Staff working papers

• Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics

  Staff Working Paper 2013-12 Jianjian Jin

  This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of risk-neutral and realized volatilities.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Economic models JEL Code(s): G, G1, G12, G17

• Forecasting with Many Models: Model Confidence Sets and Forecast Combination

  Staff Working Paper 2013-11 Jon D. Samuels, Rodrigo Sekkel

  A longstanding finding in the forecasting literature is that averaging forecasts from different models often improves upon forecasts based on a single model, with equal weight averaging working particularly well. This paper analyzes the effects of trimming the set of models prior to averaging.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C53

• A New Linear Estimator for Gaussian Dynamic Term Structure Models

  Staff Working Paper 2013-10 Antonio Diez de los Rios

  This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C13, E, E4, E43, G, G1, G12

• An Equilibrium Analysis of the Rise in House Prices and Mortgage Debt

  Staff Working Paper 2013-9 Shaofeng Xu

  This paper examines the contributions of population aging, mortgage innovation and historically low interest rates to the sharp rise in U.S. house prices and mortgage debt between 1994 and 2005.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Credit and credit aggregates, Economic models JEL Code(s): E, E2, E21, E4, E44, G, G1, G11, R, R2, R21

• Countercyclical Bank Capital Requirement and Optimized Monetary Policy Rules

  Staff Working Paper 2013-8 Carlos De Resende, Ali Dib, René Lalonde, Nikita Perevalov

  Using BoC-GEM-Fin, a large-scale DSGE model with real, nominal and financial frictions featuring a banking sector, we explore the macroeconomic implications of various types of countercyclical bank capital regulations. Results suggest that countercyclical capital requirements have a significant stabilizing effect on key macroeconomic variables, but mostly after financial shocks.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial institutions, Financial stability, International topics JEL Code(s): E, E3, E32, E4, E44, E5, G, G1, G2