Similar Search Results

A look inside the box : combining aggregate and marginal distributions to identify joint distributions

Felt, Marie-Hélène - 2018

This paper proposes a method for estimating the joint distribution of two or more variables when only their marginal distributions and the distribution of their aggregates are observed. Nonparametric identification is achieved by modelling dependence using a latent commonfactor structure....

Persistent link: https://www.econbiz.de/10011872492

Examining simple joint macroeconomic and term-structure models : a practitioner's perspective

Bolder, David Jamieson (contributor); … - 2007

The primary objective of this paper is to compare a variety of joint models of the term structure of interest rates and the macroeconomy. To this end, we consider six alternative approaches. Three of these models follow from the work of Diebold and Li (2003) with a generalization in Bolder...

Persistent link: https://www.econbiz.de/10003560584

Quantifying the economic benefits of payments modernization: the case of the large-value payment system

Arjani, Neville; Li, Fuchun; Lu, Zhentong - 2021 - Last updated: December 17, 2021

In this paper, we develop a discrete choice framework to quantify the economic benefits of payments modernization in Canada. Focusing on Canada's large-value transfer system (LVTS), we first estimate participants' preferences for liquidity cost, payment safety and the network effect by...

Persistent link: https://www.econbiz.de/10012705088

The side effects of safe asset creation

Acharya, Sushant; Dogra, Keshav - 2021 - Last updated: July 14, 2021

We present an incomplete markets model to understand the costs and benefits of increasing government debt when an increased demand for safety pushes the natural rate of interest below zero. A higher demand for safe assets causes the ZLB to bind, increasing unemployment. Higher government debt...

Persistent link: https://www.econbiz.de/10012591689

Contagion in dealer networks

Fontaine, Jean-Sébastien; Walton, Adrian - 2020 - Last updated: January 9, 2020

Dealer networks provide essential intermediation services in over-the-counter markets. We document the response of dealer networks to the arrival of new public information. We find that after public news releases, dealer networks become more complex and channel larger flows of securities between...

Persistent link: https://www.econbiz.de/10012150064

What drives episodes of settlement fails in the government of Canada bond market?

Fontaine, Jean-Sébastien; Pinnington, James; Walton, Adrian - 2017

We study settlement fails for trades in the Government of Canada bond market. We find that settlement fails do not occur independently. Using a novel and comprehensive dataset, we examine three drivers of fails. First, we find that fails are more likely following the release of surprise...

Persistent link: https://www.econbiz.de/10011777849

A stochastic volatility model with conditional skewness

Feunou, Bruno; Tédongap, Roméo - 2011

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. Our approach allows current asset returns to be asymmetric conditional on...

Persistent link: https://www.econbiz.de/10009309462

Cash in the pocket, cash in the cloud : cash holdings of Bitcoin owners

Balutel, Daniela; Henry, Christopher; Huynh, Kim P.; … - 2022 - Last updated: June 15, 2022

We estimate the effect of Bitcoin ownership on the level of cash holdings of Canadian consumers. Bitcoin ownership … average, Bitcoin owners hold 83 percent (in 2018) to 95 percent (in 2017) more cash than non-owners. Focusing on the quantiles … of cash holdings, we find that Bitcoin ownership has a highly nonlinear effect. For example, the difference in cash …

Persistent link: https://www.econbiz.de/10013256534

Eggs in one basket : security and convenience of digital currencies

Kahn, Charles M.; Rivadeneyra, Francisco; Wong, Tsz-Nga - 2021 - Last updated: January 28, 2021

Digital currencies store balances in anonymous electronic addresses. We analyze the tradeoffs between the safety and convenience of aggregating balances in addresses, electronic wallets and banks. In our model, agents balance the risk of theft of a large account with the cost to safeguarding a...

Persistent link: https://www.econbiz.de/10012421984

Payments on digital platforms : resiliency, interoperability and welfare

Chiu, Jonathan; Wong, Tsz-Nga - 2021 - Last updated: April 22, 2021

Digital platforms, such as Alibaba and Amazon, operate an online marketplace to facilitate transactions. This paper studies a platform's business model choice between accepting cash and issuing tokens, as well as the implications for welfare, resiliency, and interoperability. A cash platform...

Persistent link: https://www.econbiz.de/10012503511

1
2
3
4
5
6
7
8
9
Next
Last