ElasticSearch Score: 3.6542468
The authors conduct a counterfactual simulation of the proposed rules under the new Basel Capital Accord (Basel II), including the revised treatment of expected and unexpected credit losses proposed by the Basel Committee in October 2003.
ElasticSearch Score: 3.5505052
I develop a population-based Markov chain Monte Carlo algorithm known as parallel tempering to estimate dynamic stochastic general equilibrium models. Parallel tempering approximates the posterior distribution of interest using a family of Markov chains with tempered posteriors.
ElasticSearch Score: 3.5293508
This paper summarizes the literature on the performance of various extended monetary policy tools when conventional policy rates are constrained by the effective lower bound. We highlight issues that may arise when these tools are used by central banks of small open economies.
ElasticSearch Score: 3.44665
Several studies have put forward the non-linear structure and option-like features of returns associated with hedge fund strategies.
ElasticSearch Score: 3.333171
We study a cross section of carry-trade-generated currency excess returns in terms of their exposure to global fundamental macroeconomic risk.
ElasticSearch Score: 3.3151317
We perform an analysis to determine how well the introduction of a countercyclical loanto- value (LTV) ratio can reduce household indebtedness and housing price fluctuations compared with a monetary policy rule augmented with house price inflation.
ElasticSearch Score: 3.292172
June 15, 2008
Cover page
Chinese Coin Charms
The charms on the cover are part of the National Currency Collection of the Bank of Canada.
Photography by Gord Carter.
ElasticSearch Score: 3.2767472
Despite a vast empirical literature that assesses the impact of financial integration on the economy, evidence of substantial welfare gains from consumption risk sharing remains elusive. While maintaining the usual cross-country perspective of the literature, this paper explicitly accounts for household heterogeneity and thus relaxes three restrictive assumptions that have featured prominently in the past.
ElasticSearch Score: 3.2688255
Recent research suggests that quantitative easing (QE) may affect a broad range of asset prices through a portfolio balance channel. Using novel security-level holding data of individual US mutual funds, we establish evidence that portfolio rebalancing occurred both within and across funds.
ElasticSearch Score: 3.2300124
To what extent does a central bank digital currency (CBDC) compete with bank deposits? To answer this question, we develop and estimate a structural model where each household chooses which financial institution to deposit their digital money with.