Decomposing Large Banks’ Systemic Trading Losses Staff working paper 2024-6 Radoslav Raykov Do banks realize simultaneous trading losses because they invest in the same assets, or because different assets are subject to the same macro shocks? This paper decomposes the comovements of bank trading losses into two orthogonal channels: portfolio overlap and common shocks. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G10, G11, G2, G20 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial institutions and intermediation, Financial stability and systemic risk
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
A New Approach to Estimating Portfolio-Balance Models of the Yield Curve Staff working paper 2026-33 Antonio Diez de los Rios Portfolio-balance models of the yield curve are notoriously hard to estimate. This paper offers a simple, two-step estimation approach that can be implemented with standard term structure estimation methods. In our application to U.S. Treasury data, our method recovers economically interpretable drivers of the yield curve. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E43, E44, G, G1, G12, H, H6, H63 Research Theme(s): Financial markets and funds management, Funds management, Models and tools, Econometric, statistical and computational methods
Low Response Rate from Merchants? Sample and Ask Consumers! An Application of Indirect Sampling Under a Consumer-Merchant Bipartite Network Technical report No. 126 Heng Chen, Joy Wu Under the consumer-merchant bipartite network, we apply the indirect sampling approach to estimate merchant payment acceptance through a consumer payment diary. Content Type(s): Staff research, Technical reports JEL Code(s): C, C8, C80, C83, E, E5 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Retail payments
Seeing the Economy through Colored Glasses: Partisanship in Macro and (not in) Micro Expectations Staff working paper 2026-24 Adrian Monninger, Kyung Woong Koh, Tao Wang Households report distinctive views of the macroeconomy along partisan lines, while their expectations about personal finances do not follow the same pattern. Economic inequality remains the major contributor to polarized views of the macroeconomy. Partisan politics are simply a magnifier. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E2, E21, E3, E30, E7, E71 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Monetary policy framework and transmission, Real economy and forecasting
Forward Guidance and Expectation Formation: A Narrative Approach Staff working paper 2020-40 Christopher S. Sutherland How exactly does forward guidance influence interest rate expectations? Content Type(s): Staff research, Staff working papers JEL Code(s): D, D8, D83, D84, E, E3, E37, E5, E52, E58 Research Theme(s): Monetary policy, Monetary policy framework and transmission, Monetary policy tools and implementation
The Countercyclical Capital Buffer and International Bank Lending: Evidence from Canada Staff working paper 2021-61 David Xiao Chen, Christian Friedrich We examine the impact of the CCyB on foreign lending activities of Canadian banks. We show that the announcement of a tightening in another country’s CCyB leads to a decrease in the growth rate of cross-border lending between Canadian banks and borrowers in that other country. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E3, E32, F, F2, F21, F3, F32, G, G2, G21, G28 Research Theme(s): Financial markets and funds management, International markets and currencies, Financial system, Financial stability and systemic risk, Financial system regulation and oversight
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 JEL Code(s): D, D8, E, E4, E42, L, L1 Research Theme(s): Financial markets and funds management, Market functioning, Money and payments, Digital assets and fintech, Payment and financial market infrastructures, Retail payments
Optimal Monetary Policy According to HANK Staff working paper 2021-55 Sushant Acharya, Edouard Challe, Keshav Dogra We study optimal monetary policy in an analytically tractable Heterogeneous Agent New Keynesian model. In the model, the central bank has an incentive to reduce consumption inequality in addition to keeping economic activity at its efficient level and inflation stable. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E2, E21, E3, E30, E5, E52, E6, E62, E63 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission, Monetary policy tools and implementation
Monetary Payoff and Utility Function in Adaptive Learning Models Staff working paper 2019-50 Erhao Xie When players repeatedly face an identical or similar game (e.g., coordination game, technology adoption game, or product choice game), they may learn through experience to perform better in the future. This learning behaviour has important economic implications. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C57, C7, C72, C9, C92 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models