Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1302
result(s)
Broker Routing Decisions in Limit Order Markets
Staff Working Paper 2016-50
David Cimon
The primary focus of this paper is to study conflict of interest in the brokerage market. Brokers face a conflict of interest when the commissions they receive from investors differ from the costs imposed by different trading venues.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G2,
G24,
G28
Monetary Policy Tradeoffs Between Financial Stability and Price Stability
Staff Working Paper 2016-49
Malik Shukayev,
Alexander Ueberfeldt
We analyze the impact of interest rate policy on financial stability in an environment where banks can experience runs on their short-term liabilities, forcing them to sell assets at fire-sale prices.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
D,
D6,
D62,
E,
E3,
E32,
E4,
E44,
G,
G0,
G01
Business Cycles in Small, Open Economies: Evidence from Panel Data Between 1900 and 2013
Staff Working Paper 2016-48
Thuy Lan Nguyen,
Wataru Miyamoto
Using a novel data set for 17 countries dating from 1900 to 2013, we characterize business cycles in both small developed and developing countries in a model with financial frictions and a common shock structure. We estimate the model jointly for these 17 countries using Bayesian methods.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
International topics
JEL Code(s):
E,
E1,
E13,
E3,
E32,
F,
F4,
F41,
F44
Managing Risk Taking with Interest Rate Policy and Macroprudential Regulations
Staff Working Paper 2016-47
Simona Cociuba,
Malik Shukayev,
Alexander Ueberfeldt
We develop a model in which a financial intermediary’s investment in risky assets—risk taking—is excessive due to limited liability and deposit insurance and characterize the policy tools that implement efficient risk taking.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial system regulation and policies,
Monetary policy framework
JEL Code(s):
E,
E4,
E44,
E5,
E52,
G,
G1,
G11,
G18
Fragility of Resale Markets for Securitized Assets and Policy of Asset Purchases
Staff Working Paper 2016-46
Martin Kuncl
Markets for securitized assets were characterized by high liquidity prior to the recent financial crisis and by a sudden market dry-up at the onset of the crisis. A general equilibrium model with heterogeneous investment opportunities and information frictions predicts that, in boom periods or mild recessions, the degree of adverse selection in resale markets for securitized assets is limited because of the reputation-based guarantees by asset originators.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Economic models,
Financial markets,
Financial stability,
Financial system regulation and policies
JEL Code(s):
E,
E3,
E32,
E5,
G,
G0,
G01,
G2
Interpreting Volatility Shocks as Preference Shocks
Staff Working Paper 2016-45
Shaofeng Xu
This paper examines the relationship between volatility shocks and preference shocks in an analytically tractable endogenous growth model with recursive preferences and stochastic volatility. I show that there exists an explicit mapping between volatility shocks and preference shocks, and a rise in volatility generates the same impulse responses of macroeconomic aggregates as a negative preference shock.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models
JEL Code(s):
E,
E2,
E3
Financial Constraint and Productivity: Evidence from Canadian SMEs
Staff Working Paper 2016-44
Shutao Cao,
Danny Leung
The degree to which financial constraint is binding is often not directly observable in commonly used business data sets (e.g., Compustat). In this paper, we measure and estimate the likelihood of a firm being constrained by external financing using a data set of small- and medium-sized Canadian firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Firm dynamics,
Productivity
JEL Code(s):
D,
D2,
D24,
G,
G3,
G32,
L,
L2,
L25
On What States Do Prices Depend? Answers from Ecuador
Staff Working Paper 2016-43
Craig Benedict,
Mario J. Crucini,
Anthony Landry
In this paper, we argue that differences in the cost structures across sectors play an important role in firms’ decisions to adjust their prices. We develop a menu-cost model of pricing in which retail firms intermediate trade between producers and consumers.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Monetary policy transmission
JEL Code(s):
E,
E3,
E5,
F,
F3,
F33
On the Value of Virtual Currencies
Staff Working Paper 2016-42
Wilko Bolt,
Maarten van Oordt
This paper develops an economic framework to analyze the exchange rate of virtual currency. Three components are important: first, the current use of virtual currency to make payments; second, the decision of forward-looking investors to buy virtual currency (thereby effectively regulating its supply); and third, the elements that jointly drive future consumer adoption and merchant acceptance of virtual currency.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Digital currencies and fintech,
Exchange rates
JEL Code(s):
E,
E4,
E42,
E5,
E51,
F,
F3,
F31,
G,
G1