BOE: Working Paper Series (Topic)最新文献_第3页

Are EME Indicators of Vulnerability to Financial Crises Decoupling from Global Factors? 金融危机脆弱性的EME指标是否与全球因素脱钩?

BOE: Working Paper Series (Topic) Pub Date : 2011-02-21 DOI: 10.2139/ssrn.1765863

Guillermo Felices, Tomasz Wieladek

引用次数: 1

The Impact of Payment Splitting on Liquidity Requirements in RTGS 支付分割对RTGS流动性需求的影响

BOE: Working Paper Series (Topic) Pub Date : 2010-10-28 DOI: 10.2139/ssrn.1701172

Edward Denbee, B. Norman

引用次数: 11

Household Debt, House Prices and Consumption in the United Kingdom: A Quantitative Theoretical Analysis 英国家庭债务、房价和消费:一个定量理论分析

BOE: Working Paper Series (Topic) Pub Date : 2010-03-10 DOI: 10.2139/ssrn.1568770

Matt Waldron, Fabrizio Zampolli

引用次数: 13

Do Supermarket Prices Change from Week to Week? 超市价格每周都在变化吗?

BOE: Working Paper Series (Topic) Pub Date : 2009-09-25 DOI: 10.2139/ssrn.1514355

Colin Ellis

{"title":"Do Supermarket Prices Change from Week to Week?","authors":"Colin Ellis","doi":"10.2139/ssrn.1514355","DOIUrl":"https://doi.org/10.2139/ssrn.1514355","url":null,"abstract":"This paper examines the behaviour of supermarket prices in the United Kingdom, using weekly scanner data supplied by Nielsen. A number of stylised facts about pricing behaviour are uncovered. First, prices change very frequently in supermarkets, with 40% of prices changing each week, and even controlling for ‘temporary’ changes, a quarter of prices change each week. Importantly, there is evidence that focusing on monthly observations, rather than weekly ones, overstates the implied stickiness of prices. Second, the probability of price changes is not constant over time – all product categories have declining hazard functions. Third, the range of price changes is very wide, with some very large price cuts and price rises; but despite this, a significant number of price changes are very small. Fourth, there appears to be little link between the frequency and magnitude of price changes – prices that change less frequently do not tend to change by more. Fifth, the strongest correlation between price and volume changes is contemporaneous, suggesting that prices and volumes move together from week to week. And sixth, rough analysis based on simplifying assumptions suggests that consumers are fairly price sensitive: volumes change by more than prices.","PeriodicalId":395566,"journal":{"name":"BOE: Working Paper Series (Topic)","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123532804","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 27

Foreign Exchange Rate Risk in a Small Open Economy 小型开放经济中的汇率风险

BOE: Working Paper Series (Topic) Pub Date : 2009-03-20 DOI: 10.2139/ssrn.1367059

Bianca De Paoli, Jens Søndergaard

引用次数: 8

Summary Statistics of Option-Implied Probability Density Functions and Their Properties 期权隐含概率密度函数的概要统计及其性质

BOE: Working Paper Series (Topic) Pub Date : 2008-03-01 DOI: 10.2139/ssrn.1114132

Damien P.G. Lynch, Nikolaos Panigirtzoglou

引用次数: 14

Asset Pricing Implications of a New Keynesian Model 新凯恩斯模型对资产定价的影响

BOE: Working Paper Series (Topic) Pub Date : 2007-02-02 DOI: 10.2139/ssrn.1008853

Bianca De Paoli, Alasdair M. Scott, Olaf Weeken

引用次数: 75

Sterling Implications of a Us Current Account Reversal 美国经常账户逆转对英镑的影响

BOE: Working Paper Series (Topic) Pub Date : 2006-06-01 DOI: 10.2139/ssrn.932561

Morten Spange, Pawel Zabczyk

引用次数: 5

Assessing Central Counterparty Margin Coverage on Futures Contracts Using GARCH Models 利用GARCH模型评估期货合约的中央交易对手保证金覆盖率

BOE: Working Paper Series (Topic) Pub Date : 2006-01-01 DOI: 10.2139/ssrn.894877

Raymond Knott, Marco Polenghi

{"title":"Assessing Central Counterparty Margin Coverage on Futures Contracts Using GARCH Models","authors":"Raymond Knott, Marco Polenghi","doi":"10.2139/ssrn.894877","DOIUrl":"https://doi.org/10.2139/ssrn.894877","url":null,"abstract":"This study considers how the probability of exceeding central counterparty (CCP) initial margin levels can be estimated, in order to provide a timely and informative measure of risk coverage. Previous studies of CCP margining have largely focused on the unconditional distribution of returns, estimating margin coverage on a long-term average basis. The present study extends previous work by estimating conditional margin coverage using a GARCH (1,1) model, so that variations in coverage can be tracked over a much shorter time frame. The model is applied to estimating non-coverage probabilities for two heavily traded derivatives contracts, the Brent and FTSE 100 futures. To account for the well-documented fat-tailed characteristics of distributions of futures returns, several variants of the GARCH model are estimated. These assume that innovations are distributed according to either normal, Student t, extreme value or historical distributions. Backtesting is used to select the best performing distribution. During the sample period, margins are found to provide a coverage level generally in excess of 99%, over a one-day time horizon. It is noted, however, that the coverage probability implied by the model is likely to fall under more volatile market conditions; under these circumstances central counterparties will reset initial margin more frequently and call for margin intraday.","PeriodicalId":395566,"journal":{"name":"BOE: Working Paper Series (Topic)","volume":"375 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126718059","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 7

Modelling the Cross-Border Use of Collateral in Payment Systems 支付系统中抵押品的跨境使用建模

BOE: Working Paper Series (Topic) Pub Date : 2006-01-01 DOI: 10.2139/ssrn.894873

M. Manning, Matthew Willison

{"title":"Modelling the Cross-Border Use of Collateral in Payment Systems","authors":"M. Manning, Matthew Willison","doi":"10.2139/ssrn.894873","DOIUrl":"https://doi.org/10.2139/ssrn.894873","url":null,"abstract":"Banks often rely on collateralised intraday liquidity from the central bank in order to be able to effect payments in a real-time gross settlement (RTGS) payment system. If a bank is holding insufficient eligible collateral in a particular country, and therefore cannot obtain credit from the local central bank, it may have to delay payments. This constitutes a liquidity risk to the system. Furthermore, a bank operating in multiple systems may face a mismatch between the location of its collateral holdings and liquidity needs. In this paper, we examine the extent to which the liquidity risk arising from such a mismatch may be mitigated by allowing cross-border use of collateral. We develop a two-country, two-bank model in which risk-neutral banks minimise expected costs with respect to their collateral choice in each country. In our baseline model, in which each bank faces a liquidity need in only one country, we find that liquidity risk is indeed reduced by cross-border use of collateral. This result holds despite the fact that banks may find it optimal to economise on their total holdings of collateral. However, when we extend the model to allow for the possibility that a bank faces liquidity needs in both countries simultaneously, the total quantum of collateral held is important. Indeed, when a bank finds it optimal to reduce its total holdings, there may be an increase in liquidity risk in at least one country when simultaneous liquidity demands are realised.","PeriodicalId":395566,"journal":{"name":"BOE: Working Paper Series (Topic)","volume":"92 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133859411","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 16