News-Driven International Credit Cycles Staff Working Paper 2021-66 Galip Kemal Ozhan This paper examines the implications of positive news about future asset values that turn out to be incorrect at a later date in an open economy model with banking. The model captures the patterns of bank credit and current account dynamics in Spain between 2000 and 2010. The model finds that the use of unconventional policies leads to a milder bust. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Economic models, Financial stability, Recent economic and financial developments, Sectoral balance sheet JEL Code(s): E, E4, E44, F, F3, F32, F4, F41, G, G1, G15, G2, G21
December 23, 2002 Financial System Review - December 2002 The financial system, which consists of financial institutions, financial markets, and clearing and settlement systems, lays an important role in a nation’s economy. Sound and efficientfinancial systems can make a significant contribution to economic growth. Content Type(s): Publications, Financial Stability Report
Risk Amplification Macro Model (RAMM) Technical Report No. 123 Kerem Tuzcuoglu The Risk Amplification Macro Model (RAMM) is a new nonlinear two-country dynamic model that captures rare but severe adverse shocks. The RAMM can be used to assess the financial stability implications of both domestic and foreign-originated risk scenarios. Content Type(s): Staff research, Technical reports Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial stability, Monetary policy transmission JEL Code(s): C, C5, C51, E, E3, E37, E4, E44, F, F4, F44
June 24, 2007 Price Formation and Liquidity Provision in the Markets for European and Canadian Government Securities Financial System Review - June 2007 Chris D'Souza, Ingrid Lo, Stephen Sapp Content Type(s): Publications, Financial System Review articles
Vertical Bargaining and Obfuscation Staff Working Paper 2022-13 Edona Reshidi Is obscuring prices always bad for consumers? The answer depends on the market structure and on the negotiating power between manufacturers and retailers. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Market structure and pricing JEL Code(s): C, C7, C70, L, L1, L13, L4, L42
The Propagation of Industrial Business Cycles Staff Working Paper 2014-48 Maximo Camacho, Danilo Leiva-Leon This paper examines the business cycle linkages that propagate industry-specific business cycle shocks throughout the economy in a way that (sometimes) generates aggregated cycles. The transmission of sectoral business cycles is modelled through a multivariate Markov-switching model, which is estimated by Gibbs sampling. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Domestic demand and components, Econometric and statistical methods JEL Code(s): C, C2, C22, E, E2, E27, E3, E32
Optimal Capital Regulation Staff Working Paper 2017-6 Stéphane Moyen, Josef Schroth We study constrained-efficient bank capital regulation in a model with market-imposed equity requirements. Banks hold equity buffers to insure against sudden loss of access to funding. However, in the model, banks choose to only partially self-insure because equity is privately costly. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): E, E1, E13, E3, E32, E4, E44
Capital Flows and Macroprudential Policies - A Multilateral Assessment of Effectiveness and Externalities Staff Working Paper 2014-31 John Beirne, Christian Friedrich This paper assesses the effectiveness and associated externalities that arise when macroprudential policies (MPPs) are used to manage international capital flows. Using a sample of up to 139 countries, we examine the impact of eight different MPP measures on cross-border bank flows over the period 1999-2009. Content Type(s): Staff research, Staff working papers Research Topic(s): Balance of payments and components, Financial markets, International topics JEL Code(s): F, F3, F5, G, G0, G01, G1, G11
Retail Order Flow Segmentation Staff Working Paper 2016-20 Corey Garriott, Adrian Walton In August 2012, the New York Stock Exchange launched the Retail Liquidity Program (RLP), a trading facility that enables participating organizations to quote dark limit orders executable only by retail traders. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial system regulation and policies, Market structure and pricing JEL Code(s): G, G1, G14, G2, G20, L, L1, L10
Interest Rate Uncertainty as a Policy Tool Staff Working Paper 2020-13 Fabio Ghironi, Galip Kemal Ozhan We study a novel policy tool—interest rate uncertainty—that can be used to discourage inefficient capital inflows and to adjust the composition of external account between shortterm securities and foreign direct investment (FDI). Content Type(s): Staff research, Staff working papers Research Topic(s): International financial markets, Monetary policy and uncertainty, Monetary policy framework JEL Code(s): E, E3, E32, F, F2, F21, F3, F32, G, G1, G15