E - Macroeconomics and Monetary Economics

• 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 Topic(s): Firm dynamics, Inflation and prices, Market structure and pricing, Monetary policy transmission JEL Code(s): D, D4, D43, E, E3, E31, L, L1, L13, L8, L81

• The Macroeconomic Implications of Coholding

  Staff Working Paper 2024-16 Michael Boutros, Andrej Mijakovic

  Coholder households simultaneously carry high-cost credit card debt and low-yield cash. We study the implications of this behavior for fiscal and monetary policy, finding that coholder households have smaller consumption responses in the short run but larger responses in the long run.

  Content Type(s): Staff research, Staff working papers Topic(s): Central bank research, Economic models, Fiscal policy, Monetary policy JEL Code(s): E, E2, E21, E4, E44, E6, E62, G, G5, G51

• 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 Topic(s): Digital currencies and fintech, Financial institutions, Financial services, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): C, C4, C45, C5, C55, D, D8, D83, E, E4, E42

• Endogenous Credibility and Wage-Price Spirals

  Staff Working Paper 2024-14 Olena Kostyshyna, Tolga Özden, Yang Zhang

  We quantitively assess the risks of a wage-price spiral occurring in Canada over history. We find the risk of a wage-price spiral increases when the inflation expectations become unanchored and the credibility of central banks declines.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Credibility, Inflation and prices, Monetary policy JEL Code(s): C, C2, C22, E, E0, E00, E4, E47, E7

• 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 Topic(s): Econometric and statistical methods, Economic models JEL Code(s): C, C1, C11, C15, E, E1, E10