1.
Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator insp[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
2.
This paper studies the sensitivity of Canadian producer prices to the Canada-U.S. exchange rate. Using a unique product-level price data set, we estimate and analyze the [...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
3.
Recent reform proposals call for an elimination of the constant net asset value (NAV) or “buck” in money market mutual funds to reduce the occurrence of runs. Outside the[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
4.
Can regulation solve problems arising from a natural monopoly? This paper analyzes whether “unbundling,” referring to regulations that enforce sharing of natural monopoli[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
5.
This paper measures market power in a decentralized market where contracts are determined through a search and negotiation process. The mortgage industry has many institu[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
6.
In many industries, firms usually have two choices when expanding into new markets: They can either build a new plant (greenfield entry) or they can acquire an existing i[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
7.
Existing studies show that U.S. Treasury bond price changes are mainly driven by public information shocks, as manifested in macroeconomic news announcements and events. [...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
8.
This paper empirically examines how dispersions across investors beliefs influence traders order submission decisions in the foreign exchange market. Previous research ha[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
9.
We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask s[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
10.
Consumers often purchase more than one differentiated product, assembling a portfolio, which might potentially affect substitution patterns of demand and, as a consequenc[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |