Implementation and Effectiveness of Extended Monetary Policy Tools: Lessons from the Literature Staff discussion paper 2020-16 Grahame Johnson, Sharon Kozicki, Romanos Priftis, Lena Suchanek, Jonathan Witmer, Jing Yang This paper summarizes the literature on the performance of various extended monetary policy tools when conventional policy rates are constrained by the effective lower bound. We highlight issues that may arise when these tools are used by central banks of small open economies. Content Type(s): Staff research, Staff discussion papers JEL Code(s): E, E5, E52, E58, E6, E63 Research Theme(s): Monetary policy, Monetary policy framework and transmission, Monetary policy tools and implementation
Finding a Needle in a Haystack: A Machine Learning Framework for Anomaly Detection in Payment Systems Staff working paper 2024-15 Ajit Desai, Anneke Kosse, Jacob Sharples Our layered machine learning framework can enhance real-time transaction monitoring in high-value payment systems, which are a central piece of a country’s financial infrastructure. When tested on data from Canadian payment systems, it demonstrated potential for accurately identifying anomalous transactions. This framework could help improve cyber and operational resilience of payment systems. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C4, C45, C5, C55, D, D8, D83, E, E4, E42 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Payment and financial market infrastructures
Housing Market Dynamics and Macroprudential Policy Staff working paper 2016-31 Gabriel Bruneau, Ian Christensen, Césaire Meh We perform an analysis to determine how well the introduction of a countercyclical loanto- value (LTV) ratio can reduce household indebtedness and housing price fluctuations compared with a monetary policy rule augmented with house price inflation. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E3, E31, E4, E42, H, H2, H23 Research Theme(s): Financial system, Financial stability and systemic risk, Household and business credit, Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission
CBDC in the Market for Payments at the Point of Sale: Equilibrium Impact and Incumbent Responses Staff working paper 2024-52 Walter Engert, Oleksandr Shcherbakov, André Stenzel We simulate introducing a central bank digital currency (CBDC) and consider consumer adoption, merchant acceptance and usage at the point of sale. Modest adoption frictions significantly inhibit CBDC market penetration along all three dimensions. Incumbent responses to restore pre-CBDC market shares are moderate to small and further reduce the impact of a CBDC. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C51, D, D1, D12, E, E4, E42, L, L1, L14, L5, L52 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Digital assets and fintech, Payment and financial market infrastructures, Retail payments
Credit Conditions, Inflation, and Unemployment Staff working paper 2025-26 Chao Gu, Janet Hua Jiang, Liang Wang We identify two channels that affect the relationship between inflation and unemployment. First, inflation lowers wages because unemployed suffer more from inflation than employed, generating a positive relationship. Second, inflation increases firms’ financing costs, generating a negative relationship. Improvements in firm financing conditions can induce the relationship to switch signs. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E2, E24, E3, E31, E4, E44, E5, E51 Research Theme(s): Financial system, Household and business credit, Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
Markups and Inflation in Oligopolistic Markets: Evidence from Wholesale Price Data Staff working paper 2024-20 Patrick Alexander, Lu Han, Oleksiy Kryvtsov, Ben Tomlin We study how the interaction of market power and nominal price rigidity influences inflation dynamics. We find that pass-through declines with price stickiness when markets are concentrated, which implies a lower slope of the New Keynesian Phillips curve. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D4, D43, E, E3, E31, L, L1, L13, L8, L81 Research Theme(s): Financial markets and funds management, Market structure, Monetary policy, Inflation dynamics and pressures
Foreign Exchange Fixings and Returns Around the Clock Staff working paper 2021-48 Ingomar Krohn, Philippe Mueller, Paul Whelan We document a new empirical finding in the foreign exchange market: currency returns show systematic reversals around the benchmark fixings. Specifically, the US dollar, on average, appreciates in the hours before fixes and depreciates after fixes. Content Type(s): Staff research, Staff working papers JEL Code(s): F, F3, F31, G, G1, G15 Research Theme(s): Financial markets and funds management, International markets and currencies, Market functioning
Parallel Tempering for DSGE Estimation Staff working paper 2024-13 Joshua Brault I develop a population-based Markov chain Monte Carlo algorithm known as parallel tempering to estimate dynamic stochastic general equilibrium models. Parallel tempering approximates the posterior distribution of interest using a family of Markov chains with tempered posteriors. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C11, C15, E, E1, E10 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models
Predictive Density Combination Using a Tree-Based Synthesis Function Staff working paper 2023-61 Tony Chernis, Niko Hauzenberger, Florian Huber, Gary Koop, James Mitchell This paper studies non-parametric combinations of density forecasts. We introduce a regression tree-based approach that allows combination weights to vary on the features of the densities, time-trends or economic indicators. In two empirical applications, we show the benefits of this approach in terms of improved forecast accuracy and interpretability. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C11, C3, C32, C5, C53 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
Following the Money: Evidence for the Portfolio Balance Channel of Quantitative Easing Staff working paper 2018-33 Itay Goldstein, Jonathan Witmer, Jing Yang Recent research suggests that quantitative easing (QE) may affect a broad range of asset prices through a portfolio balance channel. Using novel security-level holding data of individual US mutual funds, we establish evidence that portfolio rebalancing occurred both within and across funds. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E5, E58, G, G2, G23 Research Theme(s): Monetary policy, Monetary policy framework and transmission, Monetary policy tools and implementation