Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1306
result(s)
A Semiparametric Early Warning Model of Financial Stress Events
Staff Working Paper 2013-13
Ian Christensen,
Fuchun Li
The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial stability
JEL Code(s):
C,
C1,
C12,
C14,
G,
G0,
G01,
G1,
G17
Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics
Staff Working Paper 2013-12
Jianjian Jin
This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of risk-neutral and realized volatilities.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Economic models
JEL Code(s):
G,
G1,
G12,
G17
Forecasting with Many Models: Model Confidence Sets and Forecast Combination
Staff Working Paper 2013-11
Jon D. Samuels,
Rodrigo Sekkel
A longstanding finding in the forecasting literature is that averaging forecasts from different models often improves upon forecasts based on a single model, with equal weight averaging working particularly well. This paper analyzes the effects of trimming the set of models prior to averaging.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C5,
C53
A New Linear Estimator for Gaussian Dynamic Term Structure Models
Staff Working Paper 2013-10
Antonio Diez de los Rios
This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods,
Interest rates
JEL Code(s):
C,
C1,
C13,
E,
E4,
E43,
G,
G1,
G12
An Equilibrium Analysis of the Rise in House Prices and Mortgage Debt
Staff Working Paper 2013-9
Shaofeng Xu
This paper examines the contributions of population aging, mortgage innovation and historically low interest rates to the sharp rise in U.S. house prices and mortgage debt between 1994 and 2005.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Credit and credit aggregates,
Economic models
JEL Code(s):
E,
E2,
E21,
E4,
E44,
G,
G1,
G11,
R,
R2,
R21
Countercyclical Bank Capital Requirement and Optimized Monetary Policy Rules
Staff Working Paper 2013-8
Carlos De Resende,
Ali Dib,
René Lalonde,
Nikita Perevalov
Using BoC-GEM-Fin, a large-scale DSGE model with real, nominal and financial frictions featuring a banking sector, we explore the macroeconomic implications of various types of countercyclical bank capital regulations. Results suggest that countercyclical capital requirements have a significant stabilizing effect on key macroeconomic variables, but mostly after financial shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial institutions,
Financial stability,
International topics
JEL Code(s):
E,
E3,
E32,
E4,
E44,
E5,
G,
G1,
G2
A Tractable Monetary Model Under General Preferences
Staff Working Paper 2013-7
Tsz-Nga Wong
Consider the monetary model of Lagos and Wright (JPE 2005) but with general preferences and general production. I show that preferences satisfying UXXUHH – (UXH)2 = 0 is a sufficient condition for the existence and uniqueness of monetary equilibrium with degenerate money distribution.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models
JEL Code(s):
D,
D8,
D83,
E,
E4,
E40
To Link or Not To Link? Netting and Exposures Between Central Counterparties
Staff Working Paper 2013-6
Stacey Anderson,
Jean-Philippe Dion,
Héctor Pérez Saiz
This paper provides a framework to compare linked and unlinked CCP configurations in terms of total netting achieved by market participants and the total system default exposures that exist between participants and CCPs.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Payment clearing and settlement systems
JEL Code(s):
G,
G1,
G18,
G2,
G23
Market Structure and Cost Pass-Through in Retail
Staff Working Paper 2013-5
Gee Hee Hong,
Nicholas Li
We examine the extent to which vertical and horizontal market structure can together
explain incomplete retail pass-through.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Monetary policy transmission
JEL Code(s):
E,
E3,
E30,
E31,
L,
L1,
L11,
L16