Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1311
result(s)
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
Monetary Policy Transmission during Financial Crises: An Empirical Analysis
Staff Working Paper 2014-21
Tatjana Dahlhaus
This paper studies the effects of a monetary policy expansion in the United States during times of high financial stress. The analysis is carried out by introducing a smooth transition factor model where the transition between states (“normal” and high financial stress) depends on a financial conditions index.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Monetary policy transmission
JEL Code(s):
C,
C1,
C11,
C3,
C32,
E,
E3,
E32,
E4,
E44,
G,
G0,
G01
Consumer Cash Usage: A Cross-Country Comparison with Payment Diary Survey Data
Staff Working Paper 2014-20
John Bagnall,
David Bounie,
Kim Huynh,
Anneke Kosse,
Tobias Schmidt,
Scott Schuh,
Helmut Stix
We measure consumers’ use of cash by harmonizing payment diary surveys from seven countries. The seven diary surveys were conducted in 2009 (Canada), 2010 (Australia), 2011 (Austria, France, Germany and the Netherlands), and 2012 (the United States).
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):
D,
D1,
D12,
E,
E4,
E41,
E5,
E58
High-Frequency Trading Competition
Staff Working Paper 2014-19
Jonathan Brogaard,
Corey Garriott,
Anna Pomeranets
We analyze trading dynamics as successive high-frequency trading (HFT) firms begin to trade stocks in an equity market. Entrants compete with incumbents for volume, and there is crowding out.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G14,
G2,
G20,
L,
L1
Interest on Cash, Fundamental Value Process and Bubble Formation on Experimental Asset Markets
Staff Working Paper 2014-18
Giovanni Giusti,
Janet Hua Jiang,
Yiping Xu
We study the formation of price bubbles on experimental asset markets where cash earns interest. There are two main conclusions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Financial stability
JEL Code(s):
C,
C9,
C90,
G,
G1,
G10
Multiple Fixed Effects in Binary Response Panel Data Models
Staff Working Paper 2014-17
Karyne B. Charbonneau
This paper considers the adaptability of estimation methods for binary response panel data models to multiple fixed effects. It is motivated by the gravity equation used in international trade, where important papers such as Helpman, Melitz and Rubinstein (2008) use binary response models with fixed effects for both importing and exporting countries.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C2,
C23,
C25,
F,
F1,
F14