C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models

• 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

• Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals

  Staff Working Paper 2017-22 Lorenzo Pozzi, Barbara Sadaba

  This paper presents a new testing method for the scapegoat model of exchange rates that aims to tighten the link between the theory on scapegoats and its empirical implementation. This new testing method consists of a number of steps.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Exchange rates, International financial markets JEL Code(s): C, C3, C32, F, F3, F31, G, G1, G15

• Small‐Sample Tests for Stock Return Predictability with Possibly Non‐Stationary Regressors and GARCH‐Type Effects

  Staff Working Paper 2017-10 Sermin Gungor, Richard Luger

  We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock returns.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C3, C32, G, G1, G14

• A Dynamic Factor Model for Nowcasting Canadian GDP Growth

  Staff Working Paper 2017-2 Tony Chernis, Rodrigo Sekkel

  This paper estimates a dynamic factor model (DFM) for nowcasting Canadian gross domestic product. The model is estimated with a mix of soft and hard indicators, and it features a high share of international data.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, C38, C5, C53, E, E3, E37

• Terms-of-Trade and House Price Fluctuations: A Cross-Country Study

  Staff Working Paper 2017-1 Paul Corrigan

  Terms-of-trade shocks are known to be key drivers of business cycles in open economies. This paper argues that terms-of-trade shocks were also important for house price fluctuations in a panel of developed countries over the 1994–2015 period.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Housing, International topics JEL Code(s): C, C3, C32, E, E3, E32, E5, E51, F, F3, F36, F4, F41

• Assessment of the Effects of Macroprudential Tightening in Canada

  Staff Analytical Note 2016-12 Martin Kuncl

  During the period of 2008 to 2012, the rules for government-backed mortgage insurance were tightened on four occasions. In this note, we estimate the effects through a simple econometric exercise using a vector error-correction model (VECM).

  Content Type(s): Staff research, Staff analytical notes Topic(s): Credit and credit aggregates, Financial system regulation and policies, Housing JEL Code(s): C, C3, C32, E, E6, E65, G, G2, G28

• What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks

  Staff Working Paper 2016-25 Laurent Ferrara, Pierre Guérin

  This paper evaluates the effects of high-frequency uncertainty shocks on a set of low-frequency macroeconomic variables that are representative of the U.S. economy. Rather than estimating models at the same common low-frequency, we use recently developed econometric models, which allows us to deal with data of different sampling frequencies.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E32, E4, E44

• The Impact of U.S. Monetary Policy Normalization on Capital Flows to Emerging-Market Economies

  Staff Working Paper 2014-53 Tatjana Dahlhaus, Garima Vasishtha

  The Federal Reserve’s path for withdrawal of monetary stimulus and eventually increasing interest rates could have substantial repercussions for capital flows to emerging-market economies (EMEs).

  Content Type(s): Staff research, Staff working papers Topic(s): International topics, Monetary policy transmission JEL Code(s): C, C3, C32, E, E5, E52, F, F3, F33, F4, F42

• International Transmission Channels of U.S. Quantitative Easing: Evidence from Canada

  Staff Working Paper 2014-43 Tatjana Dahlhaus, Abeer Reza, Kristina Hess

  The U.S. Federal Reserve responded to the great recession by reducing policy rates to the effective lower bound. In order to provide further monetary stimulus, they subsequently conducted large-scale asset purchases, quadrupling their balance sheet in the process.

  Content Type(s): Staff research, Staff working papers Topic(s): International topics, Monetary policy framework, Monetary policy transmission JEL Code(s): C, C3, C32, E, E5, E52, E58, F, F4, F42, F44

• Real-Time Nowcasting of Nominal GDP Under Structural Breaks

  Staff Working Paper 2014-39 William A. Barnett, Marcelle Chauvet, Danilo Leiva-Leon

  This paper provides a framework for the early assessment of current U.S. nominal GDP growth, which has been considered a potential new monetary policy target. The nowcasts are computed using the exact amount of information that policy-makers have available at the time predictions are made. However, real-time information arrives at different frequencies and asynchronously, which poses challenges of mixed frequencies, missing data and ragged edges.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices JEL Code(s): C, C3, C32, E, E2, E27, E3, E31, E32