Economic models

• Average is Good Enough: Average-inflation Targeting and the ELB

  Staff working paper 2020-31 Robert Amano, Stefano Gnocchi, Sylvain Leduc, Joel Wagner

  The Great Recession and current pandemic have focused attention on the constraint on nominal interest rates from the effective lower bound.

  Content Type(s): Staff research, Staff working papers JEL Code(s): E, E3, E31, E32, E5, E52 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission

• Maturity Composition and the Demand for Government Debt

  Staff working paper 2020-29 Jason Allen, Jakub Kastl, Milena Wittwer

  The main objectives of debt management are to raise stable and low-cost funding to meet the government’s financial needs and to maintain a well-functioning market for government securities.

  Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C14, D, D4, D44, E, E5, E58, G, G1, G12 Research Theme(s): Financial markets and funds management, Funds management, Market functioning, Financial system, Financial institutions and intermediation, Models and tools, Economic models

• Non-competing Data Intermediaries

  Staff working paper 2020-28 Shota Ichihashi

  I study a model of competing data intermediaries (e.g., online platforms and data brokers) that collect personal data from consumers and sell it to downstream firms.

  Content Type(s): Staff research, Staff working papers JEL Code(s): D, D4, D42, D43, D8, D80, L, L1, L12 Research Theme(s): Financial markets and funds management, Market structure, Models and tools, Economic models, Money and payments, Digital assets and fintech

• Scenario Analysis and the Economic and Financial Risks from Climate Change

  Staff discussion paper 2020-3 Erik Ens, Craig Johnston

  This paper adapts climate-economy models that have been applied in other contexts for use in climate-related scenario analysis. We consider illustrative scenarios for the global economy that could generate economic and financial risks. Our results suggest there are significant economic risks from climate change and the move to a low-carbon economy.

  Content Type(s): Staff research, Staff discussion papers Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Economic models, Structural challenges, Climate change

• Identifying Aggregate Shocks with Micro-level Heterogeneity: Financial Shocks and Investment Fluctuation

  Staff working paper 2020-17 Xing Guo

  This paper identifies aggregate financial shocks and quantifies their effects on business investment based on an estimated DSGE model with firm-level heterogeneity. On average, financial shocks contribute only 3% of the variation in U.S. public firms’ aggregate investment.

  Content Type(s): Staff research, Staff working papers JEL Code(s): E, E1, E12, E2, E22, G, G3, G31, G32 Research Theme(s): Financial system, Household and business credit, Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission, Real economy and forecasting

• 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 JEL Code(s): C, C1, C11, C3, C32, E, E3, E31, E5, E52 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission

• Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields

  Staff working paper 2020-14 Guihai Zhao

  This equilibrium model explains the trend in long-term yields and business-cycle movements in short-term yields and yield spreads. The less-frequent inverted yield curves (and less-frequent recessions) after the 1990s are due to recent secular stagnation and procyclical inflation expectations.

  Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E43, G, G0, G00, G1, G12 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission

• 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 JEL Code(s): E, E3, E32, F, F2, F21, F3, F32, G, G1, G15 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission, Monetary policy tools and implementation, Structural challenges, International trade, finance and competitiveness

• Multi-Product Pricing: Theory and Evidence from Large Retailers in Israel

  Staff working paper 2020-12 Marco Bonomo, Carlos Carvalho, Oleksiy Kryvtsov, Sigal Ribon, Rodolfo Rigato

  Standard theories of price adjustment are based on the problem of a single-product firm, and therefore they may not be well suited to analyze price dynamics in the economy with multiproduct firms.

  Content Type(s): Staff research, Staff working papers JEL Code(s): D, D2, D21, D22, E, E3, E31, E5, E52, L, L1, L11 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures

• Demand for Payment Services and Consumer Welfare: The Introduction of a Central Bank Digital Currency

  Staff working paper 2020-7 Kim Huynh, Jozsef Molnar, Oleksandr Shcherbakov, Qinghui Yu

  Using a two-stage model, we study the determinants of Canadian consumers’ choices of payment method at the point of sale. We estimate consumer preferences and adoption costs for various combinations of payment methods. We analyze how introducing a central bank digital currency would affect the market equilibrium.

  Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C51, E, E4, E42, L, L1, L14, L5, L52 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Money and payments, Digital assets and fintech, Retail payments