Resolving Failed Banks: Uncertainty, Multiple Bidding & Auction Design Staff Working Paper 2019-30 Jason Allen, Robert Clark, Brent Hickman, Eric Richert Bank resolution is costly. In the United States, the Federal Deposit Insurance Corporation (FDIC) typically resolves failing banks by auction. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial institutions JEL Code(s): C, C5, C57, D, D4, D44, G, G2, G21
An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates Staff Working Paper 2004-48 David Bolder, Adam Metzler, Grahame Johnson Zero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and economics. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Interest rates JEL Code(s): C, C0, C6, E, E4, G, G1
Information, Amplification and Financial Crisis Staff Working Paper 2014-30 Ali Kakhbod, Toni Ahnert We propose a parsimonious model of information choice in a global coordination game of regime change that is used to analyze debt crises, bank runs or currency attacks. A change in the publicly available information alters the uncertainty about the behavior of other investors. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability JEL Code(s): D, D8, D83, G, G0, G01
When Bad Things Happen to Good Banks: Contagious Bank Runs and Currency Crises Staff Working Paper 2004-18 Raphael Solomon The author develops a twin crisis model featuring multiple banks. Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial institutions JEL Code(s): E, E5, E58, F, F3, F30, G, G2, G21
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 Topic(s): Asset pricing, Financial markets, Financial stability JEL Code(s): C, C9, C90, G, G1, G10
When Lower Risk Increases Profit: Competition and Control of a Central Counterparty Staff Working Paper 2012-35 Jean-Sébastien Fontaine, Héctor Pérez Saiz, Joshua Slive We model the behavior of dealers in Over-the-Counter (OTC) derivatives markets where a small number of dealers trade with a continuum of heterogeneous clients (hedgers). Imperfect competition and (endogenous) default induce a familiar trade-off between competition and risk. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Financial stability, Financial system regulation and policies JEL Code(s): G, G1, G10, G18
Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective Staff Working Paper 2007-49 David Bolder, Shudan Liu The primary objective of this paper is to compare a variety of joint models of the term structure of interest rates and the macroeconomy. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Interest rates JEL Code(s): C, C0, C6, E, E4, G, G1
On the Wedge Between the PPI and CPI Inflation Indicators Staff Working Paper 2022-5 Shang-Jin Wei, Yinxi Xie We find that the CPI and PPI inflation indexes co-moved strongly throughout the late 20th century, but their correlation has fallen substantially since the early 2000s. We offer a structural explanation for this divergence based on the growth of global supply chains since 2000. This finding offers a unique perspective for the future design of optimal monetary policy. Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Inflation targets, International topics, Monetary policy JEL Code(s): E, E3, E31, E5, E52, E58, F, F1, F11, F12, F4, F41, F6, F62
Asymmetric Systemic Risk Staff Working Paper 2022-19 Radoslav Raykov, Consuelo Silva-Buston Bank regulation presumes risks spill over more easily from large banks to the banking system than vice versa. Interestingly, we observe this is not the case. We find that the capacity to transmit risk is larger in the system-to-bank direction, leading to an increased default risk. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G1, G10, G2, G20
Price-Level Dispersion versus Inflation-Rate Dispersion: Evidence from Three Countries Staff Working Paper 2017-3 David Fielding, Christopher Hajzler, James (Jim) C. MacGee Inflation can affect both the dispersion of commodity-specific price levels across locations (relative price variability, RPV) and the dispersion of inflation rates (relative inflation variability, RIV). Some menu-cost models and models of consumer search suggest that the RIV-inflation relationship could differ from the RPV-inflation relationship. Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices JEL Code(s): E, E3, E31, E5, E50