Should Central Banks Worry About Nonlinearities of their Large-Scale Macroeconomic Models? Staff Working Paper 2017-21 Vadym Lepetyuk, Lilia Maliar, Serguei Maliar How wrong could policymakers be when using linearized solutions to their macroeconomic models instead of nonlinear global solutions? Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Economic models JEL Code(s): C, C6, C61, C63, C68, E, E3, E31, E5, E52
Optimal Monetary Policy According to HANK Staff Working Paper 2021-55 Sushant Acharya, Edouard Challe, Keshav Dogra We study optimal monetary policy in an analytically tractable Heterogeneous Agent New Keynesian model. In the model, the central bank has an incentive to reduce consumption inequality in addition to keeping economic activity at its efficient level and inflation stable. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Monetary policy JEL Code(s): E, E2, E21, E3, E30, E5, E52, E6, E62, E63
Identification and Estimation of Risk Aversion in First-Price Auctions with Unobserved Auction Heterogeneity Staff Working Paper 2016-23 Serafin Grundl, Yu Zhu This paper shows point identification in first-price auction models with risk aversion and unobserved auction heterogeneity by exploiting multiple bids from each auction and variation in the number of bidders. The required exclusion restriction is shown to be consistent with a large class of entry models. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C14, C5, C57, D, D4, D44, L, L0, L00
Le PIB potentiel des États-Unis et ses déterminants : la productivité de la main-d'oeuvre et le taux d'activité Staff Working Paper 1998-13 René Lalonde This study has three main objectives: first, to determine whether the good performance of the U.S. economy observed in recent years is attributable to an upsurge in potential GDP; second, to identify the variables related to aggregate supply, whose trend might explain the evolution in economic potential; finally, to observe whether, despite everything, the American […] Content Type(s): Staff research, Staff working papers
International Borrowing, Specialization and Unemployment in a Small, Open Economy Staff Working Paper 1998-2 Patrick Osakwe, Shouyong Shi Empirical evidence suggests that the unemployment rate and the export/GNP ratio are positively correlated with external debt across developing countries. This paper develops a dynamic model that provides an explanation for the aforementioned relationships. The central idea of our paper is that international borrowing affects unemployment and specialization patterns by unevenly changing the risk-sharing structure—across […] Content Type(s): Staff research, Staff working papers Research Topic(s): International topics JEL Code(s): F, F3, J, J6
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation Staff Working Paper 2012-34 Peter Christoffersen, Bruno Feunou, Kris Jacobs, Nour Meddahi Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods JEL Code(s): G, G1, G13
Trend Inflation, Wage and Price Rigidities, and Welfare Staff Working Paper 2007-42 Robert Amano, Kevin Moran, Stephen Murchison, Andrew Rennison This paper studies the steady-state costs of inflation in a general-equilibrium model with real per capita output growth and staggered nominal price and wage contracts. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation: costs and benefits JEL Code(s): E, E0, E5
Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective Staff Working Paper 2006-48 David Bolder Modelling term-structure dynamics is an important component in measuring and managing the exposure of portfolios to adverse movements in interest rates. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, Interest rates JEL Code(s): C, C0, C6, E, E4, G, G1
Financial Development Beyond the Formal Financial Market Staff Working Paper 2018-49 Lin Shao This paper studies the effects of financial development, taking into account both formal and informal financing. Using cross-country firm-level data, we document that informal financing is utilized more by rich countries than poor countries. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Firm dynamics, Productivity JEL Code(s): E, E4, E44, O, O1, O17, O4, O47
Monetary Commitment and the Level of Public Debt Staff Working Paper 2016-3 Stefano Gnocchi, Luisa Lambertini We analyze the interaction between committed monetary policy and discretionary fiscal policy in a model with public debt, endogenous government expenditures, distortive taxation and nominal rigidities. Content Type(s): Staff research, Staff working papers Research Topic(s): Credibility, Fiscal policy, Inflation targets, Monetary policy framework JEL Code(s): E, E2, E24, E3, E32, E5, E52