Alexander Ueberfeldt is Senior Research Advisor in the Strategic Leadership & Support team of the Financial Stability Department. An applied macroeconomist, Alexander’s research recently focused on the interaction of monetary policy and financial stability. In addition, he has contributed to the understanding of price-level targeting and long-run trends in macro-labour economics. He holds a PhD in Economics from the University of Minnesota.
Staff Analytical Notes
Financial system vulnerabilities increase the downside risk to future GDP growth. Macroprudential tightening significantly reduces financial stability risks associated with vulnerabilities. Monetary policy faces a trade-off between financial stability and macroeconomic risks.
Staff Working Papers
Models for macroeconomic forecasts do not usually take into account the risk of a crisis—that is, a sudden large decline in gross domestic product (GDP). However, policy-makers worry about such GDP tail risk because of its large social and economic costs.
We analyze the impact of interest rate policy on financial stability in an environment where banks can experience runs on their short-term liabilities, forcing them to sell assets at fire-sale prices.
We develop a model in which a financial intermediary’s investment in risky assets—risk taking—is excessive due to limited liability and deposit insurance and characterize the policy tools that implement efficient risk taking.
Should monetary policy lean against housing market booms? We approach this question using a small-scale, regime-switching New Keynesian model, where housing market crashes arrive with a logit probability that depends on the level of household debt.
A view advanced in the aftermath of the late-2000s financial crisis is that lower than optimal interest rates lead to excessive risk taking by financial intermediaries.
From 1980 until 2007, U.S. average hours worked increased by thirteen percent, due to a large increase in female hours. At the same time, the U.S. labor wedge, measured as the discrepancy between a representative household's marginal rate of substitution between consumption and leisure and the marginal product of labor, declined substantially.
Various papers have suggested that Price-Level targeting is a welfare improving policy relative to Inflation targeting. From a practical standpoint, this raises an important yet unanswered question: What is the optimal price index to target?
Using the Bank of Canada's main projection and policy-analysis model, ToTEM, this paper measures the welfare gains of switching from inflation targeting to price-level targeting under imperfect credibility. Following the policy change, private agents assign a probability to the event that the policy-maker will revert to inflation-targeting next period.
This paper analyzes the differences in wage ratios of university graduates to less than university graduates, the education premium, in Canada and the United States from 1980 to 2000. Both countries experienced a similar increase in the fraction of university graduates and a similar increase in skill biased technological change based on capital-embodied technological progress, but only the United States had a large increase in the education premium.
This paper measures the welfare gains of switching from inflation-targeting to price-level targeting under imperfect credibility. Vestin (2006) shows that when the monetary authority cannot commit to future policy, price-level targeting yields higher welfare than inflation targeting.
Financial System Review Article
November 28, 2017
This report examines detailed data on home mortgages to provide a better understanding of the vulnerabilities associated with the mortgage market. The proportion of low-ratio mortgages is growing, particularly in regions with strong house price growth. Moreover, these borrowers exhibit less flexibility to adverse shocks, since they have high debt levels relative to income and have taken mortgages with long amortization periods.
- "Collateralized borrowing and risk taking at low interest rates,"
(with Simona E. Cociuba and Malik Shukayev), European Economic Review, Elsevier, 2016, vol. 85(C), pages 62-83.
- "Heterogeneity and long-run changes in aggregate hours and the labor wedge,"
(with Simona E. Cociuba), Journal of Economic Dynamics and Control, Elsevier, 2015, vol. 52(C), pages 75-95.
- "Optimal monetary policy under incomplete markets and aggregate uncertainty: A long-run perspective,"
(with Oleksiy Kryvtsov and Malik Shukayev), Journal of Economic Dynamics and Control, Elsevier, vol. 35(7), pages 1045-1060, July 2011.