Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1298
result(s)
Foreign Exchange Interventions: The Long and the Short of It
Staff Working Paper 2022-25
Patrick Alexander,
Sami Alpanda,
Serdar Kabaca
This paper studies the effects of foreign exchange (FX) interventions in a two-region model where governments issue both short- and long-term bonds. We find that the term premium channel dominates the trade balance channel in our calibrated model. As a result, the conventional beggar-thy-neighbor effects of interventions are overturned.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Exchange rate regimes,
Exchange rates,
Foreign reserves management,
International financial markets,
International topics
JEL Code(s):
F,
F3,
F31,
F33,
F4,
F41
Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification
Staff Working Paper 2022-24
Pablo Ottonello,
Wenting Song
We provide empirical evidence of effects to the aggregate economy from surprises about financial intermediaries’ net worth based on a high-frequency identification strategy. We estimate that news of a 1% decline in intermediaries’ net worth leads to a 0.2%–0.4% decrease in the market value of nonfinancial firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Business fluctuations and cycles,
Credit and credit aggregates,
Financial institutions,
Financial markets,
Financial system regulation and policies,
Monetary and financial indicators
JEL Code(s):
E,
E3,
E32,
E4,
E44,
E5,
E51,
G,
G0,
G01,
G1,
G12,
G2,
G21,
G23,
G24,
G3,
G32
Transmission of Cyber Risk Through the Canadian Wholesale Payment System
Staff Working Paper 2022-23
Anneke Kosse,
Zhentong Lu
This paper studies how the impact of a cyber attack that paralyzes one or multiple banks' ability to send payments would transmit to other banks through the Canadian wholesale payment system. Based on historical payment data, we simulate a wide range of scenarios and evaluate the total payment disruption in the system.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
C,
C4,
C49,
E,
E4,
E42,
E47,
G,
G2,
G21
Nonparametric Identification of Incomplete Information Discrete Games with Non-equilibrium Behaviors
Staff Working Paper 2022-22
Erhao Xie
This paper jointly relaxes two assumptions in the literature that estimates games. These two assumptions are the parametric restriction on the model primitives and the restriction of equilibrium behaviors. Without imposing the above two assumptions, this paper identifies the primitives of the game.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C5,
C57
Expectation-Driven Term Structure of Equity and Bond Yields
Staff Working Paper 2022-21
Ming Zeng,
Guihai Zhao
Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield spreads).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43,
G,
G0,
G00,
G1,
G12
More Than Words: Fed Chairs’ Communication During Congressional Testimonies
Staff Working Paper 2022-20
Michelle Alexopoulos,
Xinfen Han,
Oleksiy Kryvtsov,
Xu Zhang
We measure soft information contained in the congressional testimonies of U.S. Federal Reserve Chairs and analyze its effect on financial markets. Increases in the Chair’s text-, voice-, or face-emotion indices during these testimonies generally raise stock prices and lower their volatility.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Financial markets,
Monetary policy communications
JEL Code(s):
E,
E5,
E52,
E58,
E7,
E71
Asymmetric Systemic Risk
Staff Working Paper 2022-19
Radoslav Raykov,
Consuelo Silva-Buston
Bank regulation presumes risks spill over more easily from large banks to the banking system than vice versa. Interestingly, we observe this is not the case. We find that the capacity to transmit risk is larger in the system-to-bank direction, leading to an increased default risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G1,
G10,
G2,
G20
Exports and the Exchange Rate: A General Equilibrium Perspective
Staff Working Paper 2022-18
Patrick Alexander,
Abeer Reza
How do a country’s exports change when its currency depreciates? Does it matter which forces drive the exchange rate deprecation in the first place? We find that this relationship varies greatly depending on what drives exchange rate movements, and we conclude that the direct relationship between the exchange rate and exports is weak for Canada.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Balance of payments and components,
Business fluctuations and cycles,
Exchange rate regimes,
Exchange rates,
International topics,
Monetary policy transmission,
Trade integration
JEL Code(s):
F,
F3,
F31,
F32,
F33,
F4,
F41
What COVID-19 May Leave Behind: Technology-Related Job Postings in Canada
Staff Working Paper 2022-17
Alejandra Bellatin,
Gabriela Galassi
COVID-19 affects technology adoption: online job postings for technology-related occupations fall less during pandemic lockdowns and pick up faster during reopenings than postings for more traditional occupations.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Coronavirus disease (COVID-19),
Econometric and statistical methods,
Labour markets
JEL Code(s):
J,
J2,
J23,
J24,
O,
O1,
O14