Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1302
result(s)
Non-Bank Investors and Loan Renegotiations
Staff Working Paper 2016-60
Teodora Paligorova,
João Santos
We document that the structure of syndicates affects loan renegotiations. Lead banks with large retained shares have positive effects on renegotiations. In contrast, more diverse syndicates deter renegotiations, but only for credit lines.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G23
Monetary Policy, Private Debt and Financial Stability Risks
Staff Working Paper 2016-59
Gregory Bauer,
Eleonora Granziera
Can monetary policy be used to promote financial stability? We answer this question by estimating the impact of a monetary policy shock on private-sector leverage and the likelihood of a financial crisis. Impulse responses obtained from a panel VAR model of 18 advanced countries suggest that the debt-to-GDP ratio rises in the short run following an unexpected tightening in monetary policy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial stability,
Monetary policy,
Monetary policy transmission
JEL Code(s):
C,
C2,
C21,
C23,
E,
E5,
E52,
E58
Equity Option-Implied Probability of Default and Equity Recovery Rate
Staff Working Paper 2016-58
Bo Young Chang,
Greg Orosi
There is a close link between prices of equity options and the default probability of a firm. We show that in the presence of positive expected equity recovery, standard methods that assume zero equity recovery at default misestimate the option-implied default probability.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G13,
G3,
G33
Options Decimalization
Staff Working Paper 2016-57
Faith Chin,
Corey Garriott
We document the outcome of an options decimalization pilot on Canada’s derivatives exchange. Decimalization improves measures of liquidity and price efficiency. The impact differs by the moneyness of an option and is greatest for out-of-the-money options.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
G,
G1,
G14,
G2,
G20,
L,
L1,
L10
Bank Screening Heterogeneity
Staff Working Paper 2016-56
Thibaut Duprey
Production efficiency and financial stability do not necessarily go hand in hand. With heterogeneity in banks’ abilities to screen borrowers, the market for loans becomes segmented and a self-competition mechanism arises. When heterogeneity increases, the intensive and extensive margins have opposite effects.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G1,
G14,
G2,
G21,
L,
L1,
L13
Quantitative Easing in a Small Open Economy: An International Portfolio Balancing Approach
Staff Working Paper 2016-55
Serdar Kabaca
This paper studies the effects of quantitative easing (QE) in a small open economy dynamic stochastic general-equilibrium model with international portfolio balancing. Portfolios are classified as imperfectly substitutable short-term and long-term subportfolios, each including domestic and foreign bonds.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics,
Monetary policy transmission
JEL Code(s):
E,
E5,
E52,
F,
F4,
F41
Producer Heterogeneity, Value-Added, and International Trade
Staff Working Paper 2016-54
Patrick Alexander
Standard new trade models depict producers as heterogeneous in total factor productivity. In this paper, I adapt the Eaton and Kortum (2002) model of international trade to incorporate tradable intermediate goods and producer heterogeneity in value-added productivity.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
International topics,
Productivity,
Trade integration
JEL Code(s):
F,
F1,
F11,
F12,
F14
Capital Flows to Developing Countries: Is There an Allocation Puzzle?
Staff Working Paper 2016-53
Josef Schroth
Foreign direct investment inflows are positively related to growth across developing countries—but so are savings in excess of investment. I develop an explanation for this well-established puzzle by focusing on the limited availability of consumer credit in developing countries together with general equilibrium effects.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Foreign reserves management,
Interest rates,
International financial markets
JEL Code(s):
E,
E1,
E13,
E2,
E21,
F,
F4,
F43
Supervising Financial Regulators
Staff Working Paper 2016-52
Josef Schroth
How much discretion should local financial regulators in a banking union have in accommodating local credit demand? I analyze this question in an economy where local regulators privately observe expected output from high lending. They do not fully internalize default costs from high lending since deposit insurance cannot be priced fairly.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial stability,
Financial system regulation and policies,
Regional economic developments
JEL Code(s):
E,
E4,
E44,
G,
G2,
G28,
H,
H7