301
result(s)
How Do Mortgage Rate Resets Affect Consumer Spending and Debt Repayment? Evidence from Canadian Consumers
Staff Working Paper 2020-18
Katya Kartashova,
Xiaoqing Zhou
We study the causal effect of mortgage rate changes on consumer spending, debt repayment, and defaults during an expansionary and a contractionary monetary policy episode in Canada. Our identification takes advantage of the fact that the interest rates of short-term fixed-rate mortgages (the dominant product in Canada’s mortgage market) have to be reset according to the prevailing market interest rates at predetermined time intervals.
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Credit and credit aggregates,
Interest rates,
Monetary policy,
Transmission of monetary policy
JEL Code(s):
D,
D1,
D12,
D14,
E,
E4,
E43,
E5,
E52,
G,
G2,
G21,
R,
R3,
R31
Endogenous Time Variation in Vector Autoregressions
Staff Working Paper 2020-16
Danilo Leiva-Leon,
Luis Uzeda
We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence — contemporaneously and with a lag — the dynamics of the intercept and autoregressive coefficients in these models.
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Econometric and statistical methods,
Inflation and prices,
Transmission of monetary policy
JEL Code(s):
C,
C1,
C11,
C3,
C32,
E,
E3,
E31,
E5,
E52
Interest Rate Uncertainty as a Policy Tool
Staff Working Paper 2020-13
Fabio Ghironi,
Galip Kemal Ozhan
We study a novel policy tool—interest rate uncertainty—that can be used to discourage inefficient capital inflows and to adjust the composition of external account between shortterm securities and foreign direct investment (FDI).
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
International financial markets,
Monetary policy framework,
Uncertainty and monetary policy
JEL Code(s):
E,
E3,
E32,
F,
F2,
F21,
F3,
F32,
G,
G1,
G15
The Effect of Mortgage Rate Resets on Debt: Evidence from TransUnion (Part I)
Staff Analytical Note 2020-2
Katya Kartashova
This note studies how decreases in mortgage rates affect the behaviour of borrowers in terms of spending on durable goods and repaying debt.
Content Type(s):
Staff Research,
Staff Analytical Notes
Topic(s):
Credit and credit aggregates,
Housing,
Interest rates,
Monetary policy,
Transmission of monetary policy
JEL Code(s):
D,
D1,
D12,
D14,
E,
E4,
E43,
E5,
E52,
G,
G2,
G21,
R,
R3,
R31
The Power of Helicopter Money Revisited: A New Keynesian Perspective
Staff Discussion Paper 2020-1
Thomas J. Carter,
Rhys R. Mendes
We analyze money financing of fiscal transfers (helicopter money) in two simple New Keynesian models: a “textbook” model in which all money is non-interest-bearing (e.g., all money is currency), and a more realistic model with interest-bearing reserves.
Content Type(s):
Staff Research,
Staff Discussion Papers
Topic(s):
Credibility,
Economic models,
Fiscal policy,
Inflation targets,
Interest rates,
Monetary policy,
Monetary policy framework,
Transmission of monetary policy,
Uncertainty and monetary policy
JEL Code(s):
E,
E1,
E12,
E4,
E41,
E43,
E5,
E51,
E52,
E58,
E6,
E61,
E63
Managing GDP Tail Risk
Staff Working Paper 2020-3
Thibaut Duprey,
Alexander Ueberfeldt
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.
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Central bank research,
Economic models,
Financial stability,
Financial system regulation and policies,
Interest rates,
Monetary policy,
Monetary policy framework
JEL Code(s):
D,
D8,
E,
E4,
E44,
E5,
E52,
E58,
G,
G0,
G01
Changing Fortunes: Long-Termism—G-Zero, Artificial Intelligence and Debt
Staff Discussion Paper 2019-12
Stephen S. Poloz
This paper discusses three long-term forces that are acting on the global economy and their implications for companies and policy-makers.
Content Type(s):
Staff Research,
Staff Discussion Papers
Topic(s):
Financial stability,
International topics,
Monetary policy,
Trade integration,
Uncertainty and monetary policy
JEL Code(s):
E,
E6,
E63,
F,
F0,
F02,
F1,
F15,
F5,
F53,
F6,
H,
O,
O1,
O11,
O3,
O33
Technological Progress and Monetary Policy: Managing the Fourth Industrial Revolution
Staff Discussion Paper 2019-11
Stephen S. Poloz
This paper looks at the implications for monetary policy of the widespread adoption of artificial intelligence and machine learning, which is sometimes called the “fourth industrial revolution.”
Content Type(s):
Staff Research,
Staff Discussion Papers
Topic(s):
Economic models,
Financial stability,
Monetary policy framework,
Uncertainty and monetary policy
JEL Code(s):
C,
C5,
E,
E3,
O,
O1,
O11,
O3,
O33
A Comprehensive Evaluation of Measures of Core Inflation in Canada: An Update
Staff Discussion Paper 2019-9
Helen Lao,
Ceciline Steyn
We provide an updated evaluation of the value of various measures of core inflation that could be used in the conduct of monetary policy. We find that the Bank of Canada’s current preferred measures of core inflation—CPI-trim, CPI-median and CPI-common—continue to outperform alternative core measures across a range of criteria.
Content Type(s):
Staff Research,
Staff Discussion Papers
Topic(s):
Inflation and prices,
Monetary policy framework
JEL Code(s):
E,
E3,
E31,
E5,
E52