International Business Cycles and Financial Frictions Staff Working Paper 2012-19 Wen Yao This paper builds a two-country DSGE model to study the quantitative impact of financial frictions on business cycle co-movements when investors have foreign asset exposure. The investor in each country holds capital in both countries and faces a leverage constraint on her debt. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, International financial markets, International topics JEL Code(s): E, E3, E30, F, F4, F42, F44
Financial Constraints and Investment: Assessing the Impact of a World Bank Loan Program on Small and Medium-Sized Enterprises in Sri Lanka Staff Working Paper 2003-37 Varouj Aivazian, Dipak Mazumdar, Eric Santor The authors examine the investment behaviour of a sample of small, credit-constrained firms in Sri Lanka. Using a unique panel-data set, they analyze and compare the activities of two groups of small firms distinguished by their different access to financing; one group consists of firms with heavily subsidized loans from the World Bank, and the other consists of firms without such subsidies. Content Type(s): Staff research, Staff working papers Research Topic(s): Development economics JEL Code(s): G, G0, G00, O, O1, O16
Modelling Financial Instability: A Survey of the Literature Staff Working Paper 2002-12 Alexandra Lai The magnitude and frequency of recent financial crises underscore the importance of understanding financial instability for the purpose of crisis prevention and crisis management. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial markets, Financial services JEL Code(s): G, G2, G20, G21, G28
Uninsurable Investment Risks Staff Working Paper 2004-29 Césaire Meh, Vincenzo Quadrini The authors study a general-equilibrium economy in which agents have the ability to invest in a risky technology. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial institutions, Financial markets JEL Code(s): D, D3, D31, E, E2, E21, G, G0
Interest on Cash, Fundamental Value Process and Bubble Formation on Experimental Asset Markets Staff Working Paper 2014-18 Giovanni Giusti, Janet Hua Jiang, Yiping Xu We study the formation of price bubbles on experimental asset markets where cash earns interest. There are two main conclusions. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets, Financial stability JEL Code(s): C, C9, C90, G, G1, G10
Managerial Compensation Duration and Stock Price Manipulation Staff Working Paper 2015-25 Josef Schroth I build a model of optimal managerial compensation where managers each have a privately observed propensity to manipulate short-term stock prices. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Labour markets, Recent economic and financial developments JEL Code(s): D, D8, D82, G, G1, G14, G3, G30, M, M1, M12
Towards a More Complete Debt Strategy Simulation Framework Staff Working Paper 2002-13 David Bolder An effective technique governments use to evaluate the desirability of different financing strategies involves stochastic simulation. This approach requires the postulation of the future dynamics of key macroeconomic variables and the use of those variables in the construction of a debt charge distribution for each individual financing strategy. Content Type(s): Staff research, Staff working papers Research Topic(s): Debt management, Econometric and statistical methods, Interest rates JEL Code(s): C, C0, C5, G, G0
On the Importance of Sales for Aggregate Price Flexibility Staff Working Paper 2014-45 Oleksiy Kryvtsov, Nicolas Vincent Macroeconomists have traditionally ignored the behavior of temporary price markdowns (“sales”) by retailers. Although sales are common in the micro price data, they are assumed to be unrelated to macroeconomic phenomena and generally filtered out. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Inflation and prices, Market structure and pricing, Monetary policy transmission JEL Code(s): E, E3, E31, E32, E5, E52, L, L1, L11, L2, L25, L8, L81, M, M3, M31
Endogenously Segmented Asset Market in an Inventory Theoretic Model of Money Demand Staff Working Paper 2007-46 Jonathan Chiu This paper studies the effects of monetary policy in an inventory theoretic model of money demand. In this model, agents keep inventories of money, despite the fact that money is dominated in rate of return by interest bearing assets, because they must pay a fixed cost to transfer funds between the asset market and the goods market. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework, Monetary policy transmission JEL Code(s): E, E3, E31, E4, E41, E5, E50
Estimating Large-Dimensional Connectedness Tables: The Great Moderation Through the Lens of Sectoral Spillovers Staff Working Paper 2021-37 Felix Brunner, Ruben Hipp Understanding the size of sectoral links is crucial to predicting the impact of a crisis on the whole economy. We show that statistical learning techniques substantially outperform traditional estimation techniques when measuring large networks of these links. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C52, E, E2, E23, E27