Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1306
result(s)
Should Central Banks Worry About Nonlinearities of their Large-Scale Macroeconomic Models?
Staff Working Paper 2017-21
Vadym Lepetyuk,
Lilia Maliar,
Serguei Maliar
How wrong could policymakers be when using linearized solutions to their macroeconomic models instead of nonlinear global solutions?
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Economic models
JEL Code(s):
C,
C6,
C61,
C63,
C68,
E,
E3,
E31,
E5,
E52
Volatility Risk and Economic Welfare
Staff Working Paper 2017-20
Shaofeng Xu
This paper examines the effects of time-varying volatility on welfare. I construct a tractable endogenous growth model with recursive preferences, stochastic volatility, and capital
adjustment costs.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models
JEL Code(s):
E,
E2,
E3
Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns
Staff Working Paper 2017-19
Claudia Foroni,
Francesco Ravazzolo,
Barbara Sadaba
Increased sovereign credit risk is often associated with sharp currency movements. Therefore, expectations of the probability of a sovereign default event can convey important information regarding future movements of exchange rates.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Exchange rates,
International financial markets
JEL Code(s):
C,
C2,
C22,
C5,
C52,
C53,
F,
F3,
F31
The Welfare Effects of Protection: A General Equilibrium Analysis of Canada’s National Policy
Staff Working Paper 2017-18
Patrick Alexander,
Ian Keay
In this paper, we study the impact of Canada’s adoption of protectionist trade policy in 1879 on Canadian welfare. Under the National Policy the Canadian average weighted tariff increased from 14% to 21%. The conventional view is that this was a distortionary policy that negatively affected Canadian welfare.
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
Vertical Specialization and Gains from Trade
Staff Working Paper 2017-17
Patrick Alexander
Multi-stage production is widely recognized as an important feature of the modern global economy. This feature has been incorporated into many state-of-the-art quantitative trade models, and has been shown to deliver significant additional gains from international trade.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
International topics,
Trade integration
JEL Code(s):
F,
F1,
F11,
F14,
F6,
F60
Downward Nominal Wage Rigidity Meets the Zero Lower Bound
Staff Working Paper 2017-16
Robert Amano,
Stefano Gnocchi
We add downward nominal wage rigidity to a standard New Keynesian model with sticky prices and wages, where the zero lower bound on nominal interest rates is allowed to bind. We find that wage rigidity not only reduces the frequency of zero bound episodes but also mitigates the severity of corresponding recessions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation targets,
Labour markets,
Monetary policy framework
JEL Code(s):
E,
E2,
E24,
E3,
E32,
E5,
E52
Constrained Efficiency with Adverse Selection and Directed Search
Staff Working Paper 2017-15
Mohammad Davoodalhosseini
Constrained efficient allocation (CE) is characterized in a model of adverse selection and directed search (Guerrieri, Shimer, and Wright (2010)). CE is defined to be the allocation that maximizes welfare, the ex-ante utility of all agents, subject to the frictions of the environment.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
D,
D8,
D82,
D83,
E,
E2,
E24,
G,
G1,
J,
J3,
J31,
J6,
J64
Strategic Complementarities and Money Market Fund Liquidity Management
Staff Working Paper 2017-14
Jonathan Witmer
Following the financial crisis, there has been increased regulatory focus on the management of liquidity in mutual funds and, specifically, whether funds hold enough liquidity to guard against the potential for investor runs.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets
JEL Code(s):
F,
F3,
F30,
G,
G0,
G01,
G1,
G18,
G2,
G20
Markov‐Switching Three‐Pass Regression Filter
Staff Working Paper 2017-13
Pierre Guérin,
Danilo Leiva-Leon,
Massimiliano Marcellino
We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C2,
C22,
C23,
C5,
C53