Quantum Monte Carlo for Economics: Stress Testing and Macroeconomic Deep Learning Staff Working Paper 2022-29 Vladimir Skavysh, Sofia Priazhkina, Diego Guala, Thomas Bromley Using the quantum Monte Carlo algorithm, we study whether quantum computing can improve the run time of economic applications and challenges in doing so. We apply the algorithm to two models: a stress testing bank model and a DSGE model solved with deep learning. We also present innovations in the algorithm and benchmark it to classical Monte Carlo. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Economic models, Financial stability JEL Code(s): C, C1, C15, C6, C61, C63, C68, C7, E, E1, E13, G, G1, G17, G2, G21
Can regulating bank capital help prevent and mitigate financial downturns? Staff Analytical Note 2021-12 Alejandro García, Josef Schroth Countercyclical capital buffers are regulatory measures developed in response to the global financial crisis of 2008–09. This note focuses on how time-varying capital buffers can improve financial stability in Canada Content Type(s): Staff research, Staff analytical notes 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
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 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
Can Capital Deepening Explain the Global Decline in Labor’s Share? Staff Working Paper 2019-3 Andrew Glover, Jacob Short We estimate an aggregate elasticity of substitution between capital and labor near or below one, which implies that capital deepening cannot explain the global decline in labor's share. Our methodology derives from transition paths in the neo-classical growth model. Content Type(s): Staff research, Staff working papers Topic(s): Firm dynamics, International topics, Labour markets JEL Code(s): E, E1, E13, E2, E22, E25, J, J3
Optimal Capital Regulation Staff Working Paper 2017-6 Stéphane Moyen, Josef Schroth We study constrained-efficient bank capital regulation in a model with market-imposed equity requirements. Banks hold equity buffers to insure against sudden loss of access to funding. However, in the model, banks choose to only partially self-insure because equity is privately costly. Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): E, E1, E13, E3, E32, E4, E44
Capital Flows to Developing Countries: Is There an Allocation Puzzle? Staff Working Paper 2016-53 Josef Schroth Foreign direct investment inflows are positively related to growth across developing countries—but so are savings in excess of investment. I develop an explanation for this well-established puzzle by focusing on the limited availability of consumer credit in developing countries together with general equilibrium effects. Content Type(s): Staff research, Staff working papers Topic(s): Foreign reserves management, Interest rates, International financial markets JEL Code(s): E, E1, E13, E2, E21, F, F4, F43
Business Cycles in Small, Open Economies: Evidence from Panel Data Between 1900 and 2013 Staff Working Paper 2016-48 Thuy Lan Nguyen, Wataru Miyamoto Using a novel data set for 17 countries dating from 1900 to 2013, we characterize business cycles in both small developed and developing countries in a model with financial frictions and a common shock structure. We estimate the model jointly for these 17 countries using Bayesian methods. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, International topics JEL Code(s): E, E1, E13, E3, E32, F, F4, F41, F44
Financial Crisis Interventions Staff Working Paper 2016-29 Josef Schroth This paper develops a model of an economy where bank credit supports both productive investment and individual consumption smoothing in the face of idiosyncratic income risk. Bank credit is constrained by bank equity capital. Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Financial stability, Financial system regulation and policies, Lender of last resort JEL Code(s): E, E1, E13, E3, E32, E4, E44
Inflation and Unemployment in Competitive Search Equilibrium Staff Working Paper 2010-15 Mei Dong Using a monetary search model, Rocheteau, Rupert and Wright (2007) show that the relationship between inflation and unemployment can be positive or negative depending on the primitives of the model. The key features are indivisible labor, nonseparable preferences and bargaining. Content Type(s): Staff research, Staff working papers Topic(s): Inflation: costs and benefits JEL Code(s): E, E1, E12, E13, E4, E40, E5, E52
Working Time over the 20th Century Staff Working Paper 2006-18 Alexander Ueberfeldt From 1870 to 2000, the workweek length of employed persons decreased by 41 per cent in industrialized countries. Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Labour markets, Productivity JEL Code(s): E, E1, E13, E2, E24, O, O1, O11