Staff working papers

Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.

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1330 result(s)

Launching the NEUQ: The New European Union Quarterly Model, A Small Model of the Euro Area and U.K. Economies

Staff Working Paper 2006-22 Anna Piretti, Charles St-Arnaud
The authors develop a projection model of the euro area and the United Kingdom. The model consists of two country blocks, endogenous to each other via the foreign demand channel.

Examining the Trade-Off between Settlement Delay and Intraday Liquidity in Canada's LVTS: A Simulation Approach

Staff Working Paper 2006-20 Neville Arjani
The author explores a fundamental trade-off that occurs between settlement delay and intraday liquidity in the daily operation of large-value payment systems (LVPS), with specific application to Canada's Large Value Transfer System (LVTS).

Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events

Staff Working Paper 2006-17 Alejandro García, Ramazan Gençay
The authors examine how the use of extreme value theory yields collateral requirements that are robust to extreme fluctuations in the market price of the asset used as collateral.
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