Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1306
result(s)
Housing and Tax-Deferred Retirement Accounts
Staff Working Paper 2016-24
Anson T. Y. Ho,
Jie Zhou
Assets in tax-deferred retirement accounts (TDA) and housing are two major components of household portfolios. In this paper, we develop a life-cycle model to examine the interaction between households’ use of TDA and their housing decisions.
Identification and Estimation of Risk Aversion in First-Price Auctions with Unobserved Auction Heterogeneity
Staff Working Paper 2016-23
Serafin Grundl,
Yu Zhu
This paper shows point identification in first-price auction models with risk aversion and unobserved auction heterogeneity by exploiting multiple bids from each auction and variation in the number of bidders. The required exclusion restriction is shown to be consistent with a large class of entry models.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C1,
C14,
C5,
C57,
D,
D4,
D44,
L,
L0,
L00
Estimating Systematic Risk Under Extremely Adverse Market Conditions
Staff Working Paper 2016-22
Maarten van Oordt,
Chen Zhou
This paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We propose an estimator for the model coefficient by exploiting the tail dependence between the two variables and prove its asymptotic properties.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C14,
G,
G0,
G01
Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach
Staff Working Paper 2016-21
Fuchun Li,
Hongyu Xiao
We propose an early warning model for predicting the likelihood of a financial stress event for a given future time, and examine whether credit plays an important role in the model as a non-linear propagator of shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial stability
JEL Code(s):
C,
C1,
C12,
C14,
G,
G0,
G01,
G1,
G17
Retail Order Flow Segmentation
Staff Working Paper 2016-20
Corey Garriott,
Adrian Walton
In August 2012, the New York Stock Exchange launched the Retail Liquidity Program (RLP), a trading facility that enables participating organizations to quote dark limit orders executable only by retail traders.
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
Should Monetary Policy Lean Against Housing Market Booms?
Staff Working Paper 2016-19
Sami Alpanda,
Alexander Ueberfeldt
Should monetary policy lean against housing market booms? We approach this question using a small-scale, regime-switching New Keynesian model, where housing market crashes arrive with a logit probability that depends on the level of household debt.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial stability,
Housing,
Monetary policy framework
JEL Code(s):
E,
E4,
E44,
E5,
E52,
G,
G0,
G01
A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
Staff Working Paper 2016-18
Christiane Baumeister,
Lutz Kilian
Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C5,
C53,
D,
D8,
D84,
G,
G1,
G14,
Q,
Q4,
Q43
Opaque Assets and Rollover Risk
Staff Working Paper 2016-17
Benjamin Nelson,
Toni Ahnert
We model the asset-opacity choice of an intermediary subject to rollover risk in wholesale funding markets. Greater opacity means investors form more dispersed beliefs about an intermediary’s profitability.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
G,
G0,
G01,
G2
Asset Encumbrance, Bank Funding and Financial Fragility
Staff Working Paper 2016-16
Kartik Anand,
Prasanna Gai,
James Chapman,
Toni Ahnert
In this piece we show that a limit on the level of asset encumbrance and minimum capital requirements are effective tools for minimizing the incentive for banks to take excessive risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
D,
D8,
D82,
G,
G0,
G01,
G2,
G21,
G28