Expectation-Driven Term Structure of Equity and Bond Yields Staff working paper 2022-21 Ming Zeng, Guihai Zhao Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield spreads). 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, Financial system, Financial stability and systemic risk, Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission
BoC–BoE Sovereign Default Database: Appendix and References Technical report No. 125 David Beers, Obiageri Ndukwe, Joe Berry Since 2014, the Bank of Canada (BoC) has maintained a comprehensive database of sovereign defaults to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. The database is posted on the BoC’s website and is updated annually in partnership with the Bank of England (BoE). Content Type(s): Staff research, Technical reports JEL Code(s): F, F3, F34, G, G1, G10, G14, G15 Research Theme(s): Financial markets and funds management, Funds management, Financial system, Financial stability and systemic risk
Comparison of Bayesian and Sample Theory Parametric and Semiparametric Binary Response Models Staff working paper 2022-31 Xiangjin Shen, Iskander Karibzhanov, Hiroki Tsurumi, Shiliang Li We use graphic processing unit computing to compare Bayesian and sample theory semiparametric binary response models. Our findings show that optimal bandwidth does not outperform regular bandwidth in binary semiparametric models. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C14, C3, C35, C5, C51, C6, C63, D, D1 Research Theme(s): Financial system, Household and business credit, Models and tools, Econometric, statistical and computational methods
Optimal Quantitative Easing in a Monetary Union Staff working paper 2020-49 Serdar Kabaca, Renske Maas, Kostas Mavromatis, Romanos Priftis How should a central bank conduct quantitative easing (QE) in a monetary union when regions differ in their size and portfolio characteristics? Optimal QE policy suggests allocating greater purchases from the region that faces stronger portfolio frictions, and not necessarily according to each region’s size. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E43, E5, E52, E58 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy tools and implementation
Classical Decomposition of Markowitz Portfolio Selection Staff working paper 2020-21 Christopher Demone, Olivia Di Matteo, Barbara Collignon In this study, we enhance Markowitz portfolio selection with graph theory for the analysis of two portfolios composed of either EU or US assets. Using a threshold-based decomposition of their respective covariance matrices, we perturb the level of risk in each portfolio and build the corresponding sets of graphs. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C0, C02 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Econometric, statistical and computational methods
Dynamic Consumer Cash Inventory Model Staff working paper 2025-22 Kim Huynh, Oleksandr Shcherbakov, André Stenzel We study consumer cash inventory behavior by developing a dynamic model of forward-looking consumers and estimating structural parameters of the model using detailed consumer survey data. Consumers facing holding and withdrawal costs solve a discrete-time continuous-control dynamic programming problem to optimally use cash at the point of sale. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D1, D12, D14, E, E4, E41, E42, G, G2, G21 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Cash and bank notes
Macroeconomic Uncertainty Through the Lens of Professional Forecasters Staff working paper 2016-5 Soojin Jo, Rodrigo Sekkel We analyze the evolution of macroeconomic uncertainty in the United States, based on the forecast errors of consensus survey forecasts of different economic indicators. Comprehensive information contained in the survey forecasts enables us to capture a real-time subjective measure of uncertainty in a simple framework. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C38, E, E1, E17, E3, E32 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
Information Contagion and Systemic Risk Staff working paper 2017-29 Co-Pierre Georg, Toni Ahnert We examine the effect of ex-post information contagion on the ex-ante level of systemic risk defined as the probability of joint bank default. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G0, G01, G1, G11, G2, G21 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk
Interaction of Macroprudential and Monetary Policies: Practice Ahead of Theory Staff discussion paper 2024-18 Thibaut Duprey, Yaz Terajima, Jing Yang We draw on the Canadian experience to examine how monetary and macroprudential policies interact and possibly complement each other in achieving their respective price and financial stability objectives. Content Type(s): Staff research, Staff discussion papers JEL Code(s): E, E3, E37, E5, E52, E58, E6, E61, G, G0, G01, G2, G21, G28 Research Theme(s): Financial system, Financial stability and systemic risk, Household and business credit, Monetary policy, Monetary policy framework and transmission
Digitalization: Labour Markets Staff discussion paper 2023-16 Alex Chernoff, Gabriela Galassi In this paper, the authors assess the relationship between digitalization and labour demand and supply, and how this relationship affects wages and income inequality. We also explore implications of recent digitalization trends for the future of work. Content Type(s): Staff research, Staff discussion papers JEL Code(s): I, I2, I23, J, J2, J23, J24, O, O3, O33 Research Theme(s): Structural challenges, Demographics and labour supply, Digitalization and productivity