Staff working papers

• Bootstrapping Mean Squared Errors of Robust Small-Area Estimators: Application to the Method-of-Payments Data

  Staff Working Paper 2018-28 Valéry Dongmo Jiongo, Pierre Nguimkeu

  This paper proposes a new bootstrap procedure for mean squared errors of robust small-area estimators. We formally prove the asymptotic validity of the proposed bootstrap method and examine its finite sample performance through Monte Carlo simulations.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Econometric and statistical methods JEL Code(s): C, C1, C13, C15, C8, C83, E, E4, E41

• Swedish Riksbank Notes and Enskilda Bank Notes: Lessons for Digital Currencies

  Staff Working Paper 2018-27 Ben Fung, Scott Hendry, Warren E. Weber

  This paper examines the experience of Sweden with government notes and private bank notes to determine how well the Swedish experience corresponds to that of Canada and the United States. Sweden is important to study because it has had government notes in circulation for more than 350 years, and it had government notes before private bank notes.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Digital currencies and fintech, Financial services JEL Code(s): E, E4, E41, E42, E5, E58

• Reconciling Jaimovich-Rebelo Preferences, Habit in Consumption and Labor Supply

  Staff Working Paper 2018-26 Tom D. Holden, Paul Levine, Jonathan Swarbrick

  This note studies a form of a utility function of consumption with habit and leisure that (a) is compatible with long-run balanced growth, (b) hits a steady-state observed target for hours worked and (c) is consistent with micro-econometric evidence for the inter-temporal elasticity of substitution and the Frisch elasticity of labor supply.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, Labour markets JEL Code(s): E, E2, E21, E24

• On the Evolution of the United Kingdom Price Distributions

  Staff Working Paper 2018-25 Ba M. Chu, Kim Huynh, David T. Jacho-Chávez, Oleksiy Kryvtsov

  We propose a functional principal components method that accounts for stratified random sample weighting and time dependence in the observations to understand the evolution of distributions of monthly micro-level consumer prices for the United Kingdom (UK).

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C14, C8, C83, E, E3, E31, E37

• Ambiguity, Nominal Bond Yields and Real Bond Yields

  Staff Working Paper 2018-24 Guihai Zhao

  Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal yield curves. We develop a model that can generate upward-sloping nominal and real yield curves by instead using ambiguity about inflation and growth.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets, Interest rates JEL Code(s): E, E4, E43, G, G0, G00, G1, G12

• 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.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial markets, Monetary policy implementation, Monetary policy transmission JEL Code(s): C, C1, C18, C3, C32, E, E0, E02, E4, E43, E5, E52

• Uncovered Return Parity: Equity Returns and Currency Returns

  Staff Working Paper 2018-22 Edouard Djeutem, Geoffrey R. Dunbar

  We propose an uncovered expected returns parity (URP) condition for the bilateral spot exchange rate. URP implies that unilateral exchange rate equations are misspecified and that equity returns also affect exchange rates. Fama regressions provide evidence that URP is statistically preferred to uncovered interest rate parity (UIP) for nominal bilateral exchange rates between the US dollar and six countries (Australia, Canada, Japan, Norway, Switzerland and the UK) at the monthly frequency.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Exchange rates, International financial markets JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G15

• Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement

  Staff Working Paper 2018-21 Elena Goldman, Xiangjin Shen

  We explore properties of asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) models in the threshold GARCH (GTARCH) family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low-frequency macroeconomic volatility as well as an asymmetric response to past negative news in both autoregressive conditional heteroscedasticity (ARCH) and GARCH terms.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Payment clearing and settlement systems JEL Code(s): C, C5, C58, G, G1, G19, G2, G23, G28

• The (Un)Demand for Money in Canada

  Staff Working Paper 2018-20 Casey Jones, Geoffrey R. Dunbar

  A novel dataset from the Bank of Canada is used to estimate the deposit functions for banknotes in Canada for three denominations: $1,000, $100 and $50. The broad flavour of the empirical findings is that denominations are different monies, and the structural estimates identify the underlying sources of the non-neutrality.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Econometric and statistical methods JEL Code(s): C, C3, C31, C36, E, E4, E41

• The Political Impact of Immigration: Evidence from the United States

  Staff Working Paper 2018-19 Anna Maria Mayda, Giovanni Peri, Walter Steingress

  In this paper we study the impact of immigration to the United States on the vote for the Republican Party by analyzing county-level data on election outcomes between 1990 and 2010. Our main contribution is to separate the effect of high-skilled and low-skilled immigrants, by exploiting the different geography and timing of the inflows of these two groups of immigrants.

  Content Type(s): Staff research, Staff working papers Topic(s): International topics, Labour markets JEL Code(s): F, F2, F22, J, J6, J61