SME Failures Under Large Liquidity Shocks: An Application to the COVID-19 Crisis Staff Working Paper 2023-32 Pierre-Olivier Gourinchas, Şebnem Kalemli-Özcan, Veronika Penciakova, Nicholas Sander We study the effects of financial frictions on firm exit when firms face large liquidity shocks. We develop a simple model of firm cost-minimization that introduces a financial friction that limits firms’ borrowing capacity to smooth temporary shocks to liquidity. Content Type(s): Staff research, Staff working papers Research Topic(s): Coronavirus disease (COVID-19), Firm dynamics, International topics JEL Code(s): D, D2, D21, D22, E, E6, E65, H, H8, H81
A Portfolio-Balance Model of Inflation and Yield Curve Determination Staff Working Paper 2020-6 Antonio Diez de los Rios How does the supply of nominal government debt affect the macroeconomy? To answer this question, we propose a portfolio-balance model of the yield curve in which inflation is determined through an interest rate rule. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Debt management, Inflation and prices, Interest rates, Monetary policy JEL Code(s): E, E4, E43, E5, E52, G, G1, G12, H, H6, H63
Resolving Failed Banks: Uncertainty, Multiple Bidding & Auction Design Staff Working Paper 2019-30 Jason Allen, Robert Clark, Brent Hickman, Eric Richert Bank resolution is costly. In the United States, the Federal Deposit Insurance Corporation (FDIC) typically resolves failing banks by auction. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial institutions JEL Code(s): C, C5, C57, D, D4, D44, G, G2, G21
A Microfounded Design of Interconnectedness-Based Macroprudential Policy Staff Working Paper 2016-6 Jose Fique To address the challenges posed by global systemically important banks (G-SIBs), the Basel Committee on Banking Supervision recommended an “additional loss absorbency requirement” for these institutions. Along these lines, I develop a microfounded design of capital surcharges that target the interconnectedness component of systemic risk. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial system regulation and policies JEL Code(s): D, D8, D82, D85, G, G2, G21, G28
June 4, 2020 Economic progress report: keeping markets working Remarks (delivered virtually) Toni Gravelle Greater Sudbury Chamber of Commerce Sudbury, Ontario Deputy Governor Toni Gravelle discusses the Bank’s latest interest rate announcement and explains how efforts to keep financial markets functioning through the COVID-19 crisis will lay a solid foundation for economic recovery Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Coronavirus disease (COVID-19), Financial markets, Financial stability, Monetary policy, Recent economic and financial developments
Markups and Inflation in Oligopolistic Markets: Evidence from Wholesale Price Data Staff Working Paper 2024-20 Patrick Alexander, Lu Han, Oleksiy Kryvtsov, Ben Tomlin We study how the interaction of market power and nominal price rigidity influences inflation dynamics. We find that pass-through declines with price stickiness when markets are concentrated, which implies a lower slope of the New Keynesian Phillips curve. Content Type(s): Staff research, Staff working papers Research Topic(s): Firm dynamics, Inflation and prices, Market structure and pricing, Monetary policy transmission JEL Code(s): D, D4, D43, E, E3, E31, L, L1, L13, L8, L81
What Do Survey Data Tell Us About US Businesses? Staff Working Paper 2019-45 Anmol Bhandari, Serdar Birinci, Ellen McGrattan, Kurt See This paper examines the reliability of survey data on business incomes, valuations, and rates of return, which are key inputs for studies of wealth inequality and entrepreneurial choice. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Firm dynamics JEL Code(s): C, C8, C83, E, E2, E22, H, H2, H25
The New Benchmark for Forecasts of the Real Price of Crude Oil Staff Working Paper 2020-39 Amor Aniss Benmoussa, Reinhard Ellwanger, Stephen Snudden How can we assess the quality of a forecast? We propose a new benchmark to evaluate forecasts of temporally aggregated series and show that the real price of oil is more difficult to predict than we thought. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C1, C5, C53, Q, Q4, Q47
December 3, 2009 Improving the Resilience of Core Funding Markets Financial System Review - December 2009 Jean-Sébastien Fontaine, Jack Selody, Carolyn A. Wilkins Content Type(s): Publications, Financial System Review articles
Bond Risk Premia and Gaussian Term Structure Models Staff Working Paper 2014-13 Bruno Feunou, Jean-Sébastien Fontaine Cochrane and Piazzesi (2005) show that (i) lagged forward rates improve the predictability of annual bond returns, adding to current forward rates, and that (ii) a Markovian model for monthly forward rates cannot generate the pattern of predictability in annual returns. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Interest rates JEL Code(s): E, E4, E43, E47, G, G1, G12