Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1306
result(s)
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
Real-Time Nowcasting of Nominal GDP Under Structural Breaks
Staff Working Paper 2014-39
William A. Barnett,
Marcelle Chauvet,
Danilo Leiva-Leon
This paper provides a framework for the early assessment of current U.S. nominal GDP growth, which has been considered a potential new monetary policy target. The nowcasts are computed using the exact amount of information that policy-makers have available at the time predictions are made. However, real-time information arrives at different frequencies and asynchronously, which poses challenges of mixed frequencies, missing data and ragged edges.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Inflation and prices
JEL Code(s):
C,
C3,
C32,
E,
E2,
E27,
E3,
E31,
E32
A New Approach to Infer Changes in the Synchronization of Business Cycle Phases
Staff Working Paper 2014-38
Danilo Leiva-Leon
This paper proposes a Markov-switching framework to endogenously identify the following: (1) regimes where economies synchronously enter recessionary and expansionary phases; and (2) regimes where economies are unsynchronized, essentially following independent business cycles.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Regional economic developments
JEL Code(s):
C,
C3,
C32,
C4,
C45,
E,
E3,
E32
Predicting Financial Stress Events: A Signal Extraction Approach
Staff Working Paper 2014-37
Ian Christensen,
Fuchun Li
The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of time. To achieve this goal, the signal extraction approach proposed by Kaminsky, Lizondo and Reinhart (1998) is used to monitor the evolution of a number of economic indicators that tend to exhibit an unusual behaviour in the periods preceding a financial stress event.
Global Inflation Dynamics in the Post-Crisis Period: What Explains the Twin Puzzle?
Staff Working Paper 2014-36
Christian Friedrich
Inflation dynamics in advanced countries have produced two consecutive puzzles during the years after the global financial crisis. The first puzzle emerged when inflation rates over the period 2009-11 were consistently higher than expected, although economic slack in advanced countries reached its highest level in recent history.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Fiscal policy,
Inflation and prices,
International topics
JEL Code(s):
E,
E3,
E31,
E5,
F,
F4,
F41
Search Frictions, Financial Frictions and Labour Market Fluctuations in Emerging Markets
Staff Working Paper 2014-35
Sumru Altug,
Serdar Kabaca
This paper examines the role of the extensive and intensive margins of labour input in the context of a business cycle model with a financial friction. We document significant variation in the hours worked per worker for many emerging-market economies. Both employment and hours worked per worker are positively correlated with each other and with output.
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,
E4,
E44,
F,
F4,
F41,
J,
J4,
J40
Housework and Fiscal Expansions
Staff Working Paper 2014-34
Stefano Gnocchi,
Daniela Hauser,
Evi Pappa
We build an otherwise-standard business cycle model with housework, calibrated consistently with data on time use, in order to discipline consumption-hours complementarity and relate its strength to the size of fiscal multipliers.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Fiscal policy
JEL Code(s):
E,
E2,
E24,
E3,
E32,
E5,
E52,
E6,
E62
Competition in the Cryptocurrency Market
Staff Working Paper 2014-33
Neil Gandal,
Hanna Halaburda
We analyze how network effects affect competition in the nascent cryptocurrency market. We do so by examining the changes over time in exchange rate data among cryptocurrencies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Digital currencies and fintech
JEL Code(s):
L,
L1
Commodity Price Co-Movement and Global Economic Activity
Staff Working Paper 2014-32
Ron Alquist,
Olivier Coibion
Guided by a macroeconomic model in which non-energy commodity prices are endogenously determined, we apply a new factor-based identification strategy to decompose the historical sources of changes in commodity prices and global economic activity.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
International topics
JEL Code(s):
E,
E3,
F,
F4