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538
result(s)
The Neutral Interest Rate: Past, Present and Future
Staff Discussion Paper 2024-3
Matteo Cacciatore,
Bruno Feunou,
Galip Kemal Ozhan
The decline in safe real interest rates over the past three decades has reignited discussions on the neutral real interest rate, known as R*. We address the determinants and estimation methods of R*, as well as the factors influencing its decline and its future trajectory.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Interest rates,
Monetary policy,
Monetary policy framework
JEL Code(s):
E,
E4,
E43,
E5,
E52,
E6,
E62
Unintended Consequences of the Home Affordable Refinance Program
Staff Working Paper 2024-11
Phoebe Tian,
Chen Zheng
We investigate the unintended consequences of the Home Affordable Refinance Program (HARP). Originally designed to help borrowers refinance after the 2008–09 global financial crisis, HARP inadvertently strengthened the market power of incumbent lenders by creating a cost advantage for them. Despite a 2013 policy rectifying this cost advantage, we still find significant welfare losses for borrowers.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions
JEL Code(s):
G,
G2,
G21,
G5,
G51,
L,
L5,
L51
Forecasting Recessions in Canada: An Autoregressive Probit Model Approach
Staff Working Paper 2024-10
Antoine Poulin-Moore,
Kerem Tuzcuoglu
We forecast recessions in Canada using an autoregressive (AR) probit model. The results highlight the short-term predictive power of the US economic activity and suggest that financial indicators are reliable predictors of Canadian recessions. In addition, the suggested model meaningfully improves the ability to forecast Canadian recessions, relative to a variety of probit models proposed in the Canadian literature.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods
JEL Code(s):
C,
C5,
C51,
C53,
E,
E3,
E32
Monetary Policy Transmission Through Shadow and Traditional Banks
Staff Working Paper 2024-8
Amina Enkhbold
I investigate how monetary policy transmits to mortgage rates via the mortgage market concentration channel for both traditional and shadow banks in the United States from 2009 to 2019. On average, shadow and traditional banks exhibit only a slight disparity in transmitting monetary shocks to mortgage rates.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Interest rates,
Monetary policy transmission
JEL Code(s):
E,
E4,
E44,
E5,
E52,
G,
G2,
G21
Communicating Inflation Uncertainty and Household Expectations
Staff Working Paper 2023-63
Olena Kostyshyna,
Luba Petersen
We examine the value of direct communication to households about inflation and the uncertainty around inflation statistics. All types of information about inflation are effective at immediately managing inflation expectations, with information about outlooks being more effective and relevant than that about recent inflation and Bank targets.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Credibility,
Inflation and prices,
Inflation targets,
Monetary policy and uncertainty,
Monetary policy communications
JEL Code(s):
C,
C9,
C93,
D,
D8,
D84,
E,
E5,
E59,
E7
Monetary Policy and Racial Inequality in Housing Markets: A Study of 140 US Metropolitan Areas
We find that minority households see greater declines in housing returns and entries into homeownership than White households after a tightening of monetary policy. Our findings emphasize the unintended consequences of monetary policy on racial inequality in the housing market.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Housing,
Monetary policy
JEL Code(s):
E,
E4,
E40,
E5,
E52,
R,
R0,
R00
Third-Country Effects of U.S. Immigration Policy
Staff Working Paper 2023-60
Agostina Brinatti,
Xing Guo
We study how the tightening of US immigration policy affects the Canadian economy and American workers. After the reduction in H-1B visa admissions in 2017, more immigrants came to Canada, and Canadian firms expanded their employment, sales and exports. The close trade link between the United States and Canada dampens the benefit American workers derive from this policy change.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics,
Labour markets,
Recent economic and financial developments,
Trade integration
JEL Code(s):
F,
F1,
F16,
F2,
F22,
J,
J6,
J61
Climate-Related Flood Risk to Residential Lending Portfolios in Canada
Staff Discussion Paper 2023-33
Craig Johnston,
Geneviève Vallée,
Hossein Hosseini,
Brett Lindsay,
Miguel Molico,
Marie-Christine Tremblay,
Aidan Witts
We assess the potential financial risks of current and projected flooding caused by extreme weather events in Canada. We focus on the residential real estate secured lending (RESL) portfolios of Canadian financial institutions (FIs) because RESL portfolios are an important component of FIs’ balance sheets and because the assets used to secure such loans are immobile and susceptible to climate-related extreme weather events.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Central bank research,
Climate change,
Credit risk management,
Econometric and statistical methods,
Financial institutions,
Financial stability
JEL Code(s):
C,
C8,
C81,
G,
G2,
G21,
Q,
Q5,
Q54
Making It Real: Bringing Research Models into Central Bank Projections
Staff Discussion Paper 2023-29
Marc-André Gosselin,
Sharon Kozicki
Macroeconomic projections and risk analyses play an important role in guiding monetary policy decisions. Models are integral to this process. This paper discusses how the Bank of Canada brings research models and lessons learned from those models into the central bank projection environment.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Economic models,
Monetary policy
JEL Code(s):
C,
C3,
C32,
C5,
C51,
E,
E3,
E37,
E4,
E47,
E5,
E52