Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1295
result(s)
Behavioral Learning Equilibria in New Keynesian Models
Staff Working Paper 2022-42
Cars Hommes,
Kostas Mavromatis,
Tolga Özden,
Mei Zhu
We introduce behavioral learning equilibria (BLE) into DSGE models with boundedly rational agents using simple but optimal first order autoregressive forecasting rules. The Smets-Wouters DSGE model with BLE is estimated and fits well with inflation survey expectations. As a policy application, we show that learning requires a lower degree of interest rate smoothing.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
Inflation and prices,
Monetary policy
JEL Code(s):
C,
C1,
C11,
D,
D8,
D83,
D84,
E,
E3,
E6,
E62
The Central Bank’s Dilemma: Look Through Supply Shocks or Control Inflation Expectations?
Staff Working Paper 2022-41
Paul Beaudry,
Thomas J. Carter,
Amartya Lahiri
When countries are hit by supply shocks, central banks often face the dilemma of either looking through such shocks or reacting to them to ensure that inflation expectations remain anchored. In this paper, we propose a tractable framework to capture this dilemma and then explore optimal policy under a range of assumptions about how expectations are formed.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Economic models,
Inflation and prices,
Monetary policy,
Monetary policy and uncertainty,
Monetary policy communications
JEL Code(s):
E,
E1,
E12,
E2,
E24,
E3,
E31,
E5,
E52,
E58,
E6,
E65
Windfall Income Shocks with Finite Planning Horizons
Staff Working Paper 2022-40
Michael Boutros
How do households respond when they receive unanticipated income, such as an inheritance or government stimulus cheque? This paper studies these windfall income shocks through a model of household behaviour that generates a realistic consumption response for households along the entire distribution of wealth.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Domestic demand and components,
Economic models,
Fiscal policy
JEL Code(s):
D,
D9,
D91,
E,
E2,
E21,
G,
G5,
G51
House Price Responses to Monetary Policy Surprises: Evidence from the U.S. Listings Data
Staff Working Paper 2022-39
Denis Gorea,
Oleksiy Kryvtsov,
Marianna Kudlyak
Existing literature documents that house prices respond to monetary policy surprises with a significant delay, taking years to reach their peak response. We present new evidence of a much faster response.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Housing,
Inflation and prices,
Interest rates,
Monetary policy transmission
JEL Code(s):
E,
E5,
E52,
R,
R2,
R21,
R3,
R31
Sectoral Uncertainty
Staff Working Paper 2022-38
Efrem Castelnuovo,
Kerem Tuzcuoglu,
Luis Uzeda
We propose a new empirical framework that jointly decomposes the conditional variance of economic time series into a common and a sector-specific uncertainty component. We apply our framework to a disaggregated industrial production series for the US economy. We identify unexpected changes in durable goods uncertainty as drivers of downturns, while unexpected hikes in non-durable goods uncertainty are expansionary.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Monetary policy and uncertainty
JEL Code(s):
C,
C5,
C51,
C55,
E,
E3,
E32,
E4,
E44
Risk and State-Dependent Financial Frictions
Staff Working Paper 2022-37
Martin Harding,
Rafael Wouters
Using a nonlinear New Keynesian model with a financial accelerator, we show that financial frictions generate large state-dependent amplification effects. Shocks propagate more strongly in periods of financial stress. We propose an endogenous regime-switching DSGE framework for efficient estimation and improved model fit.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Credit and credit aggregates,
Financial stability,
Monetary policy
JEL Code(s):
E,
E5,
E52,
E58
Weather the Storms? Hurricanes, Technology and Oil Production
Staff Working Paper 2022-36
Johan Brannlund,
Geoffrey R. Dunbar,
Reinhard Ellwanger,
Matthew Krutkiewicz
Do technological improvements mitigate the potential damages from extreme weather events? We show that hurricanes lower offshore oil production in the Gulf of Mexico and that stronger storms have larger impacts. Regulations enacted in 1980 that required improved offshore construction standards only modestly mitigated the production losses.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Climate change,
Potential output
JEL Code(s):
C,
C2,
C22,
C23,
Q,
Q4,
Q40,
Q48,
Q5,
Q54
PayTech and the D(ata) N(etwork) A(ctivities) of BigTech Platforms
Staff Working Paper 2022-35
Jonathan Chiu,
Thorsten Koeppl
Why do BigTech platforms introduce payment services? We explore this using a model in which a monopoly platform faces a trade-off between the costs associated with privacy concerns and the revenue from data services. We then analyze the feedback effects between data and payments.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Digital currencies and fintech,
Payment clearing and settlement systems
JEL Code(s):
D,
D8,
E,
E4,
E42,
L,
L1
How Do People View Price and Wage Inflation?
Staff Working Paper 2022-34
Monica Jain,
Olena Kostyshyna,
Xu Zhang
This paper examines household-level data from the Canadian Survey of Consumer Expectations (CSCE) to understand households’ expectations about price and wage inflation, how those expectations link to views about labour market conditions and the subsequent impact on households’ outlook for real spending growth.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Monetary policy communications
JEL Code(s):
C,
C8,
C83,
D,
D8,
D84,
E,
E2,
E21,
E24,
E3,
E31