Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1290
result(s)
Macroeconomic Disasters and Consumption Smoothing: International Evidence from Historical Data
Staff Working Paper 2023-4
Lorenzo Pozzi,
Barbara Sadaba
Does consumption smoothing fundamentally decrease during macroeconomic disasters? This paper uses a large historical dataset (1870–2016) for 16 industrial economies to show that during macroeconomic disasters (e.g., wars, pandemics, depressions) aggregate consumption and income are significantly less decoupled than during normal times.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Coronavirus disease (COVID-19),
Econometric and statistical methods
JEL Code(s):
C,
C2,
C23,
E,
E2,
E21
Mandatory Retention Rules and Bank Risk
Staff Working Paper 2023-3
Yuteng Cheng
This paper studies, theoretically and empirically, the unintended consequences of mandatory retention rules in securitization. It proposes a novel model showing that while retention strengthens monitoring, it may also encourage banks to shift risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit risk management,
Financial institutions,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G28
Geographical and Cultural Proximity in Retail Banking
Staff Working Paper 2023-2
Santiago Carbo-Valverde,
Héctor Pérez Saiz,
Hongyu Xiao
This paper measures how both geographical and cultural proximity of bank branches affect household credit choice and pricing. For credit products that require high levels of ex-ante screening, we find that both proximities can complement each other in reducing the cost of providing soft information, thereby increasing credit access.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial institutions,
Financial services
JEL Code(s):
D,
D8,
D82,
D83,
G,
G2,
G20,
G21,
R,
R2,
R22,
Z,
Z1,
Z10,
Z13
Simulating Intraday Transactions in the Canadian Retail Batch System
Staff Working Paper 2023-1
Nellie Zhang
This paper proposes a unique approach to simulate intraday transactions in the Canadian retail payments batch system when such transactions are unobtainable. The simulation procedure has potential for helping with data-deficient problems where only high-level aggregate information is available.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Payment clearing and settlement systems
JEL Code(s):
C,
C6,
C63,
E,
E4,
E42,
E5,
E58
Improving the Efficiency of Payments Systems Using Quantum Computing
Staff Working Paper 2022-53
Christopher McMahon,
Donald McGillivray,
Ajit Desai,
Francisco Rivadeneyra,
Jean-Paul Lam,
Thomas Lo,
Danica Marsden,
Vladimir Skavysh
We develop an algorithm and run it on a hybrid quantum annealing solver to find an ordering of payments that reduces the amount of system liquidity necessary without substantially increasing payment delays.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Digital currencies and fintech,
Financial institutions,
Financial services,
Financial system regulation and policies,
Payment clearing and settlement systems
JEL Code(s):
C,
C6,
C61,
C63,
D,
D8,
D83,
E,
E4,
E42,
E5,
E58
Are Temporary Oil Supply Shocks Real?
Staff Working Paper 2022-52
Johan Brannlund,
Geoffrey R. Dunbar,
Reinhard Ellwanger
Hurricanes disrupt oil production in the Gulf of Mexico because producers shut in oil platforms to safeguard lives and prevent damage. We examine the effects of these temporary oil supply shocks on real economic activity in the United States.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Inflation and prices
JEL Code(s):
E,
E3,
E31,
E32,
Q,
Q3,
Q31,
Q4,
Q41,
Q43
CANVAS: A Canadian Behavioral Agent-Based Model
Staff Working Paper 2022-51
Cars Hommes,
Mario He,
Sebastian Poledna,
Melissa Siqueira,
Yang Zhang
The Bank of Canada’s current suite of models faces challenges in addressing network effects that integrate household and firm-level heterogeneity and their behaviours. We develop CANVAS, a Canadian behavioural agent-based model to contribute to the Bank’s next-generation modelling effort. CANVAS improves forecasting performance and expands capacity for model-based scenario analysis.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Econometric and statistical methods,
Economic models,
Firm dynamics,
Inflation and prices
JEL Code(s):
C,
D,
D2,
D22,
D8,
D83,
E,
E1,
E17
Understanding Post-COVID Inflation Dynamics
Staff Working Paper 2022-50
Martin Harding,
Jesper Lindé,
Mathias Trabandt
We propose a macroeconomic model with a nonlinear Phillips curve that has a flat slope when inflationary pressures are subdued and steepens when inflationary pressures are elevated. Our model can generate more sizable inflation surges due to cost-push and demand shocks than a standard linearized model when inflation is high.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Central bank research,
Coronavirus disease (COVID-19),
Economic models,
Inflation and prices,
Inflation: costs and benefits,
Monetary policy,
Monetary policy implementation
JEL Code(s):
E,
E3,
E30,
E31,
E32,
E37,
E4,
E44,
E5,
E52
Monetary Policy, Credit Constraints and SME Employment
Staff Working Paper 2022-49
Julien Champagne,
Émilien Gouin-Bonenfant
We revisit an old question: how do financial constraints affect the transmission of monetary policy to the real economy? To answer this question, we propose a simple empirical strategy that combines firm-level employment and balance sheet data, identified monetary policy shocks and survey data on financing activities.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Econometric and statistical methods,
Firm dynamics,
Labour markets,
Monetary policy
JEL Code(s):
E,
E2,
E3,
E4,
E43,
E5,
E52,
G,
G3