Inventories, Markups, and Real Rigidities in Menu Cost Models Staff Working Paper 2009-6 Oleksiy Kryvtsov, Virgiliu Midrigan Real rigidities that limit the responsiveness of real marginal cost to output are a key ingredient of sticky price models necessary to account for the dynamics of output and inflation. We argue here, in the spirit of Bils and Kahn (2000), that the behavior of marginal cost over the cycle is directly related to that of inventories, data on which is readily available. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Monetary policy transmission JEL Code(s): E, E3, E31, F, F1, F12
India and the Global Demand for Commodities: Is There an Elephant in the Room? Staff Discussion Paper 2008-18 Michael Francis, Corinne Luu After 10 years of impressive growth, India is now the fourth largest economy in the world. Yet, to date, India's impact on global commodity markets has been muted. The authors examine how India's domestic and trade policies have distorted and constrained its demand for commodities. Content Type(s): Staff research, Staff discussion papers Topic(s): Development economics, International topics JEL Code(s): F, F1, F14, O, O1, O13, O5, O53
Futures Markets, Oil Prices and the Intertemporal Approach to the Current Account Staff Working Paper 2008-48 Elif Arbatli The intertemporal approach to the current account suggests modeling movements in the current account in a forward-looking, dynamic framework. In this framework, the current account reflects consumption smoothing of agents that lend and borrow from the rest of the world in the face of transitory shocks to income. Content Type(s): Staff research, Staff working papers Topic(s): Balance of payments and components JEL Code(s): C, C2, C22, F, F2, F21, F3, F32, G, G1, G13
How Important Is Liquidity Risk for Sovereign Bond Risk Premia? Evidence from the London Stock Exchange Staff Working Paper 2008-47 Ron Alquist This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and sovereign bond risk premia. The London Stock Exchange in the late 19th century is an ideal laboratory in which to test the proposition that liquidity risk affects the price of sovereign debt. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, International topics JEL Code(s): F, F2, F21, F3, F34, F36, G, G1, G12, G15
The Role of Foreign Exchange Dealers in Providing Overnight Liquidity Staff Working Paper 2008-44 Chris D'Souza This paper illustrates that dealers in foreign exchange markets not only provide intraday liquidity, they are key participants in the provision of overnight liquidity. Dealing institutions receive compensation for holding undesired inventory balances in part from the information they receive in customer trades. Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): D, D8, D82, F, F3, F31, G, G2, G21
McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates Staff Working Paper 2008-43 Antonio Diez de los Rios McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle. Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Interest rates, Monetary policy transmission JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15
The Canadian Dollar and Commodity Prices: Has the Relationship Changed over Time? Staff Discussion Paper 2008-15 Philipp Maier, Brian DePratto The authors examine the impact of the recent run-up in energy and non-energy commodity prices on the Canadian dollar. Using the Bank of Canada's exchange rate equation, they find that the differences between the actual value of the Canadian exchange rate and the simulated values observed in 2007 are not historically large. Still, given that […] Content Type(s): Staff research, Staff discussion papers Topic(s): Exchange rates JEL Code(s): F, F3, F31
Import Price Dynamics in Major Advanced Economies and Heterogeneity in Exchange Rate Pass-Through Staff Working Paper 2008-39 Stephane Dees, Matthias Burgert, Nicolas Parent This paper aims at showing heterogeneity in the degree of exchange rate pass-through to import prices in major advanced economies at three different levels: 1) across destination markets; 2) across types of exporters (distinguishing developed economy from emerging economy exporters); and 3) over time. Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Inflation and prices JEL Code(s): E, E3, E31, F, F3, F4, F41
The Impact of Sovereign Wealth Funds on International Financial Stability Staff Discussion Paper 2008-14 Tamara Gomes Over the recent period, many emerging-market economies and commodity-exporting nations have experienced unprecedented growth and accumulated substantial amounts of foreign exchange reserves. The management of these foreign reserves has led to the emergence of important financial actors: sovereign wealth funds (SWFs). Content Type(s): Staff research, Staff discussion papers Topic(s): Financial stability, Recent economic and financial developments JEL Code(s): F, F2, F21, F3, F31, F32, G, G1, G15
Good Policies or Good Fortune: What Drives the Compression in Emerging Market Spreads? Staff Working Paper 2008-25 Philipp Maier, Garima Vasishtha Since 2002, spreads on emerging market sovereign debt have fallen to historical lows. Given the close links between sovereign spreads, capital flows to emerging markets, and economic growth, understanding the factors driving these spreads is very important. We address this issue in two stages. Content Type(s): Staff research, Staff working papers Topic(s): Development economics, Financial stability, International topics JEL Code(s): E, E4, E43, F, F3, F34, G, G1, G12, G15