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64 Results

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.

Exchange Rates, Retailers, and Importing: Theory and Firm-Level Evidence

Staff Working Paper 2019-34 Alex Chernoff, Patrick Alexander
We develop a model with firm heterogeneity in importing and cross-border shopping among consumers. Exchange-rate appreciations lower the cost of imported goods, but also lead to more cross-border shopping; hence, the net impact on aggregate retail prices and sales is ambiguous.

Behavioral Learning Equilibria in New Keynesian Models

Staff Working Paper 2022-42 Cars Hommes, Kostas Mavromatis, Tolga Özden, Mei Zhu
We introduce behavioral learning equilibria (BLE) into DSGE models with boundedly rational agents using simple but optimal first order autoregressive forecasting rules. The Smets-Wouters DSGE model with BLE is estimated and fits well with inflation survey expectations. As a policy application, we show that learning requires a lower degree of interest rate smoothing.
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