Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1301
result(s)
The Role of Beliefs Entering and Exiting the Bitcoin Market
Staff Working Paper 2024-22
Daniela Balutel,
Christopher Henry,
Jorge Vásquez,
Marcel Voia
We develop a model that links investors’ decisions to enter or exit the Bitcoin market with their beliefs about the survival of Bitcoin. Empirical testing using Canadian data reveals that beliefs strongly influence both entries and exits, and this impact varies with time and ownership status.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Digital currencies and fintech,
Econometric and statistical methods
JEL Code(s):
D,
D8,
D83,
E,
E4,
E41,
O,
O3,
O33
Saving after Retirement and Preferences for Residual Wealth
Staff Working Paper 2024-21
Giulio Fella,
Martin B. Holm,
Thomas Michael Pugh
We estimate a model of households in Norway with bequest motives, health-dependent utility, and uncertain longevity and health. Our estimates imply strong bequest motives for households both with and without offspring. We interpret this as suggestive evidence that utility from residual wealth represents forces beyond an altruistic bequest motive.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Fiscal policy,
Housing,
Labour markets
JEL Code(s):
D,
D1,
D11,
D12,
D14,
E,
E2,
E21
Markups and Inflation in Oligopolistic Markets: Evidence from Wholesale Price Data
Staff Working Paper 2024-20
Patrick Alexander,
Lu Han,
Oleksiy Kryvtsov,
Ben Tomlin
We study how the interaction of market power and nominal price rigidity influences inflation dynamics. We find that pass-through declines with price stickiness when markets are concentrated, which implies a lower slope of the New Keynesian Phillips curve.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Firm dynamics,
Inflation and prices,
Market structure and pricing,
Monetary policy transmission
JEL Code(s):
D,
D4,
D43,
E,
E3,
E31,
L,
L1,
L13,
L8,
L81
Decomposing Systemic Risk: The Roles of Contagion and Common Exposures
Staff Working Paper 2024-19
Grzegorz Halaj,
Ruben Hipp
We examine systemic risks within the Canadian banking sector, decomposing them into three contribution channels: contagion, common exposures, and idiosyncratic risk. Through a structural model, we dissect how interbank relationships and market conditions contribute to systemic risk, providing new insights for financial stability.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Economic models,
Financial institutions,
Financial stability
JEL Code(s):
C,
C3,
C32,
C5,
C51,
G,
G2,
G21,
L,
L1,
L14
Financial Intermediation and Fire Sales with Liquidity Risk Pricing
Staff Working Paper 2024-18
Yuteng Cheng,
Roberto Robatto
We provide a theory of fire sales in which potential buyers are subject to liquidity shocks and frictions that limit their ability to resell assets. Viewed through the lens of the model, the liquidity requirements proposed by the U. S. Securities and Exchange Commission for these intermediaries could hurt the economy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Financial system regulation and policies
JEL Code(s):
G,
G1,
G12,
G2,
G23,
G28
Digital Payments in Firm Networks: Theory of Adoption and Quantum Algorithm
Staff Working Paper 2024-17
Sofia Priazhkina,
Samuel Palmer,
Pablo Martín-Ramiro,
Román Orús,
Samuel Mugel,
Vladimir Skavysh
We build a network formation game of firms with trade flows to study the adoption and usage of a new digital currency as an alternative to correspondent banking.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Digital currencies and fintech,
Digitalization,
Economic models,
Financial institutions,
Payment clearing and settlement systems,
Sectoral balance sheet
JEL Code(s):
C,
C6,
C7,
C71,
D,
D4,
D8,
D85,
G,
L,
L2,
L22
The Macroeconomic Implications of Coholding
Staff Working Paper 2024-16
Michael Boutros,
Andrej Mijakovic
Coholder households simultaneously carry high-cost credit card debt and low-yield cash. We study the implications of this behavior for fiscal and monetary policy, finding that coholder households have smaller consumption responses in the short run but larger responses in the long run.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Economic models,
Fiscal policy,
Monetary policy
JEL Code(s):
E,
E2,
E21,
E4,
E44,
E6,
E62,
G,
G5,
G51
Finding a Needle in a Haystack: A Machine Learning Framework for Anomaly Detection in Payment Systems
Staff Working Paper 2024-15
Ajit Desai,
Anneke Kosse,
Jacob Sharples
Our layered machine learning framework can enhance real-time transaction monitoring in high-value payment systems, which are a central piece of a country’s financial infrastructure. When tested on data from Canadian payment systems, it demonstrated potential for accurately identifying anomalous transactions. This framework could help improve cyber and operational resilience of payment systems.
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,
C4,
C45,
C5,
C55,
D,
D8,
D83,
E,
E4,
E42
Endogenous Credibility and Wage-Price Spirals
Staff Working Paper 2024-14
Olena Kostyshyna,
Tolga Özden,
Yang Zhang
We quantitively assess the risks of a wage-price spiral occurring in Canada over history. We find the risk of a wage-price spiral increases when the inflation expectations become unanchored and the credibility of central banks declines.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credibility,
Inflation and prices,
Monetary policy
JEL Code(s):
C,
C2,
C22,
E,
E0,
E00,
E4,
E47,
E7