Real-Time Analysis of Oil Price Risks Using Forecast Scenarios Staff Working Paper 2012-1 Christiane Baumeister, Lutz Kilian Recently, there has been increased interest in real-time forecasts of the real price of crude oil. Standard oil price forecasts based on reduced-form regressions or based on oil futures prices do not allow consumers of forecasts to explore how much the forecast would change relative to the baseline forecast under alternative scenarios about future oil demand and oil supply conditions. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, E, E3, E32, Q, Q4, Q43
Effectiveness of Capital Controls in India: Evidence from the Offshore NDF Market Staff Working Paper 2011-29 Michael Hutchison, Gurnain Pasricha, Nirvikar Singh This paper examines the effectiveness of international capital controls in India over time by analyzing daily return differentials in the non-deliverable forward (NDF) markets using the self-exciting threshold autoregressive (SETAR) methodology. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International financial markets, International topics JEL Code(s): F, F3, F31, F32, G, G1, G15
The Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market Staff Working Paper 2011-28 Christiane Baumeister, Gert Peersman There has been a systematic increase in the volatility of the real price of crude oil since 1986, followed by a decline in the volatility of oil production since the early 1990s. We explore reasons for this evolution. We show that a likely explanation of this empirical fact is that both the short-run price elasticities of oil demand and of oil supply have declined considerably since the second half of the 1980s. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): E, E3, E31, E32, Q, Q4, Q43
Security Transaction Taxes and Market Quality Staff Working Paper 2011-26 Anna Pomeranets, Daniel G. Weaver We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask spreads, lower volume, and increased price impact of trades. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, Market structure and pricing JEL Code(s): C, C4, C43, G, G1, G10, G12
How Do You Pay? The Role of Incentives at the Point-of-Sale Staff Working Paper 2011-23 Carlos Arango, Kim Huynh, Leonard Sabetti This paper uses discrete-choice models to quantify the role of consumer socioeconomic characteristics, payment instrument attributes, and transaction features on the probability of using cash, debit card, or credit card at the point-of-sale. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Econometric and statistical methods, Financial services JEL Code(s): C, C3, C35, C8, C83, E, E4, E41
A Stochastic Volatility Model with Conditional Skewness Staff Working Paper 2011-20 Bruno Feunou, Roméo Tedongap We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods JEL Code(s): C, C1, C5, G, G1, G12
Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach Staff Working Paper 2011-19 Toni Gravelle, Fuchun Li In this paper, we define a financial institution’s contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the financial institution. The higher the contribution is, the more systemically important is the institution for the system. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): C, C1, C14, C5, C58, G, G2, G21, G3, G32
Real-Time Forecasts of the Real Price of Oil Staff Working Paper 2011-16 Christiane Baumeister, Lutz Kilian We construct a monthly real-time data set consisting of vintages for 1991.1-2010.12 that is suitable for generating forecasts of the real price of oil from a variety of models. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, E, E3, E32, Q, Q4, Q43
Forecasting the Price of Oil Staff Working Paper 2011-15 Ron Alquist, Lutz Kilian, Robert Vigfusson We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications? Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, Q, Q4, Q43, Q47
The Canadian Debt-Strategy Model: An Overview of the Principal Elements Staff Discussion Paper 2011-3 David Bolder, Simon Deeley The Canadian Debt Strategy Model helps debt managers determine their optimal financing strategy. The model’s code and documentation are available to the public. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Debt management, Econometric and statistical methods, Financial markets, Fiscal policy JEL Code(s): C, C0, G, G1, G11, G17, H, H6, H63