Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1304
result(s)
The Propagation of Industrial Business Cycles
Staff Working Paper 2014-48
Maximo Camacho,
Danilo Leiva-Leon
This paper examines the business cycle linkages that propagate industry-specific business cycle shocks throughout the economy in a way that (sometimes) generates aggregated cycles. The transmission of sectoral business cycles is modelled through a multivariate Markov-switching model, which is estimated by Gibbs sampling.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Domestic demand and components,
Econometric and statistical methods
JEL Code(s):
C,
C2,
C22,
E,
E2,
E27,
E3,
E32
Labour Share Fluctuations in Emerging Markets: The Role of the Cost of Borrowing
Staff Working Paper 2014-47
Serdar Kabaca
This paper contributes to the literature by documenting labour income share fluctuations in emerging-market economies and proposing an explanation for them. Time-series data indicate that emerging markets differ from developed markets in terms of changes in the labour share over the business cycle.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Development economics,
Interest rates,
International topics,
Labour markets
JEL Code(s):
E,
E2,
E25,
E4,
E44,
F,
F4,
F41
Are There Gains from Pooling Real-Time Oil Price Forecasts?
Staff Working Paper 2014-46
Christiane Baumeister,
Lutz Kilian,
Thomas K. Lee
The answer as to whether there are gains from pooling real-time oil price forecasts depends on the objective. The approach of combining five of the leading forecasting models with equal weights dominates the strategy of selecting one model and using it for all horizons up to two years.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C5,
C53,
Q,
Q4,
Q43
On the Importance of Sales for Aggregate Price Flexibility
Staff Working Paper 2014-45
Oleksiy Kryvtsov,
Nicolas Vincent
Macroeconomists have traditionally ignored the behavior of temporary price markdowns (“sales”) by retailers. Although sales are common in the micro price data, they are assumed to be unrelated to macroeconomic phenomena and generally filtered out.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
Inflation and prices,
Market structure and pricing,
Monetary policy transmission
JEL Code(s):
E,
E3,
E31,
E32,
E5,
E52,
L,
L1,
L11,
L2,
L25,
L8,
L81,
M,
M3,
M31
The Role of Card Acceptance in the Transaction Demand for Money
Staff Working Paper 2014-44
Kim Huynh,
Philipp Schmidt-Dengler,
Helmut Stix
The use of payment cards, either debit or credit, is becoming more and more widespread in developed economies. Nevertheless, the use of cash remains significant.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Digital currencies and fintech,
Econometric and statistical methods,
Financial services
JEL Code(s):
C,
C3,
C35,
C8,
C83,
E,
E4,
E41
International Transmission Channels of U.S. Quantitative Easing: Evidence from Canada
Staff Working Paper 2014-43
Tatjana Dahlhaus,
Abeer Reza,
Kristina Hess
The U.S. Federal Reserve responded to the great recession by reducing policy rates to the effective lower bound. In order to provide further monetary stimulus, they subsequently conducted large-scale asset purchases, quadrupling their balance sheet in the process.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics,
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
C,
C3,
C32,
E,
E5,
E52,
E58,
F,
F4,
F42,
F44
What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?
Staff Working Paper 2014-42
Ron Alquist,
Gregory Bauer,
Antonio Diez de los Rios
Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures the value of storing crude oil over the borrowing period.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
International topics
JEL Code(s):
C,
C5,
C53,
G,
G1,
G12,
G13,
Q,
Q4,
Q43
Improving Public Equity Markets? No Pain, No Gain
Staff Working Paper 2014-41
Katya Kartashova
This paper quantifies the effects of improving public equity markets on macroeconomic aggregates and welfare. I use an open-economy extension of Angeletos (2007), where entrepreneurs face idiosyncratic productivity risk in privately held firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Development economics,
Financial institutions,
Financial markets
JEL Code(s):
E,
E4,
E44,
G,
G1,
G11,
O,
O1,
O11,
O16
Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?
Staff Working Paper 2014-40
Rodrigo Sekkel
This paper conducts a real-time, out-of-sample analysis of the forecasting power of various aggregate financial intermediaries’ balance sheets to a wide range of economic activity measures in the United States.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C5,
C53