Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1320
result(s)
Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility
Staff Working Paper 2013-37
Bo Young Chang,
Bruno Feunou
We measure uncertainty surrounding the central bank’s future policy rates using implied volatility computed from interest rate option prices and realized volatility computed from intraday prices of interest rate futures.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary and financial indicators,
Monetary policy and uncertainty
JEL Code(s):
E,
E4
Public/Private Transitions and Firm Financing
Staff Working Paper 2013-36
Kim Huynh,
Teodora Paligorova,
Robert Petrunia
A large body of empirical literature investigates differences in financing structures across firms. Private firms’ financing receives little attention due to the lack of data.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial markets
JEL Code(s):
G,
G3,
G30,
L,
L1,
L11
The Common Component of CPI: An Alternative Measure of Underlying Inflation for Canada
Staff Working Paper 2013-35
Mikael Khan,
Louis Morel,
Patrick Sabourin
In this paper, the authors propose a measure of underlying inflation for Canada obtained from estimating a monthly factor model on individual components of the CPI. This measure, labelled the common component of CPI, has intuitive appeal and a number of interesting features.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Inflation and prices,
Monetary policy framework
JEL Code(s):
C,
C1,
E,
E3,
E31,
E32,
E5,
E52,
E58
The Safety of Government Debt
Staff Working Paper 2013-34
Kartik Anand,
Prasanna Gai
We examine the safety of government bonds in the presence of Knightian uncertainty amongst financial market participants. In our model, the information insensitivity of government bonds is driven by strategic complementarities across counterparties and the structure of trading relationships.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial stability,
International financial markets
JEL Code(s):
D,
D8,
D81,
E,
E4,
E44,
F,
F0,
F02,
F4,
F41,
G,
G1,
G15
Housing and Tax Policy
Staff Working Paper 2013-33
Sami Alpanda,
Sarah Zubairy
In this paper, we investigate the effects of housing-related tax policy measures on macroeconomic aggregates using a dynamic general-equilibrium model.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Fiscal policy,
Housing
JEL Code(s):
E,
E6,
E62,
H,
H2,
H24,
R,
R3,
R38
Which Parametric Model for Conditional Skewness?
Staff Working Paper 2013-32
Bruno Feunou,
Mohammad R. Jahan-Parvar,
Roméo Tedongap
This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness models. This procedure is based on regressing the realized skewness measures on model-implied conditional skewness values.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C2,
C22,
C5,
C51,
G,
G1,
G12,
G15
The ‘Celtic Crisis’: Guarantees, Transparency and Systemic Liquidity Risk
Staff Working Paper 2013-31
Philipp König,
Kartik Anand,
Frank Heinemann
Bank liability guarantee schemes have traditionally been viewed as costless measures to shore up investor confidence and prevent bank runs. However, as the experiences of some European countries, most notably Ireland, have demonstrated, the credibility and effectiveness of these guarantees are crucially intertwined with the sovereign’s funding risks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Financial system regulation and policies
JEL Code(s):
D,
D8,
D89,
G,
G0,
G01,
G2,
G28
Endogenous Trade Participation with Incomplete Exchange Rate Pass-Through
Staff Working Paper 2013-30
Yuko Imura
This paper investigates the implications of endogenous trade participation for international business cycles, trade flow dynamics and exchange rate pass-through when price adjustments are staggered across firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Exchange rates,
International topics
JEL Code(s):
F,
F1,
F12,
F4,
F44
Volatility and Liquidity Costs
Staff Working Paper 2013-29
Selma Chaker
Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator inspired by the market microstructure literature to explicitly model the noise and remove it from observed returns before estimating their variance.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Market structure and pricing
JEL Code(s):
C,
C1,
C14,
C5,
C51,
C58,
G,
G2,
G20