Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1324
result(s)
Why Do Emerging Markets Liberalize Capital Outflow Controls? Fiscal versus Net Capital Flow Concerns
Staff Working Paper 2013-21
Joshua Aizenman,
Gurnain Pasricha
In this paper, we provide empirical evidence on the factors that motivated emerging economies to change their capital outflow controls in recent decades. Liberalization of capital outflow controls can allow emerging-market economies (EMEs) to reduce net capital inflow (NKI) pressures, but may cost their governments the fiscal revenues that external financial repression generates.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Financial system regulation and policies,
International topics,
Recent economic and financial developments
JEL Code(s):
F,
F3,
F32,
G,
G1,
G15
Money Market Rates and Retail Interest Regulation in China: The Disconnect between Interbank and Retail Credit Conditions
Staff Working Paper 2013-20
Nathan Porter,
TengTeng Xu
Interest rates in China are composed of a mix of both market-determined interest rates (interbank rates and bond yields), and regulated interest rates (retail lending and deposit rates), reflecting China’s gradual process of interest rate liberalization.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Development economics,
Econometric and statistical methods,
Financial markets,
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
C,
C2,
C22,
E,
E4,
E43,
E5,
E52,
E58
Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults
Staff Working Paper 2013-19
M. Hashem Pesaran,
TengTeng Xu
This paper proposes a theoretical framework to analyze the relationship between credit shocks, firm defaults and volatility, and to study the impact of credit shocks on business cycle dynamics.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Economic models,
Financial institutions
JEL Code(s):
E,
E3,
E32,
E4,
E44,
G,
G2,
G21
Booms and Busts in House Prices Explained by Constraints in Housing Supply
Staff Working Paper 2013-18
Narayan Bulusu,
Jefferson Duarte,
Carles Vergara-Alert
We study the importance of supply constraints in explaining the heterogeneity in house price cycles across geographies in the United States.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Economic models
JEL Code(s):
R,
R3,
R31
Fire-Sale FDI or Business as Usual?
Staff Working Paper 2013-17
Ron Alquist,
Rahul Mukherjee,
Linda Tesar
Using a new data set, we examine the characteristics and dynamics of cross-border mergers and acquisitions during emerging-market financial crises, that is, so-called “fire-sale FDI.” Our findings shed fresh light on whether the transactions undertaken during crisis periods differ in fundamental ways from those undertaken during more tranquil periods.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International financial markets,
International topics
JEL Code(s):
F,
F2,
F21,
G,
G0,
G01,
G3,
G34
Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances
Staff Working Paper 2013-16
Sermin Gungor,
Richard Luger
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C12,
C15,
C3,
C33,
G,
G1,
G11,
G12
What Central Bankers Need to Know about Forecasting Oil Prices
Staff Working Paper 2013-15
Christiane Baumeister,
Lutz Kilian
Forecasts of the quarterly real price of oil are routinely used by international organizations and central banks worldwide in assessing the global and domestic economic outlook, yet little is known about how best to generate such forecasts. Our analysis breaks new ground in several dimensions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C5,
C53,
E,
E3,
E32,
Q,
Q4,
Q43
Are Sunspots Learnable? An Experimental Investigation in a Simple General-Equilibrium Model
Staff Working Paper 2013-14
Jasmina Arifovic,
George Evans,
Olena Kostyshyna
We conduct experiments with human subjects in a model with a positive production externality in which productivity is a non-decreasing function of the average level of employment of other firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models
JEL Code(s):
D,
D8,
D83,
G,
G2,
G20
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