What do high-frequency expenditure network data reveal about spending and inflation during COVID‑19? Staff Analytical Note 2020-20 Kim Huynh, Helen Lao, Patrick Sabourin, Angelika Welte The official consumer price index (CPI) inflation measure, based on a fixed basket set before the COVID 19 pandemic, may not fully reflect what consumers are currently experiencing. We partnered with Statistics Canada to construct a more representative index for the pandemic with weights based on real-time transaction and survey data. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Inflation and prices, Payment clearing and settlement systems JEL Code(s): D, D1, D12, E, E3, E31, E4, E42, E5, E52
The Role of Credit in International Business Cycles Staff Working Paper 2012-36 TengTeng Xu This paper examines the role of bank credit in modeling and forecasting business cycle fluctuations, and investigates the international transmission of US credit shocks, using a global vector autoregressive (GVAR) framework and associated country-specific error correction models. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Econometric and statistical methods, International financial markets JEL Code(s): C, C3, C32, E, E3, E32, E4, E44, G, G2, G21
Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields Staff Working Paper 2012-37 Bruno Feunou, Jean-Sébastien Fontaine We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk premiums when real bonds or inflation swaps are unavailable or unreliable due to their relative illiquidity. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods, Inflation and prices, Interest rates JEL Code(s): E, E4, E43, E47, G, G1, G12
More Than Words: Fed Chairs’ Communication During Congressional Testimonies Staff Working Paper 2022-20 Michelle Alexopoulos, Xinfen Han, Oleksiy Kryvtsov, Xu Zhang We measure soft information contained in the congressional testimonies of U.S. Federal Reserve Chairs and analyze its effect on financial markets. Increases in the Chair’s text-, voice-, or face-emotion indices during these testimonies generally raise stock prices and lower their volatility. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Financial markets, Monetary policy communications JEL Code(s): E, E5, E52, E58, E7, E71
Windfall Income Shocks with Finite Planning Horizons Staff Working Paper 2022-40 Michael Boutros How do households respond when they receive unanticipated income, such as an inheritance or government stimulus cheque? This paper studies these windfall income shocks through a model of household behaviour that generates a realistic consumption response for households along the entire distribution of wealth. Content Type(s): Staff research, Staff working papers Research Topic(s): Domestic demand and components, Economic models, Fiscal policy JEL Code(s): D, D9, D91, E, E2, E21, G, G5, G51
Climate Variability and International Trade Staff Working Paper 2023-8 Geoffrey R. Dunbar, Walter Steingress, Ben Tomlin This paper quantifies the impact of hurricanes on seaborne international trade to the United States. Matching the timing of hurricane–trade route intersections with monthly U.S. port-level trade data, we isolate the unanticipated effects of a hurricane hitting a trade route using two separate identification schemes: an event study and a local projection. Content Type(s): Staff research, Staff working papers Research Topic(s): Climate change, International topics JEL Code(s): C, C2, C22, C5, F, F1, F14, F18, Q, Q5, Q54
Predetermined Prices and the Persistent Effects of Money on Output Staff Working Paper 2001-13 Michael Devereux, James Yetman This paper illustrates a model of predetermined pricing, where firms set a fixed schedule of nominal prices at the time of price readjustment, based on the work of Fischer (1977). This type of price-setting specification cannot produce any excess persistence in a fixed-duration model of staggered prices, but we show that with a probabilistic model of price adjustment, as in Calvo (1983), a predetermined pricing specification can produce excess persistence. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy transmission JEL Code(s): E, E3, E30
Forecasting Inflation with the M1-VECM: Part Two Staff Working Paper 1998-6 Walter Engert, Scott Hendry A central bank's main concern is the general direction of future inflation, and not transitory fluctuations of the inflation rate. As a result, this paper is concerned with forecasting a simple measure of the trend of inflation, the eight-quarter CPI-inflation rate. The primary objective is to improve the M1-based vector-error-correction model (VECM) developed by Hendry […] Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Inflation and prices, Monetary aggregates JEL Code(s): C, C3, C5, E, E3, E4, E5
Macroprudential Policy with Capital Buffers Staff Working Paper 2019-8 Josef Schroth The countercyclical capital buffer is part of Basel III, the set of regulatory measures developed in response to the financial crisis of 2007–09. This study focuses on how time-varying capital buffers can address inefficiencies in economies with endogenous financial crises. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Credit risk management, Financial stability, Financial system regulation and policies, Lender of last resort JEL Code(s): E, E1, E13, E3, E32, E4, E44
Firm Heterogeneity and Adverse Selection in External Finance: Micro Evidence and Macro Implications Staff Working Paper 2025-20 Xing Guo, Pablo Ottonello, Thomas Winberry, Toni Whited We develop a heterogeneous firm macro model with private information and quantify the aggregate relevance of asymmetric information. We find that a spike in private information account for 40% of the decline in aggregate investment during the 2007-2009 financial crisis and made monetary stimulus significantly less effective. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Financial markets, Firm dynamics, Monetary policy JEL Code(s): D, D8, D82, E, E2, E22, E3, E32, E5, E52, G, G3, G30