G1 - General Financial Markets

• A Model of the EFA Liabilities

  Staff Discussion Paper 2011-11 Francisco Rivadeneyra, Oumar Dissou

  The authors describe the liabilities model of the Exchange Fund Account (EFA). The EFA is managed using an asset-liability matching framework that requires currency and duration matching of both sides of the balance sheet.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Debt management, Foreign reserves management JEL Code(s): G, G1, G12, G3, G32

• Trading Dynamics with Adverse Selection and Search: Market Freeze, Intervention and Recovery

  Staff Working Paper 2011-30 Jonathan Chiu, Thorsten Koeppl

  We study the trading dynamics in an asset market where the quality of assets is private information of the owner and finding a counterparty takes time. When trading of a financial asset ceases in equilibrium as a response to an adverse shock to asset quality, a large player can resurrect the market by buying up lemons which involves assuming financial losses.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Financial stability JEL Code(s): E, E6, G, G1

• 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 Topic(s): Econometric and statistical methods, International financial markets, International topics JEL Code(s): F, F3, F31, F32, G, G1, G15