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3035 Results

Does the Buck Stop Here? A Comparison of Withdrawals from Money Market Mutual Funds with Floating and Constant Share Prices

Staff Working Paper 2012-25 Jonathan Witmer
Recent reform proposals call for an elimination of the constant net asset value (NAV) or “buck” in money market mutual funds to reduce the occurrence of runs. Outside the United States, there are several countries that have money market mutual funds with and without constant NAVs.

Canadian Short-Term Interest Rates and the BAX Futures Market: Analysis of the Impact of Volatility on Hedging Activity and the Correlation of Returns between Markets

Staff Working Paper 1997-18 David Watt
This paper analyses how Canadian financial firms manage short-term interest rate risk through the use of BAX futures contracts. The results show that the most effective hedging strategy is, on average, a static strategy based on linear regression that assumes constant variances, even though dynamic models allowing for time-varying variances are found to have superior explanatory power.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Interest rates JEL Code(s): E, E4, E43

Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement

Staff Working Paper 2018-21 Elena Goldman, Xiangjin Shen
We explore properties of asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) models in the threshold GARCH (GTARCH) family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low-frequency macroeconomic volatility as well as an asymmetric response to past negative news in both autoregressive conditional heteroscedasticity (ARCH) and GARCH terms.

Tariffs and the Exchange Rate: Evidence from Twitter

Staff Working Paper 2021-36 Dmitry Matveev, Francisco Ruge-Murcia
Do tariffs affect exchange rates? We look at President Trump’s tweets during talks on the North American Free Trade Agreement and find that anticipation of higher tariffs on imports from Canada and Mexico led to an appreciation of the US dollar relative to Canadian and Mexican currency.
Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Trade integration JEL Code(s): F, F1, F13, F3, F31

Information Flows and Aggregate Persistence

Staff Working Paper 2009-11 Oleksiy Kryvtsov
Models with imperfect information that generate persistent monetary nonneutrality predominantly rely on assumptions leading to substantial heterogeneity of information across price-setters. This paper develops a quantitative general equilibrium model in which the degree of heterogeneity of information is determined endogenously.

What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?

Staff Working Paper 2014-42 Ron Alquist, Gregory Bauer, Antonio Diez de los Rios
Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures the value of storing crude oil over the borrowing period.
Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, International topics JEL Code(s): C, C5, C53, G, G1, G12, G13, Q, Q4, Q43
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