Canada's Large Value Transfer System (LVTS) is in the process of being replaced by a real-time gross settlement (RTGS) system. A pure RTGS system typically requires participants to hold large amounts of intraday liquidity in order to settle their payment obligations. Implementing one or more...

This paper studies cyclical patterns in risk indicators based on TARGET2 transaction data. These indicators provide information on network properties, operational aspects and links to ancillary systems. We compare the performance of two different ARIMA dummy models to the TBATS state space...

This paper identifies quantitative risks in financial market infrastructures (FMIs), which are inspired by the Principles for Financial Market Infrastructures. We convert transaction level data into indicators that provide information on operational risk, changes in the network structure and...

This paper studies the detection of outliers in risk indicators based on large value payment system transaction data. The ten risk indicators are daily time series measuring various risks in the large value payment system, such as operational risk, concentration risk and liquidity flows related...

Incorporating arbitrage-free term-structure dynamics into a semi-structural macro-model, we jointly estimate the real equilibrium interest rate (r), trend inflation, and term premia for the United States and the euro area, using a Bayesian approach. The natural real rate and trend inflation are...

A home is typically thought of as a bundle of land and structure. Land is supplied inelastically and is non-reproducible. Land values are therefore affected by a number of demand factors. Conceptually, structures are easily produced, and thus are supplied elastically. Under elastic supply, it is...

The average time on market (TOM) of sold properties is frequently used by practitioners and policymakers as a market liquidity indicator. This figure might be misleading as the average TOM only considers properties that have been sold. Furthermore, traded properties are heterogeneous. Since...

The distinction of risk vs uncertainty as made by Knight has important implications for policy selection. Assuming the former when the latter is relevant can lead to wrong decisions. With the aid of a stylized model that describes a bank's decision on how to allocate loans, we discuss decision...

A common definition of liquidity in real estate investment is the ability to sell property assetsquickly at full value, as reflected by transaction volume. The present paper makes methodologicaland conceptual contributions in the study and understanding of liquidity. First, we extendthe Fisher...

We analyze the empirical relevance of heterogeneous expectations at the effective lower bound (ELB) in the canonical New Keynesian model. Agents are allowed switch between an anchored Rational Expectations (RE) rule and an adaptive learning rule, where the latter may generate a de-anchoring of...