Measuring and Evaluating Strategic Communications at the Bank of Canada Staff discussion paper 2021-9 Annie Portelance The Bank of Canada’s Communications Department has developed a framework to quantify and qualify the Bank’s communications efforts and their results. Using data-based measurement and evaluation, the department can assess the impact of the Bank’s communications activities and gauge the department’s contribution to the Bank’s overall goals. Content Type(s): Staff research, Staff discussion papers JEL Code(s): D, D8, D83 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Monetary policy framework and transmission
How Long is Forever in the Laboratory? Three Implementations of an Infinite-Horizon Monetary Economy Staff working paper 2021-16 Janet Hua Jiang, Daniela Puzzello, Cathy Zhang Standard monetary models adopt an infinite horizon with discounting. Testing these models in the lab requires implementing this horizon within a limited time frame. We compare three approaches to such an implementation and discuss their relative advantages. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C9, C92, D, D8, D83, E, E4, E40 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission
Estimating Policy Functions in Payments Systems Using Reinforcement Learning Staff working paper 2021-7 Pablo S. Castro, Ajit Desai, Han Du, Rodney J. Garratt, Francisco Rivadeneyra We demonstrate the ability of reinforcement learning techniques to estimate the best-response functions of banks participating in high-value payments systems—a real-world strategic game of incomplete information. Content Type(s): Staff research, Staff working papers JEL Code(s): A, A1, A12, C, C7, D, D8, D83, E, E4, E42, E5, E58 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Digital assets and fintech, Payment and financial market infrastructures
Strategic Uncertainty in Financial Markets: Evidence from a Consensus Pricing Service Staff working paper 2020-55 Lerby Ergun, Andreas Uthemann We look at the informational content of consensus pricing in opaque over-the-counter markets. We show that the availability of price data informs participants mainly about other participants’ valuations, rather than about the value of a financial security. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C58, D, D5, D53, D8, D83, G, G1, G12, G14 Research Theme(s): Financial markets and funds management, Market functioning, Market structure
The Determinants of Consumers’ Inflation Expectations: Evidence from the US and Canada Staff working paper 2020-52 Charles Bellemare, Rolande Kpekou Tossou, Kevin Moran We compare the determinants of consumer inflation expectations in the US and Canada by analyzing two current surveys. We find that Canadian consumers rely more on professional forecasts and the history of actual inflation when forming their expectations, while US consumers rely more on their own lagged expectations. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C33, D, D8, D83, D84, E, E3, E31 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission
Forward Guidance and Expectation Formation: A Narrative Approach Staff working paper 2020-40 Christopher S. Sutherland How exactly does forward guidance influence interest rate expectations? Content Type(s): Staff research, Staff working papers JEL Code(s): D, D8, D83, D84, E, E3, E37, E5, E52, E58 Research Theme(s): Monetary policy, Monetary policy framework and transmission, Monetary policy tools and implementation
Ten Isn’t Large! Group Size and Coordination in a Large-Scale Experiment Staff working paper 2020-30 Jasmina Arifovic, Cars Hommes, Anita Kopányi-Peuker, Isabelle Salle Economic activities typically involve coordination among a large number of agents. These agents have to anticipate what other agents think before making their own decisions. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C9, C92, D, D8, D83, D9, D90, G, G2, G20 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk
Trading for Bailouts Staff working paper 2020-23 Toni Ahnert, Caio Machado, Ana Elisa Pereira In times of high uncertainty, governments often implement interventions such as bailouts to financial institutions. To use public resources efficiently and to avoid major spillovers to the rest of the economy, policy-makers try to identify which institutions should receive assistance. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D8, D83, G, G1, G12, G14, G18 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial institutions and intermediation, Financial stability and systemic risk, Financial system regulation and oversight
Optimal Taxation in Asset Markets with Adverse Selection Staff working paper 2020-11 Mohammad Davoodalhosseini What is the optimal tax schedule in over-the-counter markets, e.g., those for corporate bonds? I find that an optimal tax schedule is often non-monotonic. For example, trading of some high-price assets should be subsidized, and trading of some low-price assets should be taxed. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D8, D82, D83, E, E2, E24, G, G1, G10, J, J3, J31, J6, J64 Research Theme(s): Financial markets and funds management, Market structure, Financial system, Financial system regulation and oversight
The Effect of Oil Price Shocks on Asset Markets: Evidence from Oil Inventory News Staff working paper 2020-8 Ron Alquist, Reinhard Ellwanger, Jianjian Jin We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D8, D83, E, E4, E44, G, G1, G14, G15, Q, Q4, Q41, Q43 Research Theme(s): Financial markets and funds management, International markets and currencies, Market functioning, Monetary policy, Inflation dynamics and pressures