Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1304
result(s)
Productive Misallocation and International Transmission of Credit Shocks
Staff Working Paper 2015-19
Yuko Imura,
Julia Thomas
We develop an asymmetric, two-country equilibrium business cycle model to study the role of international trade in transmitting and propagating the real effects of global financial shocks. Our model predicts that a recession in a large economy considerably alters a recession in its smaller trade partner, with distinct investment dynamics driving the transmission.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
Financial markets,
Financial stability,
International topics
JEL Code(s):
E,
E2,
E22,
E3,
E32,
E4,
E44,
F,
F4,
F41,
F44
Government and Private E-Money-Like Systems: Federal Reserve Notes and National Bank Notes
Staff Working Paper 2015-18
Warren E. Weber
The period from 1914 to 1935 in the United States is unique in that it was the only time that both privately-issued bank notes (national bank notes) and central bank-issued bank notes (Federal Reserve notes) were simultaneously in circulation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Digital currencies and fintech,
Financial services
JEL Code(s):
E,
E4,
E41,
E42,
E5,
E58
Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates
Staff Working Paper 2015-17
Fuchun Li
The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal components.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods,
Interest rates
JEL Code(s):
C,
C1,
C12,
C14,
E,
E1,
E17,
E4,
E43,
G,
G1,
G12,
G2,
G20
Exploring Differences in Household Debt Across Euro Area Countries and the United States
Staff Working Paper 2015-16
Dimitris Christelis,
Michael Ehrmann,
Dimitris Georgarakos
We use internationally comparable household-level data for ten euro area economies and the United States to investigate cross-country differences in debt holdings and the potential of debt overhang.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Econometric and statistical methods,
International topics
JEL Code(s):
D,
D1,
D12,
E,
E2,
E21,
G,
G1,
G11
Household Stockholding Behavior During the Great Financial Crisis
Staff Working Paper 2015-15
Jie Zhou
Using the Panel Study of Income Dynamics, this paper studies household stock market participation and trading behavior in 2007–09, a period that saw a major stock market downswing. The stock market participation rate fell after the market crash.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets
JEL Code(s):
G,
G0,
G01,
G1,
G11
A Wake-Up-Call Theory of Contagion
Staff Working Paper 2015-14
Christoph Bertsch,
Toni Ahnert
We propose a novel theory of financial contagion. We study global coordination games of regime change in two regions with an initially uncertain correlation of regional fundamentals.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial stability,
International financial markets
JEL Code(s):
D,
D8,
D82,
F,
F3,
G,
G0,
G01
Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis
Staff Working Paper 2015-13
Michael Ehrmann,
Marcel Fratzscher
The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting the heteroskedasticity of intraday changes in bond yields for identification.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Interest rates,
International financial markets
JEL Code(s):
E,
E5,
F,
F3,
G,
G1,
G15
Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns
Staff Working Paper 2015-12
Jean-Sébastien Fontaine,
René Garcia,
Sermin Gungor
Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets
JEL Code(s):
E,
E4,
E43,
H,
H1,
H12
Fourier Inversion Formulas for Multiple-Asset Option Pricing
Staff Working Paper 2015-11
Bruno Feunou,
Ernest Tafolong
Plain vanilla options have a single underlying asset and a single condition on the payoff at the expiration date. For this class of options, a well-known result of Duffie, Pan and Singleton (2000) shows how to invert the characteristic function to obtain a closed-form formula for their prices.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing
JEL Code(s):
G,
G1,
G12