Firm Inattention and the Efficacy of Monetary Policy: A Text-Based Approach Staff working paper 2022-3 Wenting Song, Samuel Stern How much attention do firms pay to macroeconomic news? Through a novel text-based measure, two facts emerge. First, attention is polarized. Most firms either never or always pay attention to economic conditions. Second, it is countercyclical. During recessions, more firms pay attention, and firms pay greater attention to macroeconomic news. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D8, D83, E, E4, E44, E5, E52 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission
The Effect of Oil Price Shocks on Asset Markets: Evidence from Oil Inventory News Staff working paper 2020-8 Ron Alquist, Reinhard Ellwanger, Jianjian Jin We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D8, D83, E, E4, E44, G, G1, G14, G15, Q, Q4, Q41, Q43 Research Theme(s): Financial markets and funds management, International markets and currencies, Market functioning, Monetary policy, Inflation dynamics and pressures
An Application of Shapley Value Cost Allocation to Liquidity Savings Mechanisms Staff working paper 2019-26 Rodney J. Garratt Liquidity demands in real-time gross settlement payment systems can be enormous. To reduce the liquidity requirement, central banks around the world have implemented liquidity savings mechanisms (LSMs). Content Type(s): Staff research, Staff working papers JEL Code(s): C, C7, C72, E, E5, E58 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Payment and financial market infrastructures
High-Frequency Trading and Institutional Trading Costs Staff working paper 2018-8 Marie Chen, Corey Garriott Using data on Canadian bond futures, we examine how high-frequency traders (HFTs) interact with institutions building large positions. In contrast to recent findings, we find HFTs in the data act as small-sized liquidity suppliers, and we reject the hypothesis that they engage in back running, a predatory trading strategy. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G14, G2, G20, L, L1, L10 Research Theme(s): Financial markets and funds management, Market functioning, Market structure
A Structural Interpretation of the Recent Weakness in Business Investment Staff analytical note 2017-7 Russell Barnett, Rhys R. Mendes Since 2012, business investment growth has slowed considerably in advanced economies, averaging a little less than 2 per cent versus the 4 per cent growth rates experienced in the period leading up to crisis. Several recent studies have attributed a large part of the weakness in business investment to cyclical factors, including soft aggregate demand, and, to a lesser degree, heightened uncertainty and tighter financial conditions. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E2, E22, E3, E37 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting, Structural challenges, Demographics and labour supply
Lending Standards, Productivity and Credit Crunches Staff working paper 2019-25 Jonathan Swarbrick We propose a macroeconomic model in which adverse selection in investment drives the amplification of macroeconomic fluctuations, in line with prominent roles played by the credit crunch and collapse of the asset-backed security market in the financial crisis. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E2, E22, E3, E32, E4, E44, G, G0, G01 Research Theme(s): Financial system, Financial stability and systemic risk, Household and business credit, Models and tools, Economic models, Monetary policy, Real economy and forecasting
Modeling Fluctuations in the Global Demand for Commodities Staff working paper 2018-4 Lutz Kilian, Xiaoqing Zhou It is widely understood that the real price of globally traded commodities is determined by the forces of demand and supply. One of the main determinants of the real price of commodities is shifts in the demand for commodities associated with unexpected fluctuations in global real economic activity. Content Type(s): Staff research, Staff working papers JEL Code(s): F, F4, F44, Q, Q1, Q11, Q3, Q31, Q4, Q41, Q43 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting, Structural challenges, International trade, finance and competitiveness
Markov‐Switching Three‐Pass Regression Filter Staff working paper 2017-13 Pierre Guérin, Danilo Leiva-Leon, Massimiliano Marcellino We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C2, C22, C23, C5, C53 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Real economy and forecasting
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 JEL Code(s): C, C6, C61, D, D1, D14, D9, D91, E, E2, E21, H, H2, H24, R, R2, R21 Research Theme(s): Financial system, Household and business credit, Models and tools, Economic models, Monetary policy, Real economy and forecasting
Variance Premium, Downside Risk and Expected Stock Returns Staff working paper 2017-58 Bruno Feunou, Ricardo Lopez Aliouchkin, Roméo Tedongap, Lai Xi We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large cross-section of firms. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G12 Research Theme(s): Financial markets and funds management, Market functioning, Market structure, Financial system, Financial institutions and intermediation