December 14, 2009 Liquidity Standards in a Macroprudential Context Financial System Review - December 2009 Carol Ann Northcott, Mark Zelmer Content Type(s): Publications, Financial System Review articles
Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets Staff Working Paper 2006-43 Alexander Melnikov, Yuliya Romanyuk The authors use the efficient hedging methodology for optimal pricing and hedging of equity-linked life insurance contracts whose payoff depends on the performance of several risky assets. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): D, D8, D81, G, G1, G10, G12
Are Temporary Oil Supply Shocks Real? Staff Working Paper 2022-52 Johan Brannlund, Geoffrey R. Dunbar, Reinhard Ellwanger Hurricanes disrupt oil production in the Gulf of Mexico because producers shut in oil platforms to safeguard lives and prevent damage. We examine the effects of these temporary oil supply shocks on real economic activity in the United States. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Inflation and prices JEL Code(s): E, E3, E31, E32, Q, Q3, Q31, Q4, Q41, Q43
Housing and Tax-Deferred Retirement Accounts Staff Working Paper 2016-24 Anson T. Y. Ho, Jie Zhou Assets in tax-deferred retirement accounts (TDA) and housing are two major components of household portfolios. In this paper, we develop a life-cycle model to examine the interaction between households’ use of TDA and their housing decisions. Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Housing JEL Code(s): C, C6, C61, D, D1, D14, D9, D91, E, E2, E21, H, H2, H24, R, R2, R21
June 13, 2013 The Market for Collateral: The Potential Impact of Financial Regulation Financial System Review - June 2013 Jorge Cruz Lopez, Royce Mendes, Harri Vikstedt Content Type(s): Publications, Financial System Review articles
The Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market Staff Working Paper 2011-28 Christiane Baumeister, Gert Peersman There has been a systematic increase in the volatility of the real price of crude oil since 1986, followed by a decline in the volatility of oil production since the early 1990s. We explore reasons for this evolution. We show that a likely explanation of this empirical fact is that both the short-run price elasticities of oil demand and of oil supply have declined considerably since the second half of the 1980s. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): E, E3, E31, E32, Q, Q4, Q43
A Non-Paradoxical Interpretation of the Gibson Paradox Staff Working Paper 1998-22 Serge Coulombe In this study, we show how, to yield the real cost of borrowing, the price level can be combined with the nominal interest rate in a monetary regime where the level of prices is trend stationary. We show that the price level then conveys intertemporal information in a way similar to nominal interest rates. We […] Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Inflation targets, Inflation: costs and benefits, Interest rates
Alternative Futures for Government of Canada Debt Management Staff Discussion Paper 2018-15 Corey Garriott, Sophie Lefebvre, Guillaume Nolin, Francisco Rivadeneyra, Adrian Walton This paper presents four blue-sky ideas for lowering the cost of the Government of Canada’s debt without increasing the debt’s risk profile. We argue that each idea would improve the secondary-market liquidity of government debt, thereby increasing the demand for government bonds and thus lowering their cost at issuance. Content Type(s): Staff research, Staff discussion papers Topic(s): Debt management, Financial markets, Market structure and pricing JEL Code(s): G, G1, G12, G2, G24, H, H6, H63
Do Oil Price Increases Cause Higher Food Prices? Staff Working Paper 2013-52 Christiane Baumeister, Lutz Kilian U.S. retail food price increases in recent years may seem large in nominal terms, but after adjusting for inflation have been quite modest even after the change in U.S. biofuel policies in 2006. In contrast, increases in the real prices of corn, soybeans, wheat and rice received by U.S. farmers have been more substantial and can be linked in part to increases in the real price of oil. Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, International topics JEL Code(s): E, E3, E31, Q, Q1, Q11, Q4, Q42, Q43
Fragility of Resale Markets for Securitized Assets and Policy of Asset Purchases Staff Working Paper 2016-46 Martin Kuncl Markets for securitized assets were characterized by high liquidity prior to the recent financial crisis and by a sudden market dry-up at the onset of the crisis. A general equilibrium model with heterogeneous investment opportunities and information frictions predicts that, in boom periods or mild recessions, the degree of adverse selection in resale markets for securitized assets is limited because of the reputation-based guarantees by asset originators. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial markets, Financial stability, Financial system regulation and policies JEL Code(s): E, E3, E32, E5, G, G0, G01, G2