Security Transaction Taxes and Market Quality Staff Working Paper 2011-26 Anna Pomeranets, Daniel G. Weaver We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask spreads, lower volume, and increased price impact of trades. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Market structure and pricing JEL Code(s): C, C4, C43, G, G1, G10, G12
The Syndicated Loan Market: Developments in the North American Context Staff Working Paper 2003-15 Jim Armstrong The author describes the rapid development of the syndicated corporate loan market in the 1990s. He explores the historical forces that led to the development of the contemporary U.S. syndicated loan market, which is effectively a hybrid of the investment banking and commercial banking worlds. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial markets JEL Code(s): G, G1, G10, G2, G21
Timing of Banks’ Loan Loss Provisioning During the Crisis Staff Working Paper 2016-27 Leo de Haan, Maarten van Oordt We estimate a panel error correction model for loan loss provisions, using unique supervisory data on flow of funds into and out of the allowance for loan losses of 25 Dutch banks in the post-2008 crisis period. We find that these banks aim for an allowance of 49% of impaired loans. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability JEL Code(s): G, G0, G01, G2, G21, G3, G32
Good Volatility, Bad Volatility and Option Pricing Staff Working Paper 2017-52 Bruno Feunou, Cédric Okou Advances in variance analysis permit the splitting of the total quadratic variation of a jump diffusion process into upside and downside components. Recent studies establish that this decomposition enhances volatility predictions, and highlight the upside/downside variance spread as a driver of the asymmetry in stock price distributions. Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods JEL Code(s): G, G1, G12
Macroeconomic Experiences and Risk Taking of Euro Area Households Staff Working Paper 2014-10 Miguel Ampudia, Michael Ehrmann This paper studies to what extent the experiences of households shape their willingness to take financial risks. It follows the methodology of Malmendier and Nagel (2011) and applies it to a novel data set on household finances covering euro area households. Content Type(s): Staff research, Staff working papers Topic(s): Sectoral balance sheet JEL Code(s): D, D0, D03, D1, D14, D8, D83, G, G1, G11
January 10, 2013 Regearing Our Economic Growth Remarks Tiff Macklem Queen’s University - W. Edmund Clark Distinguished Lecture Kingston, Ontario Senior Deputy Governor Tiff Macklem discusses regearing the Canadian economy for sustained growth. Content Type(s): Press, Speeches and appearances, Remarks
Liquidity, Redistribution, and the Welfare Cost of Inflation Staff Working Paper 2007-39 Jonathan Chiu, Miguel Molico This paper studies the long run welfare costs of inflation in a micro-founded model with trading frictions and costly liquidity management. Content Type(s): Staff research, Staff working papers Topic(s): Inflation: costs and benefits JEL Code(s): E, E4, E40, E5, E50
The Role of Foreign Exchange Dealers in Providing Overnight Liquidity Staff Working Paper 2008-44 Chris D'Souza This paper illustrates that dealers in foreign exchange markets not only provide intraday liquidity, they are key participants in the provision of overnight liquidity. Dealing institutions receive compensation for holding undesired inventory balances in part from the information they receive in customer trades. Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): D, D8, D82, F, F3, F31, G, G2, G21
Perhaps the FOMC Did What It Said It Did: An Alternative Interpretation of the Great Inflation Staff Working Paper 2007-19 Sharon Kozicki, P. A. Tinsley This paper uses real-time briefing forecasts prepared for the Federal Open Market Committee (FOMC) to provide estimates of historical changes in the design of U.S. monetary policy and in the implied central-bank target for inflation. Empirical results support a description of policy with an effective inflation target of roughly 7 percent in the 1970s. Content Type(s): Staff research, Staff working papers Topic(s): Central bank research, Monetary aggregates, Monetary policy implementation JEL Code(s): E, E3, E5, N, N1
June 13, 2013 The Basel III Liquidity Standards: An Update Financial System Review - June 2013 Carolyn A. Wilkins, Tamara Gomes Content Type(s): Publications, Financial System Review articles