|
on Market Microstructure |
| By: | Frank Schorfheide; Dongho Song |
| Abstract: | This paper develops a vector autoregression (VAR) for macroeconomic time series which are observed at mixed frequencies – quarterly and monthly. The mixed-frequency VAR is cast in state-space form and estimated with Bayesian methods under a Minnesota-style prior. Using a real-time data set, we generate and evaluate forecasts from the mixed-frequency VAR and compare them to forecasts from a VAR that is estimated based on data time-aggregated to quarterly frequency. We document how information that becomes available within the quarter improves the forecasts in real time. |
| Keywords: | Bayesian statistical decision theory ; Forecasting ; Vector autoregression |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedmwp:701&r=mst |
| By: | Jacob Gyntelberg; Subhanij Tientip; Mico Loretan |
| Abstract: | We demonstrate empirically that not all capital flows influence exchange rates equally: Capital flows induced by foreign investors’ stock market transactions have both an economically significant and a permanent impact on exchange rates, whereas capital flows induced by foreign investors’ transactions in government bond markets do not. We relate these differences in the price impact of capital flows to differences in the amounts of private information conveyed by these flows. Our empirical findings are based on novel, daily-frequency datasets on prices and quantities of all transactions of foreign investors in the stock, bond, and onshore FX markets of Thailand. |
| Date: | 2012–08–30 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:12/213&r=mst |
| By: | Andreas Jobst |
| Abstract: | Little progress has been made so far in addressing—in a comprehensive way—the externalities caused by impact of the interconnectedness within institutions and markets on funding and market liquidity risk within financial systems. The Systemic Risk-adjusted Liquidity (SRL) model combines option pricing with market information and balance sheet data to generate a probabilistic measure of the frequency and severity of multiple entities experiencing a joint liquidity event. It links a firm’s maturity mismatch between assets and liabilities impacting the stability of its funding with those characteristics of other firms, subject to individual changes in risk profiles and common changes in market conditions. This approach can then be used (i) to quantify an individual institution’s time-varying contribution to system-wide liquidity shortfalls and (ii) to price liquidity risk within a macroprudential framework that, if used to motivate a capital charge or insurance premia, provides incentives for liquidity managers to internalize the systemic risk of their decisions. The model can also accommodate a stress testing approach for institution-specific and/or general funding shocks that generate estimates of systemic liquidity risk (and associated charges) under adverse scenarios. |
| Keywords: | Banking sector , Economic models , Liquidity , Risk management , United States , |
| Date: | 2012–08–24 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:12/209&r=mst |