FSRC - Financial System Research Center

• The Role of Card Acceptance in the Transaction Demand for Money

  Staff Working Paper 2014-44 Kim Huynh, Philipp Schmidt-Dengler, Helmut Stix

  The use of payment cards, either debit or credit, is becoming more and more widespread in developed economies. Nevertheless, the use of cash remains significant.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods, Financial services JEL Code(s): C, C3, C35, C8, C83, E, E4, E41

• What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?

  Staff Working Paper 2014-42 Ron Alquist, Gregory Bauer, Antonio Diez de los Rios

  Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures the value of storing crude oil over the borrowing period.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, International topics JEL Code(s): C, C5, C53, G, G1, G12, G13, Q, Q4, Q43

• Improving Public Equity Markets? No Pain, No Gain

  Staff Working Paper 2014-41 Katya Kartashova

  This paper quantifies the effects of improving public equity markets on macroeconomic aggregates and welfare. I use an open-economy extension of Angeletos (2007), where entrepreneurs face idiosyncratic productivity risk in privately held firms.

  Content Type(s): Staff research, Staff working papers Topic(s): Development economics, Financial institutions, Financial markets JEL Code(s): E, E4, E44, G, G1, G11, O, O1, O11, O16

• Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?

  Staff Working Paper 2014-40 Rodrigo Sekkel

  This paper conducts a real-time, out-of-sample analysis of the forecasting power of various aggregate financial intermediaries’ balance sheets to a wide range of economic activity measures in the United States.

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

• Predicting Financial Stress Events: A Signal Extraction Approach

  Staff Working Paper 2014-37 Ian Christensen, Fuchun Li

  The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of time. To achieve this goal, the signal extraction approach proposed by Kaminsky, Lizondo and Reinhart (1998) is used to monitor the evolution of a number of economic indicators that tend to exhibit an unusual behaviour in the periods preceding a financial stress event.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial stability JEL Code(s): C, C1, C14, C4, E, E3, E37, E4, E47, F, F3, F36, F37, G, G0, G01, G1, G17