Michael Ehrmann - Latest - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-29T01:54:31+00:00Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility
https://www.bankofcanada.ca/2016/07/staff-working-paper-2016-37/
Press releases announcing and explaining monetary policy decisions play a critical role in the communication strategy of central banks. Because of their market-moving potential, it is particularly important how they are drafted. Often, central banks start from the previous statement and update the earlier text with only small changes.2016-07-27T07:36:23+00:00enStarting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility2016-07-27Central bank researchFinancial marketsInterest ratesStaff Working Paper 2016-37https://www.bankofcanada.ca/wp-content/uploads/2016/07/swp2016-37.pdfStarting from a Blank Page? Semantic Similarity in Central Bank Communication and Market VolatilityMichael EhrmannJonathan TalmiJuly 2016EE4E43E5E52E58Financial Inclusion—What’s it Worth?
https://www.bankofcanada.ca/2016/07/staff-working-paper-2016-30/
The paper studies the determinants of being unbanked in the euro area and the United States as well as the effects of being unbanked on wealth accumulation. Based on household-level data from The Eurosystem Household Finance and Consumption Survey and the U.S. Survey of Consumer Finances, it first documents that there are, respectively, 3.6 per cent and 7.5 per cent of unbanked households in the two economies.2016-07-18T09:53:56+00:00enFinancial Inclusion—What’s it Worth?2016-07-18Econometric and statistical methodsFinancial servicesFinancial system regulation and policiesHousingStaff Working Paper 2016-30https://www.bankofcanada.ca/wp-content/uploads/2016/07/swp2016-30.pdfFinancial Inclusion—What’s it Worth?Miguel AmpudiaMichael EhrmannJuly 2016DD1D14GG2G21G28Exploring Differences in Household Debt Across Euro Area Countries and the United States
https://www.bankofcanada.ca/2015/05/working-paper-2015-16/
We use internationally comparable household-level data for ten euro area economies and the United States to investigate cross-country differences in debt holdings and the potential of debt overhang.2015-05-28T07:56:24+00:00enExploring Differences in Household Debt Across Euro Area Countries and the United States2015-05-28Credit and credit aggregatesEconometric and statistical methodsInternational topicsWorking Paper 2015-16https://www.bankofcanada.ca/wp-content/uploads/2015/05/wp2015-16.pdfExploring Differences in Household Debt Across Euro Area Countries and the United StatesDimitris ChristelisMichael EhrmannDimitris GeorgarakosMay 2015DD1D12EE2E21GG1G11Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis
https://www.bankofcanada.ca/2015/04/working-paper-2015-13/
The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting the heteroskedasticity of intraday changes in bond yields for identification.2015-04-20T12:53:07+00:00enEuro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis2015-04-20Asset pricingFinancial marketsInterest ratesInternational financial marketsWorking Paper 2015-13https://www.bankofcanada.ca/wp-content/uploads/2015/04/wp2015-13.pdfEuro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt CrisisMichael EhrmannMarcel FratzscherApril 2015EE5FF3GG1G15Targeting Inflation from Below - How Do Inflation Expectations Behave?
https://www.bankofcanada.ca/2014/12/working-paper-2014-52/
Inflation targeting (IT) had originally been introduced as a device to bring inflation down and stabilize it at low levels. Given the current environment of persistently weak inflation in many advanced economies, IT central banks must now bring inflation up to target.2014-12-04T08:03:39+00:00enTargeting Inflation from Below - How Do Inflation Expectations Behave?2014-12-04Inflation and pricesInflation targetsWorking Paper 2014-52https://www.bankofcanada.ca/wp-content/uploads/2014/12/wp2014-52.pdfTargeting Inflation from Below - How Do Inflation Expectations Behave?Michael EhrmannDecember 2014CC5C53EE3E31E5E52E58Consumer Attitudes and the Epidemiology of Inflation Expectations
https://www.bankofcanada.ca/2014/06/working-paper-2014-28/
This paper studies the formation of consumers’ inflation expectations using micro-level data from the Michigan Survey. It shows that beyond the well-established socio-economic determinants of inflation expectations such as gender, income or education, other characteristics such as the households’ financial situation and their purchasing attitudes also matter.2014-06-18T11:51:15+00:00enConsumer Attitudes and the Epidemiology of Inflation Expectations2014-06-18Inflation and pricesWorking Paper 2014-28https://www.bankofcanada.ca/wp-content/uploads/2014/06/wp2014-28.pdfConsumer Attitudes and the Epidemiology of Inflation ExpectationsMichael EhrmannDamjan PfajfarEmiliano SantoroJune 2014CC5C53DD8D84EE3E31Macroeconomic Experiences and Risk Taking of Euro Area Households
https://www.bankofcanada.ca/2014/03/working-paper-2014-10/
This paper studies to what extent the experiences of households shape their willingness to take financial risks. It follows the methodology of Malmendier and Nagel (2011) and applies it to a novel data set on household finances covering euro area households.2014-03-12T12:00:33+00:00enMacroeconomic Experiences and Risk Taking of Euro Area Households2014-03-12Sectoral balance sheetwp2014-10https://www.bankofcanada.ca/wp-content/uploads/2014/03/wp2014-10.pdfMiguel AmpudiaMichael EhrmannMarch 2014DD0D03D1D14D8D83GG1G11It Hurts (Stock Prices) When Your Team Is About to Lose a Soccer Match
https://www.bankofcanada.ca/2014/01/working-paper-2014-2/
The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as sporting events unfold.2014-01-23T13:56:53+00:00enIt Hurts (Stock Prices) When Your Team Is About to Lose a Soccer Match2014-01-23Asset pricingFinancial marketsWorking Paper 2014-2https://www.bankofcanada.ca/wp-content/uploads/2014/01/wp2014-2.pdfIt Hurts (Stock Prices) When Your Team Is About to Lose a Soccer MatchMichael EhrmannDavid-Jan JansenJanuary 2014GG0G02G1G12G14G15Household Risk Management and Actual Mortgage Choice in the Euro Area
https://www.bankofcanada.ca/2014/01/working-paper-2014-1/
Mortgages constitute the largest part of household debt. An essential choice when taking out a mortgage is between fixed-interest-rate mortgages (FRMs) and adjustable-interest-rate mortgages (ARMs). However, so far, no comprehensive cross‐country study has analyzed what determines household demand for mortgage types, a task that this paper takes up using new data for the euro area.2014-01-23T13:47:22+00:00enHousehold Risk Management and Actual Mortgage Choice in the Euro Area2014-01-23Credit and credit aggregatesMonetary policy transmissionWorking Paper 2014-1https://www.bankofcanada.ca/wp-content/uploads/2014/01/wp2014-1.pdfHousehold Risk Management and Actual Mortgage Choice in the Euro AreaMichael EhrmannMichael ZiegelmeyerJanuary 2014DD1D12EE4E43E5E52GG2G21