Shaofeng Xu

Senior Economist

Shaofeng Xu is a Senior Economist in the Monetary Policy and Financial Studies Division of the Canadian Economic Analysis Department. His research interests include macroeconomics, financial economics, and housing economics. Shaofeng holds a Ph.D. in Economics from the University of California at Davis. He has an M.S. in Mathematics and a B.S. in Statistics.

Contact

Senior Economist
Canadian Economic Analysis
Monetary Policy and Financial Studies Division

Bank of Canada
234 Wellington Street
Ottawa, ON, K1A 0G9

Latest

The Role of Corporate Saving over the Business Cycle: Shock Absorber or Amplifier?

Staff Working Paper 2018-59 Xiaodan Gao, Shaofeng Xu
We document countercyclical corporate saving behavior with the degree of countercyclicality varying nonmonotonically with firm size. We then develop a dynamic stochastic general equilibrium model with heterogeneous firms to explain the pattern and study its implications for business cycles.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E2, E20, E22, E3, E32, G, G3, G31, G32

Volatility Risk and Economic Welfare

Staff Working Paper 2017-20 Shaofeng Xu
This paper examines the effects of time-varying volatility on welfare. I construct a tractable endogenous growth model with recursive preferences, stochastic volatility, and capital adjustment costs.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E2, E3

Interpreting Volatility Shocks as Preference Shocks

Staff Working Paper 2016-45 Shaofeng Xu
This paper examines the relationship between volatility shocks and preference shocks in an analytically tractable endogenous growth model with recursive preferences and stochastic volatility. I show that there exists an explicit mapping between volatility shocks and preference shocks, and a rise in volatility generates the same impulse responses of macroeconomic aggregates as a negative preference shock.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E2, E3

On the Welfare Cost of Rare Housing Disasters

Staff Working Paper 2015-26 Shaofeng Xu
This paper examines the welfare cost of rare housing disasters characterized by large drops in house prices. I construct an overlapping generations general equilibrium model with recursive preferences and housing disaster shocks.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Economic models, Housing JEL Code(s): E, E2, E21, E4, E44, G, G1, G11, R, R2, R21

An Equilibrium Analysis of the Rise in House Prices and Mortgage Debt

Staff Working Paper 2013-9 Shaofeng Xu
This paper examines the contributions of population aging, mortgage innovation and historically low interest rates to the sharp rise in U.S. house prices and mortgage debt between 1994 and 2005.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Credit and credit aggregates, Economic models JEL Code(s): E, E2, E21, E4, E44, G, G1, G11, R, R2, R21

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Research Interests

  • Macroeconomics
  • Financial Economics
  • Housing Economics

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Shaofeng Xu

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