An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates Staff Working Paper 2004-48 David Bolder, Adam Metzler, Grahame Johnson Zero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and economics. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, Interest rates JEL Code(s): C, C0, C6, E, E4, G, G1
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 Research 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
Identifying the Degree of Collusion Under Proportional Reduction Staff Working Paper 2017-51 Oleksandr Shcherbakov, Naoki Wakamori Proportional reduction is a common cartel practice in which cartel members reduce their output proportionately. We develop a method to quantify this reduction relative to a benchmark market equilibrium scenario and relate the reduction to the traditional conduct parameter. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C3, C36, D, D2, D22, L, L4, L41
Credit Market Frictions and Sudden Stops Staff Working Paper 2014-49 Yuko Imura Financial crises in emerging economies in the 1980s and 1990s often entailed abrupt declines in foreign capital inflows, improvements in trade balance, and large declines in output and total factor productivity (TFP). Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Financial markets, International topics JEL Code(s): E, E2, E22, E3, E32, F, F4, F41, G, G0, G01
Consumer Credit with Over-optimistic Borrowers Staff Working Paper 2020-57 Florian Exler, Igor Livshits, James (Jim) C. MacGee, Michèle Tertilt When lenders cannot directly identify behavioural and rational borrowers, they use type scoring to track the likelihood of a borrower’s type. This leads to the partial pooling of borrowers, which results in rational borrowers subsidizing borrowing costs for behavioural borrowers. This, in turn, reduces the effectiveness of regulatory policies that target mistakes by behavioural borrowers. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Credit risk management, Financial system regulation and policies JEL Code(s): E, E2, E21, E4, E49, G, G1, G18, K, K3, K35
What Fed Funds Futures Tell Us About Monetary Policy Uncertainty Staff Working Paper 2016-61 Jean-Sébastien Fontaine The uncertainty around future changes to the Federal Reserve target rate varies over time. In our results, the main driver of uncertainty is a “path” factor signaling information about future policy actions, which is filtered from federal funds futures data. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets, Interest rates JEL Code(s): E, E4, E43, E44, E47, G, G1, G12, G13
Time Use and Macroeconomic Uncertainty Staff Working Paper 2023-29 Matteo Cacciatore, Stefano Gnocchi, Daniela Hauser We estimate the effects of economic uncertainty on time use and discuss its macroeconomic implications. We develop a model to demonstrate that substitution between market and non-market work provides an additional insurance margin to households, weakening precautionary savings and labour supply and lowering aggregate demand, ultimately amplifying the contractionary effects of uncertainty. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Coronavirus disease (COVID-19), Domestic demand and components, Monetary policy and uncertainty JEL Code(s): E, E2, E24, E3, E32, E5, E52, J, J2, J22
Supply Drivers of US Inflation Since the COVID-19 Pandemic Staff Working Paper 2023-19 Serdar Kabaca, Kerem Tuzcuoglu This paper examines the contribution of several supply factors to US headline inflation since the start of the COVID-19 pandemic. We identify six supply shocks using a structural VAR model: labor supply, labor productivity, global supply chain, oil price, price mark-up and wage mark-up shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices JEL Code(s): C, C3, C32, E, E3, E31, E32
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
Variance Estimation for Survey-Weighted Data Using Bootstrap Resampling Methods: 2013 Methods-of-Payment Survey Questionnaire Technical Report No. 104 Heng Chen, Rallye Shen Sampling units for the 2013 Methods-of-Payment Survey were selected through an approximate stratified random sampling design. To compensate for non-response and non-coverage, the observations are weighted through a raking procedure. Content Type(s): Staff research, Technical reports Research Topic(s): Econometric and statistical methods JEL Code(s): C, C8, C83