Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1320
result(s)
International House Price Cycles, Monetary Policy and Risk Premiums
Staff Working Paper 2014-54
Gregory Bauer
Using a panel logit framework, the paper provides an estimate of the likelihood of a house price correction in 18 OECD countries. The analysis shows that a simple measure of the degree of house price overvaluation contains a lot of information about subsequent price reversals.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Housing
JEL Code(s):
C,
C2,
E,
E4,
E43,
R,
R2,
R21
The Impact of U.S. Monetary Policy Normalization on Capital Flows to Emerging-Market Economies
Staff Working Paper 2014-53
Tatjana Dahlhaus,
Garima Vasishtha
The Federal Reserve’s path for withdrawal of monetary stimulus and eventually increasing interest rates could have substantial repercussions for capital flows to emerging-market economies (EMEs).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics,
Monetary policy transmission
JEL Code(s):
C,
C3,
C32,
E,
E5,
E52,
F,
F3,
F33,
F4,
F42
Targeting Inflation from Below - How Do Inflation Expectations Behave?
Staff Working Paper 2014-52
Michael Ehrmann
Inflation targeting (IT) had originally been introduced as a device to bring inflation down and stabilize it at low levels. Given the current environment of persistently weak inflation in many advanced economies, IT central banks must now bring inflation up to target.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Inflation targets
JEL Code(s):
C,
C5,
C53,
E,
E3,
E31,
E5,
E52,
E58
Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
Staff Working Paper 2014-51
Sermin Gungor,
Richard Luger
We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C12,
C14,
C15,
G,
G1,
G12
The Effect of the Federal Reserve’s Tapering Announcements on Emerging Markets
Staff Working Paper 2014-50
Vikram Rai,
Lena Suchanek
The Federal Reserve’s quantitative easing (QE) program has been accompanied by a flow of funds into emerging-market economies (EMEs) in search of higher returns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International financial markets,
International topics,
Monetary policy transmission
JEL Code(s):
C,
C3,
C33,
E,
E5,
E58,
F,
F3,
F32,
G,
G1,
G14
Credit Market Frictions and Sudden Stops
Staff Working Paper 2014-49
Yuko Imura
Financial crises in emerging economies in the 1980s and 1990s often entailed abrupt declines in foreign capital inflows, improvements in trade balance, and large declines in output and total factor productivity (TFP).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Financial markets,
International topics
JEL Code(s):
E,
E2,
E22,
E3,
E32,
F,
F4,
F41,
G,
G0,
G01
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