Tatjana Dahlhaus

Tatjana Dahlhaus

Director

Canadian Economic Analysis
  • Ph.D., Economics, Universitat Autonoma de Barcelona, Spain (2013)
  • M.Sc., Econometrics, University of Maastricht, the Netherlands (2007)
  • B.Sc., Econometrics and Operations Research, University of Maastricht, the Netherlands (2006)

Curriculum vitae

ORCID Author Orcid Link RePEc

Bio

Tatjana Dahlhaus is a Director in the Canadian Economic Analysis Department at the Bank of Canada. Her research interests lie in the fields of applied Macroeconomics and Econometrics, time series analysis, monetary policy, and climate change. Tatjana received her PhD in Economics from Universitat Autonoma de Barcelona, Spain.

Staff discussion papers

Digitalization: Implications for Monetary Policy

Staff Discussion Paper 2023-18 Vivian Chu, Tatjana Dahlhaus, Christopher Hajzler, Pierre-Yves Yanni
We explore the implications of digitalization for monetary policy, both in terms of how monetary policy affects the economy and in terms of data analysis and communication with the public.
Content Type(s): Staff research, Staff discussion papers Topic(s): Digitalization, Inflation and prices, Market structure and pricing, Monetary policy, Monetary policy communications, Monetary policy transmission JEL Code(s): C, C4, C8, E, E3, E31, E32, E5, E52

COVID-19, Containment and Consumption

Staff Discussion Paper 2022-5 Tatjana Dahlhaus, Daniel Hyun, Antoine Poulin-Moore, Jaime Trujillo, Saarah Sheikh, Benjamin Straus
We assess the impact of COVID-19 on consumption indicators by estimating the effects of government-mandated containment measures and of the willingness of individuals to voluntarily physically distance to prevent contagion.
Content Type(s): Staff research, Staff discussion papers Topic(s): Coronavirus disease (COVID-19), Domestic demand and components JEL Code(s): C, C2, C23, D, D1, D12, E, E6, E65, I, I1, I18

Assessing Vulnerabilities in Emerging-Market Economies

Staff Discussion Paper 2018-13 Tatjana Dahlhaus, Alexander Lam
This paper introduces a new tool to monitor economic and financial vulnerabilities in emerging-market economies. We obtain vulnerability indexes for several early warning indicators covering 26 emerging markets from 1990 to 2017 and use them to monitor the evolution of vulnerabilities before, during and after an economic or financial crisis.
Content Type(s): Staff research, Staff discussion papers Topic(s): International topics, Monetary and financial indicators, Recent economic and financial developments JEL Code(s): C, C8, C82, F, F3, F34, G, G0, G01, G1, G15

See More

Staff working papers

Payment Habits During COVID-19: Evidence from High-Frequency Transaction Data

Staff Working Paper 2021-43 Tatjana Dahlhaus, Angelika Welte
We examine how consumers have adjusted their payment habits during the COVID-19 pandemic. They seem to perform fewer transactions, spend more in each transaction, use less cash at the point of sale and withdraw cash from ATMs linked to their financial institution more often than from other ATMs.
Content Type(s): Staff research, Staff working papers Topic(s): Coronavirus disease (COVID-19), Domestic demand and components, Payment clearing and settlement systems, Recent economic and financial developments JEL Code(s): C, C2, C22, C5, C55, D, D1, D12, E, E2, E21, E4, E42, E5, E52

Networking the Yield Curve: Implications for Monetary Policy

Staff Working Paper 2021-4 Tatjana Dahlhaus, Julia Schaumburg, Tatevik Sekhposyan
We study how different monetary policies affect the yield curve and interact. Our study highlights the importance of the spillover structure across the yield curve for policy-making.
Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Interest rates, Monetary policy implementation JEL Code(s): C, C1, C18, C2, C21, C5, C53, E, E4, E43, E44, E5, E52

Monetary Policy Uncertainty: A Tale of Two Tails

Staff Working Paper 2018-50 Tatjana Dahlhaus, Tatevik Sekhposyan
We document a strong asymmetry in the evolution of federal funds rate expectations and map this observed asymmetry into measures of monetary policy uncertainty. We show that periods of monetary policy tightening and easing are distinctly related to downside (policy rate is higher than expected) and upside (policy rate is lower than expected) uncertainty.
Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Monetary policy and uncertainty, Monetary policy communications, Monetary policy transmission JEL Code(s): C, C1, C18, C3, C32, E, E0, E02, E4, E43, E5, E52

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

Nowcasting BRIC+M in Real Time

Staff Working Paper 2015-38 Tatjana Dahlhaus, Justin-Damien Guénette, Garima Vasishtha
Emerging-market economies have become increasingly important in driving global GDP growth over the past 10 to 15 years. This has made timely and accurate assessment of current and future economic activity in emerging markets important for policy-makers not only in these countries but also in advanced economies.
Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C3, C33, C5, C53, E, E3, E37

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

Monetary Policy Transmission during Financial Crises: An Empirical Analysis

Staff Working Paper 2014-21 Tatjana Dahlhaus
This paper studies the effects of a monetary policy expansion in the United States during times of high financial stress. The analysis is carried out by introducing a smooth transition factor model where the transition between states (“normal” and high financial stress) depends on a financial conditions index.
Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Monetary policy transmission JEL Code(s): C, C1, C11, C3, C32, E, E3, E32, E4, E44, G, G0, G01

See More

Journal publications

Refereed journals

  • “Nowcasting the BRIC+M in Real Time"
    (with Justin-Damien Guenette and Garima Vasishtha), International Journal of Forecasting, forthcoming.
  • “International Transmission Channels of U.S. Quantitative Easing: Evidence from Canada"
    (with Kristina Hess and Abeer Reza), Journal of Money, Credit and Banking, forthcoming.
  • "Conventional Monetary Policy Transmission during Financial Crises: An Empirical Analysis"
    Journal of Applied Econometrics, Volume 32, Issue 2, pp. 401-421, March 2017.
  • "Key Features and Determinants of Credit-less Recoveries"
    (with Martin Bijsterbosch), Empirical Economics, Volume 49, Issue 4, pp. 1245-1269, 2015.

Other

Publications

  • “Determinants of Credit-less Recoveries”
    (with Martin Bijsterbosch), ECB Working Paper No. 1358, June 2011.