Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1320
result(s)
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
Expectations and Monetary Policy: Experimental Evidence
Staff Working Paper 2013-44
Oleksiy Kryvtsov,
Luba Petersen
The effectiveness of monetary policy depends, to a large extent, on market expectations of its future actions. In a standard New Keynesian business-cycle model with rational expectations, systematic monetary policy reduces the variance of inflation and the output gap by at least two-thirds.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Monetary policy implementation,
Monetary policy transmission
JEL Code(s):
C,
C9,
D,
D8,
D84,
E,
E3,
E5,
E52
Perceived Inflation Persistence
Staff Working Paper 2013-43
Monica Jain
The Survey of Professional Forecasters (SPF) has had vast influence on research related to better understanding expectation formation and the behaviour of macroeconomic agents. Inflation expectations, in particular, have received a great deal of attention, since they play a crucial role in determining real interest rates, the expectations-augmented Phillips curve and monetary policy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Inflation and prices
JEL Code(s):
E,
E3,
E31,
E37
High-Frequency Real Economic Activity Indicator for Canada
Staff Working Paper 2013-42
Gitanjali Kumar
I construct a weekly measure of real economic activity in Canada. Based on the work of Aruoba et al. (2009), the indicator is extracted as an unobserved component underlying the co-movement of four monthly observed real macroeconomic variables - employment, manufacturing sales, retail sales and GDP.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods
JEL Code(s):
C,
C3,
C38,
E,
E3,
E32
Central Bank Communications Before, During and After the Crisis: From Open-Market Operations to Open-Mouth Policy
Staff Working Paper 2013-41
Ianthi Vayid
The days when secrecy and opacity were the bywords of central banking are gone. The advent of inflation targeting in the early 1990s acted as the catalyst for enhanced transparency and communications in the conduct of monetary policy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Credibility,
Financial stability,
Inflation targets,
Monetary policy framework,
Monetary policy implementation
JEL Code(s):
E,
E5,
E52,
E58
Unemployment Fluctuations in a Small Open-Economy Model with Segmented Labour Markets: The Case of Canada
Staff Working Paper 2013-40
Yahong Zhang
The recent financial crisis and subsequent recession have spurred great interest in the sources of unemployment fluctuations. Previous studies predominantly assume a single economy-wide labour market, and therefore abstract from differences across sectorspecific labour markets in the economy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
Labour markets
JEL Code(s):
E,
E3,
E32,
E4,
E44,
J,
J6
The Financialization of Food?
Staff Working Paper 2013-39
Valentina G. Bruno,
Bahattin Buyuksahin,
Michel A. Robe
Commodity-equity and cross-commodity return co-movements rose dramatically after the 2008 financial crisis. This development took place following what has been dubbed the “financialization” of commodity markets.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics,
Recent economic and financial developments
JEL Code(s):
G,
G1,
G12,
G13,
Q,
Q1,
Q11,
Q13