Dynamic Factor Analysis for Measuring Money Staff Working Paper 2003-21 Paul Gilbert, Lise Pichette Technological innovations in the financial industry pose major problems for the measurement of monetary aggregates. The authors describe work on a new measure of money that has a more satisfactory means of identifying and removing the effects of financial innovations. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Monetary aggregates, Monetary and financial indicators JEL Code(s): C, C4, C43, C8, C82, E, E5, E51
The Evolution of Unobserved Skill Returns in the U.S.: A New Approach Using Panel Data Staff Working Paper 2017-61 Lance Lochner, Youngmin Park, Youngki Shin Economists disagree about the factors driving the substantial increase in residual wage inequality in the United States over the past few decades. To identify changes in the returns to unobserved skills, we make a novel assumption about the dynamics of skills (especially among older workers) rather than about the stability of skill distributions across cohorts, as is standard. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Labour markets JEL Code(s): C, C2, C23, J, J2, J24, J3, J31
Lagging Productivity Growth in the Service Sector: Mismeasurement, Mismanagement or Misinformation? Staff Working Paper 1997-6 Dinah Maclean While the service sector has been growing rapidly as a share of total output, aggregate productivity growth has generally lagged behind that of the goods sector. In this report, the author assesses a range of explanations for lagging service sector productivity growth. Content Type(s): Staff research, Staff working papers Research Topic(s): Productivity, Recent economic and financial developments JEL Code(s): L, L8, L80, O, O4, O47
Behavioral Learning Equilibria in New Keynesian Models Staff Working Paper 2022-42 Cars Hommes, Kostas Mavromatis, Tolga Özden, Mei Zhu We introduce behavioral learning equilibria (BLE) into DSGE models with boundedly rational agents using simple but optimal first order autoregressive forecasting rules. The Smets-Wouters DSGE model with BLE is estimated and fits well with inflation survey expectations. As a policy application, we show that learning requires a lower degree of interest rate smoothing. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Inflation and prices, Monetary policy JEL Code(s): C, C1, C11, D, D8, D83, D84, E, E3, E6, E62
Strategic Complementarities and Money Market Fund Liquidity Management Staff Working Paper 2017-14 Jonathan Witmer Following the financial crisis, there has been increased regulatory focus on the management of liquidity in mutual funds and, specifically, whether funds hold enough liquidity to guard against the potential for investor runs. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial markets JEL Code(s): F, F3, F30, G, G0, G01, G1, G18, G2, G20
High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market Staff Working Paper 2014-56 George Jiang, Ingrid Lo, Giorgio Valente This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i- Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and price efficiency. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): G, G1, G10, G12, G14
June 23, 2003 Business-Continuity Planning in Clearing and Settlement Systems: A Systemwide Approach Financial System Review - June 2003 Ron Allenby Content Type(s): Publications, Financial System Review articles
Fiscal and Monetary Stabilization Policy at the Zero Lower Bound: Consequences of Limited Foresight Staff Working Paper 2021-51 Michael Woodford, Yinxi Xie How do outcomes of monetary and fiscal stabilization policies at the zero lower bound change when decision makers have finite planning horizons in the economy? We explore the effects of limited foresight on policy tools and the interaction between monetary and fiscal policy. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Central bank research, Fiscal policy, Monetary policy JEL Code(s): E, E5, E52, E6, E63, E7
December 3, 2009 Improving the Resilience of Core Funding Markets Financial System Review - December 2009 Jean-Sébastien Fontaine, Jack Selody, Carolyn A. Wilkins Content Type(s): Publications, Financial System Review articles
Canada’s Monetary Policy Report: If Text Could Speak, What Would It Say? Staff Analytical Note 2019-5 André Binette, Dmitri Tchebotarev This note analyzes the evolution of the narrative in the Bank of Canada’s Monetary Policy Report (MPR). It presents descriptive statistics on the core text, including length, most frequently used words and readability level—the three Ls. Although each Governor of the Bank of Canada focuses on the macroeconomic events of the day and the mandate of inflation targeting, we observe that the language used in the MPR varies somewhat from one Governor’s tenure to the next. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Central bank research, Monetary policy JEL Code(s): E, E0, E02, E5, E52