Volatility Risk and Economic Welfare Staff Working Paper 2017-20 Shaofeng Xu This paper examines the effects of time-varying volatility on welfare. I construct a tractable endogenous growth model with recursive preferences, stochastic volatility, and capital adjustment costs. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E2, E3
Risk, Entropy, and the Transformation of Distributions Staff Working Paper 2002-11 Mark Reesor, Don McLeish The exponential family, relative entropy, and distortion are methods of transforming probability distributions. We establish a link between those methods, focusing on the relation between relative entropy and distortion. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, Market structure and pricing JEL Code(s): C, C0, C1, D, D8, G, G0
Exporting and Investment Under Credit Constraints Staff Working Paper 2023-10 Kim Huynh, Robert Petrunia, Joel Rodrigue, Walter Steingress We examine the relationship between firms’ performance and credit constraints affecting export market entry. Using administrative Canadian firm-level data, our findings show that new exporters (a) increase their productivity, (b) raise their leverage ratio and (c) increase investment. We estimate that 48 percent of Canadian manufacturers face binding credit constraints when deciding whether to enter export markets. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Firm dynamics, International topics, Productivity JEL Code(s): F, F1, F10, F14, F3, F36, G, G2, G20, G28, G3, G32
An Introduction to Wavelets for Economists Staff Working Paper 2002-3 Christoph Schleicher Wavelets are mathematical expansions that transform data from the time domain into different layers of frequency levels. Compared to standard Fourier analysis, they have the advantage of being localized both in time and in the frequency domain, and enable the researcher to observe and analyze data at different scales. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C1
Monetary Policy Transmission with Endogenous Central Bank Responses in TANK Staff Working Paper 2025-21 Lilia Maliar, Chris Naubert We study how the transmission of monetary policy innovations is affected by the endogenous response of the central bank to macroeconomic aggregates in a two-agent New Keynesian model. We focus on how the stance of monetary policy and the fraction of savers in the economy affect transmission. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Interest rates, Monetary policy, Monetary policy transmission JEL Code(s): C, C6, C61, C62, C63, E, E3, E31, E5, E52
State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models Staff Working Paper 2018-14 Luis Uzeda Implications for signal extraction from specifying unobserved components (UC) models with correlated or orthogonal innovations have been well investigated. In contrast, the forecasting implications of specifying UC models with different state correlation structures are less well understood. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C11, C15, C5, C51, C53
On the Essentiality of E-Money Staff Working Paper 2015-43 Jonathan Chiu, Tsz-Nga Wong Recent years have witnessed the advances of e-money systems such as Bitcoin, PayPal and various forms of stored-value cards. This paper adopts a mechanism design approach to identify some essential features of different payment systems that implement and improve the constrained optimal resource allocation. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Payment clearing and settlement systems JEL Code(s): E, E4, E42, E5, E58, L, L5, L51
Portfolio Considerations in Differentiated Product Purchases: An Application to the Japanese Automobile Market Staff Working Paper 2011-27 Naoki Wakamori Consumers often purchase more than one differentiated product, assembling a portfolio, which might potentially affect substitution patterns of demand and, as a consequence, oligopolistic firms’ pricing strategies. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Market structure and pricing JEL Code(s): D, D4, L, L5, Q, Q5
Unintended Consequences of the Home Affordable Refinance Program Staff Working Paper 2024-11 Phoebe Tian, Chen Zheng We investigate the unintended consequences of the Home Affordable Refinance Program (HARP). Originally designed to help borrowers refinance after the 2008–09 global financial crisis, HARP inadvertently strengthened the market power of incumbent lenders by creating a cost advantage for them. Despite a 2013 policy rectifying this cost advantage, we still find significant welfare losses for borrowers. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions JEL Code(s): G, G2, G21, G5, G51, L, L5, L51
Adoption Costs of Financial Innovation: Evidence from Italian ATM Cards Staff Working Paper 2017-8 Kim Huynh, Philipp Schmidt-Dengler, Gregor W. Smith, Angelika Welte The discrete choice to adopt a financial innovation affects a household’s exposure to inflation and transactions costs. We model this adoption decision as being subject to an unobserved cost. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Econometric and statistical methods, Financial services JEL Code(s): C, C3, C35, D, D1, D14, E, E4, E41