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1934
result(s)
Is This Normal? The Cost of Assuming that Derivatives Have Normal Returns
Staff Working Paper 2024-46
Radoslav Raykov
Derivatives exchanges often determine collateral requirements, which are fundamental to market safety, with dated risk models assuming normal returns. However, derivatives returns are heavy-tailed, which leads to the systematic under-collection of collateral (margin). This paper uses extreme value theory (EVT) to evaluate the cost of this margin inadequacy to market participants in the event of default.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
G,
G1,
G10,
G11,
G2,
G20
Preferences, Monetary Policy and Household Inflation
Staff Working Paper 2024-45
Geoffrey R. Dunbar
I quantify the importance of changes in household preferences on household inflation rates using 11 years of scanner data for 11,000 US households. My results suggest that changes in household preferences are an important driver of inflation dynamics at the household level.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Monetary policy transmission
JEL Code(s):
D,
D1,
D12,
E,
E5,
E52,
E58
Seasonal Adjustment of Weekly Data
Staff Discussion Paper 2024-17
Jeffrey Mollins,
Rachit Lumb
The industry standard for seasonally adjusting data, X-13ARIMA-SEATS, is not suitable for high-frequency data. We summarize and assess several of the most popular seasonal adjustment methods for weekly data given the increased availability and promise of non-traditional data at higher frequencies.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C1,
C4,
C5,
C52,
C8,
E,
E0,
E01,
E2,
E21
How Do Households Respond to Expected Inflation? An Investigation of Transmission Mechanisms
Staff Working Paper 2024-44
Janet Hua Jiang,
Rupal Kamdar,
Kelin Lu,
Daniela Puzzello
We conduct surveys to study how consumer spending responds to higher inflation expectations. Most respondents spend the same, sticking to fixed budget plans or not considering inflation for spending decisions. About 20% decrease spending because they feel poorer and cut spending to invest in inflation-proof assets. Very few increase spending.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Inflation and prices,
Inflation targets,
Monetary policy,
Monetary policy transmission
JEL Code(s):
D,
D1,
D15,
D8,
D84,
E,
E2,
E5,
E52,
E7
Gender Gaps in Time Use and Entrepreneurship
Staff Working Paper 2024-43
Pedro Bento,
Lin Shao,
Faisal Sohail
The prevalence of entrepreneurs, particularly low-productivity non-employers, declines as economies develop. This decline is more pronounced for women. Relative to men, women are more likely to be entrepreneurs in poor economies but less likely in rich economies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Firm dynamics,
Productivity
JEL Code(s):
J,
J2,
L,
L2,
O,
O1
Mortgage stress tests and household financial resilience under monetary policy tightening
Staff Analytical Note 2024-25
Jonathan Hartley,
Nuno Paixão
This note analyzes mortgage stress tests, a macroprudential tool. We find that when mortgage stress tests are applied to all mortgage purchase originations, they improve credit quality and reduce credit and house price growth. They also improve the resilience of borrowers to financial shocks, such as the large increase in interest rates during 2022–23.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Credit and credit aggregates,
Financial institutions,
Financial system regulation and policies,
Monetary policy
JEL Code(s):
E,
E5,
E52,
G,
G2,
G21,
G28,
G5,
G50,
G51
How do Canadians perceive access to cash?
Staff Analytical Note 2024-24
Heng Chen,
Daneal O’Habib,
Hongyu Xiao
This paper introduces a subjective measure of cash accessibility in Canada, complementing existing distance-based metrics developed by Chen, O’Habib and Xiao (2023). Analyzing data from the 2023 Methods-of-Payment Survey, this study explores how Canadians perceive their ease of accessing cash from automated banking machines (ABMs) and financial institution branches.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Bank notes,
Financial services,
Regional economic developments
JEL Code(s):
J,
J1,
J15,
O,
O1,
R,
R5,
R51
The Consumer Value Proposition for a Hypothetical Digital Canadian Dollar
Staff Discussion Paper 2024-16
Martine Warren,
Bill Laur,
Ted Garanzotis,
Sebastian Hernandez
We explore the consumer value proposition of a hypothetical Digital Canadian Dollar, adoption considerations and the users who would benefit most from this potential new payment method. We employ a design-thinking consultation methodology, allowing participants to interact with research prototypes of increasing complexity to reveal user preferences, constraints and adoption influences.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Accessibility,
Bank notes,
Central bank research,
Digital currencies and fintech
JEL Code(s):
C,
C9,
D,
D1,
D12,
E,
E4,
E42,
E5,
E58,
O,
O3,
O33
Monetary Policy Transmission amid Demand Reallocations
Staff Working Paper 2024-42
Julien Bengui,
Lu Han,
Gaelan MacKenzie
We analyze the transmission of monetary policy during different phases of a sectoral demand reallocation episode when there are frictions to increasing production in a sector. Monetary policy is more effective in reducing inflation when a larger proportion of sectors are expanding or expect to expand in the near future.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Domestic demand and components,
Inflation and prices,
Monetary policy transmission
JEL Code(s):
E,
E1,
E12,
E2,
E24,
E3,
E31,
E5,
E52