Staff working papers

• Online Privacy and Information Disclosure by Consumers

  Staff Working Paper 2019-22 Shota Ichihashi

  A consumer discloses information to a multi-product seller, which learns about the consumer’s preferences, sets prices, and makes product recommendations. While the consumer benefits from accurate product recommendations, the seller may use the information to price discriminate.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models JEL Code(s): D, D8, D82, D83

• Central Bank Communication That Works: Lessons from Lab Experiments

  Staff Working Paper 2019-21 Oleksiy Kryvtsov, Luba Petersen

  We use controlled laboratory experiments to test the causal effects of central bank communication on economic expectations and to distinguish the underlying mechanisms of those effects. In an experiment where subjects learn to forecast economic variables, we find that central bank communication has a stabilizing effect on individual and aggregate outcomes and that the size of the effect varies with the type of communication.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary policy implementation, Monetary policy transmission JEL Code(s): C, C9, D, D8, D84, E, E3, E5, E52

• Bank Market Power and Central Bank Digital Currency: Theory and Quantitative Assessment

  Staff Working Paper 2019-20 Jonathan Chiu, Mohammad Davoodalhosseini, Janet Hua Jiang, Yu Zhu

  We show that issuing a deposit-like central bank digital currency (CBDC) with a proper interest rate would encourage banks to pay higher interest to keep their customers. Banks would then attract more deposits and offer more loans. Hence, a CBDC would not necessarily crowd out private banking.

  Content Type(s): Staff research, Staff working papers Topic(s): Digital currencies and fintech, Market structure and pricing, Monetary policy, Monetary policy framework JEL Code(s): E, E5, E50, E58

• Reassessing Trade Barriers with Global Value Chains

  Staff Working Paper 2019-19 Yuko Imura

  This paper provides a systematic, quantitative analysis of the short-run and long-run effects of various trade-restricting policies in the presence of global value chains and multinational production.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Firm dynamics, International topics, Trade integration JEL Code(s): F, F1, F12, F13, F4, F41

• Entrepreneurial Incentives and the Role of Initial Coin Offerings

  Staff Working Paper 2019-18 Rodney J. Garratt, Maarten van Oordt

  Initial coin offerings (ICOs) are a new mode of financing start-ups that saw an explosion in popularity in 2017 but declined in popularity in the second half of 2018 as regulatory pressure, instances of fraud and reports of poor performance began to undermine their reputation.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Exchange rates JEL Code(s): G, G3, G32

• Estimating the Effect of Exchange Rate Changes on Total Exports

  Staff Working Paper 2019-17 Thierry Mayer, Walter Steingress

  This paper shows that real effective exchange rate (REER) regressions, the standard approach for estimating the response of aggregate exports to exchange rate changes, imply biased estimates of the underlying elasticities. We provide a new aggregate regression specification that is consistent with bilateral trade flows micro-founded by the gravity equation.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Exchange rates, International topics JEL Code(s): F, F1, F11, F12, F3, F31, F32

• Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects

  Staff Working Paper 2019-16 Kerem Tuzcuoglu

  Modeling and estimating persistent discrete data can be challenging. In this paper, we use an autoregressive panel probit model where the autocorrelation in the discrete variable is driven by the autocorrelation in the latent variable. In such a non-linear model, the autocorrelation in an unobserved variable results in an intractable likelihood containing high-dimensional integrals.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit risk management, Econometric and statistical methods, Economic models JEL Code(s): C, C2, C23, C25, C5, C58, G, G2, G24

• Labor Mobility in a Monetary Union

  Staff Working Paper 2019-15 Daniela Hauser, Martin Seneca

  The optimal currency literature has stressed the importance of labor mobility as a precondition for the success of monetary unions. But only a few studies formally link labor mobility to macroeconomic adjustment and policy. In this paper, we study macroeconomic dynamics and optimal monetary policy in an economy with cyclical labor flows across two distinct regions that share trade links and a common monetary framework.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, Labour markets, Monetary policy framework, Regional economic developments JEL Code(s): E, E3, E32, E5, E52, F, F4

• Firm-level Investment Under Imperfect Capital Markets in Ukraine

  Staff Working Paper 2019-14 Oleksandr Shcherbakov

  This paper develops and estimates a model of firm-level fixed capital investment when firms face borrowing constraints.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Economic models, Firm dynamics JEL Code(s): C, C6, C61, C63, D, D2, D24, G, G3, G31

• The Trend Unemployment Rate in Canada: Searching for the Unobservable

  Staff Working Paper 2019-13 Dany Brouillette, Marie-Noëlle Robitaille, Laurence Savoie-Chabot, Pierre St-Amant, Bassirou Gueye, Elise Nelson

  In this paper, we assess several methods that have been used to measure the Canadian trend unemployment rate (TUR). We also consider improvements and extensions to some existing methods.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, Inflation and prices, Labour markets JEL Code(s): C, C5, C52, C53, E, E2, E24, E27