Bio

Shaofeng Xu is a Senior Economist in the Monetary Policy and Financial Studies Division of the Canadian Economic Analysis Department. His research interests include macroeconomics, financial economics, and housing economics. Shaofeng holds a Ph.D. in Economics from the University of California at Davis. He has an M.S. in Mathematics and a B.S. in Statistics.

Staff working papers

Model Uncertainty and Wealth Distribution

Staff Working Paper 2019-48 Edouard Djeutem, Shaofeng Xu
This paper studies the implications of model uncertainty for wealth distribution in a tractable general equilibrium model with a borrowing constraint and robustness à la Hansen and Sargent (2008). Households confront model uncertainty about the process driving the return of the risky asset, and they choose robust policies.
Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Business fluctuations and cycles, Economic models JEL Code(s): D, D3, D8, E, E2

The Role of Corporate Saving over the Business Cycle: Shock Absorber or Amplifier?

Staff Working Paper 2018-59 Xiaodan Gao, Shaofeng Xu
We document countercyclical corporate saving behavior with the degree of countercyclicality varying nonmonotonically with firm size. We then develop a dynamic stochastic general equilibrium model with heterogeneous firms to explain the pattern and study its implications for business cycles.
Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E2, E20, E22, E3, E32, G, G3, G31, G32

Interpreting Volatility Shocks as Preference Shocks

Staff Working Paper 2016-45 Shaofeng Xu
This paper examines the relationship between volatility shocks and preference shocks in an analytically tractable endogenous growth model with recursive preferences and stochastic volatility. I show that there exists an explicit mapping between volatility shocks and preference shocks, and a rise in volatility generates the same impulse responses of macroeconomic aggregates as a negative preference shock.
Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E2, E3

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Journal publications

Refereed journals