Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1306
result(s)
Information, Amplification and Financial Crisis
Staff Working Paper 2014-30
Ali Kakhbod,
Toni Ahnert
We propose a parsimonious model of information choice in a global coordination game of regime change that is used to analyze debt crises, bank runs or currency attacks. A change in the publicly available information alters the uncertainty about the behavior of other investors.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
D,
D8,
D83,
G,
G0,
G01
Optimal Margining and Margin Relief in Centrally Cleared Derivatives Markets
Staff Working Paper 2014-29
Radoslav Raykov
A major policy challenge posed by derivatives clearinghouses is that their collateral requirements can rise sharply in times of stress, reducing market liquidity and further exacerbating downturns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Payment clearing and settlement systems
JEL Code(s):
G,
G1,
G19,
G2,
G21
Consumer Attitudes and the Epidemiology of Inflation Expectations
Staff Working Paper 2014-28
Michael Ehrmann,
Damjan Pfajfar,
Emiliano Santoro
This paper studies the formation of consumers’ inflation expectations using micro-level data from the Michigan Survey. It shows that beyond the well-established socio-economic determinants of inflation expectations such as gender, income or education, other characteristics such as the households’ financial situation and their purchasing attitudes also matter.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices
JEL Code(s):
C,
C5,
C53,
D,
D8,
D84,
E,
E3,
E31
Retail Payment Innovations and Cash Usage: Accounting for Attrition Using Refreshment Samples
Staff Working Paper 2014-27
Heng Chen,
Marie-Hélène Felt,
Kim Huynh
We exploit the panel dimension of the Canadian Financial Monitor (CFM) data to estimate the impact of retail payment innovations on cash usage. We estimate a semiparametric panel data model that accounts for unobserved heterogeneity and allows for general forms of non-random attrition.
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,
E,
E4,
E41
Filling in the Blanks: Network Structure and Interbank Contagion
Staff Working Paper 2014-26
Kartik Anand,
Ben Craig,
Goetz von Peter
The network pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial institutions,
Financial stability
JEL Code(s):
C,
C6,
C63,
D,
D8,
D85,
G,
G2,
G21,
L,
L1,
L14
Improving Overnight Loan Identification in Payments Systems
Staff Working Paper 2014-25
Mark Rempel
Information on the allocation and pricing of over-the-counter (OTC) markets is scarce. Furfine (1999) pioneered an algorithm that provides transaction-level data on the OTC interbank lending market.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Interest rates,
Payment clearing and settlement systems
JEL Code(s):
C,
C3,
C38,
C5,
C53,
E,
E4,
E42,
E44,
G,
G1,
G10
Sheep in Wolf’s Clothing: Using the Least Squares Criterion for Quantile Estimation
Staff Working Paper 2014-24
Heng Chen
Estimation of the quantile model, especially with a large data set, can be computationally burdensome. This paper proposes using the Gaussian approximation, also known as quantile coupling, to estimate a quantile model.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C1,
C13,
C14,
C2,
C21
Rollover Risk, Liquidity and Macroprudential Regulation
Staff Working Paper 2014-23
Toni Ahnert
I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex ante and are subject to fire sales ex post.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial system regulation and policies
JEL Code(s):
G,
G0,
G01,
G1,
G11,
G2,
G28
Understanding the Cash Demand Puzzle
Staff Working Paper 2014-22
Janet Hua Jiang,
Enchuan Shao
We develop a model to explain a puzzling trend in cash demand in recent years: the value of bank notes in circulation as a percentage of GDP has remained stable despite decreasing cash usage at points of sale owing to competition from alternative means of payment such as credit cards.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Credit and credit aggregates,
Digital currencies and fintech
JEL Code(s):
E,
E4,
E41,
E5,
E51