question after the large and persistent fall in the real price of oil in 2014–16. In the context of this debate, Ramey (2017) makes the striking claim that the existing literature on the transmission of oil price shocks is fundamentally confused about the question of how to quantify the effect of oil price shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C5,
C51,
Q,
Q4,
Q43
The Causal Impact of Migration on US Trade: Evidence from Political Refugees
Staff Working Paper 2017-49
Walter Steingress
Immigrants can increase international trade by shifting preferences towards the goods of their country of origin and by reducing bilateral transaction costs. Using geographical variation across U.S. states for the period 2008 to 2013, I estimate the respective causal impact of immigrants on U.S. exports and imports.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics,
Regional economic developments
JEL Code(s):
F,
F1,
F14,
F2,
F22,
J,
J6,
J61
Optimal Interbank Regulation
Staff Working Paper 2017-48
Thomas J. Carter
Recent years have seen renewed interest in the regulation of interbank markets. A review of the literature in this area identifies two gaps: first, the literature has tended to make ad hoc assumptions about the interbank contract space, which makes it difficult to generate convincing policy prescriptions; second, the literature has tended to focus on ex-post interventions that kick in only after an interbank disruption has come underway (e.g., open-market operations, lender-of-last-resort interventions, bail-outs), rather than ex-ante prudential policies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G0,
G01,
G2,
G20
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