Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1306
result(s)
Cash Management and Payment Choices: A Simulation Model with International Comparisons
Staff Working Paper 2013-53
Carlos Arango,
Yassine Bouhdaoui,
David Bounie,
Martina Eschelbach,
Lola Hernández
Despite various payment innovations, today, cash is still heavily used to pay for low-value purchases. This paper develops a simulation model to test whether standard implications of the theory on cash management and payment choices can explain the use of payment instruments by transaction size.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Financial services,
International topics
JEL Code(s):
C,
C6,
C61,
E,
E4,
E41,
E47
Do Oil Price Increases Cause Higher Food Prices?
Staff Working Paper 2013-52
Christiane Baumeister,
Lutz Kilian
U.S. retail food price increases in recent years may seem large in nominal terms, but after adjusting for inflation have been quite modest even after the change in U.S. biofuel policies in 2006. In contrast, increases in the real prices of corn, soybeans, wheat and rice received by U.S. farmers have been more substantial and can be linked in part to increases in the real price of oil.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
International topics
JEL Code(s):
E,
E3,
E31,
Q,
Q1,
Q11,
Q4,
Q42,
Q43
Regime Switches in the Risk-Return Trade-Off
Staff Working Paper 2013-51
Eric Ghysels,
Pierre Guérin,
Massimiliano Marcellino
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
G,
G1,
G10,
G12
Funding Advantage and Market Discipline in the Canadian Banking Sector
Staff Working Paper 2013-50
Mehdi Beyhaghi,
Chris D'Souza,
Gordon S. Roberts
We employ a comprehensive data set and a variety of methods to provide evidence on the magnitude of large banks’ funding advantage in Canada, and on the extent to which market discipline exists across different securities issued by the Canadian banks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Interest rates
JEL Code(s):
G,
G0,
G01,
G2,
G21,
G28,
G3,
G32,
G33
A Distributional Approach to Realized Volatility
Staff Working Paper 2013-49
Selma Chaker,
Nour Meddahi
This paper proposes new measures of the integrated variance, measures which use high-frequency bid-ask spreads and quoted depths. The traditional approach assumes that the mid-quote is a good measure of frictionless price.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C14,
C5,
C51,
C58
Volatility Forecasting when the Noise Variance Is Time-Varying
Staff Working Paper 2013-48
Selma Chaker,
Nour Meddahi
This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the noise variance is related to the true return volatility.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C14,
C5,
C51,
C58
CoMargin
Staff Working Paper 2013-47
Jorge Cruz Lopez,
Jeffrey H. Harris,
Christophe Hurlin,
Christophe Pérignon
We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial institutions,
Financial markets,
Financial stability
JEL Code(s):
G,
G1,
G13
Heterogeneous Returns to U.S. College Selectivity and the Value of Graduate Degree Attainment
Staff Working Paper 2013-46
Mai Seki
Existing studies on the returns to college selectivity have mixed results, mainly due to the difficulty of controlling for selection into more-selective colleges based on unobserved ability.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Labour markets
JEL Code(s):
C,
C3,
C30,
I,
I2,
I21
Expansion of Higher Education, Employment and Wages: Evidence from the Russian Transition
Staff Working Paper 2013-45
Natalia Kyui
This paper analyzes the effects of an educational system expansion on labour market outcomes, drawing upon a 15-year natural experiment in the Russian Federation. Regional increases in student intake capacities in Russian universities, a result of educational reforms, provide a plausibly exogenous variation in access to higher education.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Development economics,
Labour markets
JEL Code(s):
I,
I2,
I20,
J,
J2,
J24