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54 Results

Monetary Policy Uncertainty: A Tale of Two Tails

Staff Working Paper 2018-50 Tatjana Dahlhaus, Tatevik Sekhposyan
We document a strong asymmetry in the evolution of federal funds rate expectations and map this observed asymmetry into measures of monetary policy uncertainty. We show that periods of monetary policy tightening and easing are distinctly related to downside (policy rate is higher than expected) and upside (policy rate is lower than expected) uncertainty.

Noisy Monetary Policy

Staff Working Paper 2018-23 Tatjana Dahlhaus, Luca Gambetti
We introduce limited information in monetary policy. Agents receive signals from the central bank revealing new information (“news") about the future evolution of the policy rate before changes in the rate actually take place. However, the signal is disturbed by noise.

Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals

Staff Working Paper 2017-22 Lorenzo Pozzi, Barbara Sadaba
This paper presents a new testing method for the scapegoat model of exchange rates that aims to tighten the link between the theory on scapegoats and its empirical implementation. This new testing method consists of a number of steps.

Small‐Sample Tests for Stock Return Predictability with Possibly Non‐Stationary Regressors and GARCH‐Type Effects

Staff Working Paper 2017-10 Sermin Gungor, Richard Luger
We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock returns.

A Dynamic Factor Model for Nowcasting Canadian GDP Growth

Staff Working Paper 2017-2 Tony Chernis, Rodrigo Sekkel
This paper estimates a dynamic factor model (DFM) for nowcasting Canadian gross domestic product. The model is estimated with a mix of soft and hard indicators, and it features a high share of international data.

Terms-of-Trade and House Price Fluctuations: A Cross-Country Study

Staff Working Paper 2017-1 Paul Corrigan
Terms-of-trade shocks are known to be key drivers of business cycles in open economies. This paper argues that terms-of-trade shocks were also important for house price fluctuations in a panel of developed countries over the 1994–2015 period.
Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Housing, International topics JEL Code(s): C, C3, C32, E, E3, E32, E5, E51, F, F3, F36, F4, F41

Assessment of the Effects of Macroprudential Tightening in Canada

Staff Analytical Note 2016-12 Martin Kuncl
During the period of 2008 to 2012, the rules for government-backed mortgage insurance were tightened on four occasions. In this note, we estimate the effects through a simple econometric exercise using a vector error-correction model (VECM).

What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks

Staff Working Paper 2016-25 Laurent Ferrara, Pierre Guérin
This paper evaluates the effects of high-frequency uncertainty shocks on a set of low-frequency macroeconomic variables that are representative of the U.S. economy. Rather than estimating models at the same common low-frequency, we use recently developed econometric models, which allows us to deal with data of different sampling frequencies.

The Impact of U.S. Monetary Policy Normalization on Capital Flows to Emerging-Market Economies

Staff Working Paper 2014-53 Tatjana Dahlhaus, Garima Vasishtha
The Federal Reserve’s path for withdrawal of monetary stimulus and eventually increasing interest rates could have substantial repercussions for capital flows to emerging-market economies (EMEs).

International Transmission Channels of U.S. Quantitative Easing: Evidence from Canada

Staff Working Paper 2014-43 Tatjana Dahlhaus, Abeer Reza, Kristina Hess
The U.S. Federal Reserve responded to the great recession by reducing policy rates to the effective lower bound. In order to provide further monetary stimulus, they subsequently conducted large-scale asset purchases, quadrupling their balance sheet in the process.
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