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2358
result(s)
The Central Bank’s Dilemma: Look Through Supply Shocks or Control Inflation Expectations?
Staff Working Paper 2022-41
Paul Beaudry,
Thomas J. Carter,
Amartya Lahiri
When countries are hit by supply shocks, central banks often face the dilemma of either looking through such shocks or reacting to them to ensure that inflation expectations remain anchored. In this paper, we propose a tractable framework to capture this dilemma and then explore optimal policy under a range of assumptions about how expectations are formed.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Economic models,
Inflation and prices,
Monetary policy,
Monetary policy and uncertainty,
Monetary policy communications
JEL Code(s):
E,
E1,
E12,
E2,
E24,
E3,
E31,
E5,
E52,
E58,
E6,
E65
Calculating Effective Degrees of Freedom for Forecast Combinations and Ensemble Models
Staff Discussion Paper 2022-19
James Younker
This paper derives a calculation for the effective degrees of freedom of a forecast combination under a set of general conditions for linear models. Computing effective degrees of freedom shows that the complexity cost of a forecast combination is driven by the parameters in the weighting scheme and the weighted average of parameters in the auxiliary models.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C0,
C01,
C02,
C1,
C13,
C5,
C50,
C51,
C52,
C53
Windfall Income Shocks with Finite Planning Horizons
Staff Working Paper 2022-40
Michael Boutros
How do households respond when they receive unanticipated income, such as an inheritance or government stimulus cheque? This paper studies these windfall income shocks through a model of household behaviour that generates a realistic consumption response for households along the entire distribution of wealth.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Domestic demand and components,
Economic models,
Fiscal policy
JEL Code(s):
D,
D9,
D91,
E,
E2,
E21,
G,
G5,
G51
House Price Responses to Monetary Policy Surprises: Evidence from the U.S. Listings Data
Staff Working Paper 2022-39
Denis Gorea,
Oleksiy Kryvtsov,
Marianna Kudlyak
Existing literature documents that house prices respond to monetary policy surprises with a significant delay, taking years to reach their peak response. We present new evidence of a much faster response.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Housing,
Inflation and prices,
Interest rates,
Monetary policy transmission
JEL Code(s):
E,
E5,
E52,
R,
R2,
R21,
R3,
R31
Sectoral Uncertainty
Staff Working Paper 2022-38
Efrem Castelnuovo,
Kerem Tuzcuoglu,
Luis Uzeda
We propose a new empirical framework that jointly decomposes the conditional variance of economic time series into a common and a sector-specific uncertainty component. We apply our framework to a disaggregated industrial production series for the US economy. We identify unexpected changes in durable goods uncertainty as drivers of downturns, while unexpected hikes in non-durable goods uncertainty are expansionary.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Monetary policy and uncertainty
JEL Code(s):
C,
C5,
C51,
C55,
E,
E3,
E32,
E4,
E44
COVID-19 and Financial Stability: Practice Ahead of Theory
Staff Discussion Paper 2022-18
Jing Yang,
Hélène Desgagnés,
Grzegorz Halaj,
Yaz Terajima
The COVID-19 pandemic uncovered policy challenges related to the economic measures that were taken to support the economy. Two years later, we attempt to identify the broader impact of these measures and research that needs to follow.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Coronavirus disease (COVID-19),
Financial stability,
Financial system regulation and policies
JEL Code(s):
E,
E5,
E58,
E6,
E61,
G,
G2,
G21,
H,
H3,
H8,
H84
Cash, COVID-19 and the Prospects for a Canadian Digital Dollar
Staff Discussion Paper 2022-17
Walter Engert,
Kim Huynh
We provide an analysis of cash trends in Canada before and during the COVID-19 pandemic. We also consider the potential two scenarios for issuance of a central bank digital currency in Canada: the emergence of a cashless society or the widespread use of an alternative digital currency in Canada. Finally, we discuss the Canadian experience in maintaining cash as an efficient and accessible method of payment and store of value.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Bank notes,
Central bank research,
Coronavirus disease (COVID-19),
Digital currencies and fintech,
Econometric and statistical methods
JEL Code(s):
C,
C1,
C12,
C9,
E,
E4,
O,
O5,
O54
BoC–BoE Sovereign Default Database: What’s new in 2022?
Staff Analytical Note 2022-11
David Beers,
Elliot Jones,
Karim McDaniels,
Zacharie Quiviger
The BoC–BoE database of sovereign debt defaults, published and updated annually by the Bank of Canada and the Bank of England, provides comprehensive estimates of stocks of government obligations in default.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Debt management,
Development economics,
Financial stability,
International financial markets
JEL Code(s):
F,
F3,
F34,
G,
G1,
G10,
G14,
G15
Has wage setting changed in Canada? Evidence from the pre-pandemic 2020 Wage-Setting Survey
Staff Analytical Note 2022-10
David Amirault,
Sarah Miller,
Matthieu Verstraete
Just before the pandemic began, the Bank of Canada conducted the 2020 Wage-Setting Survey. The goal was to explore the unusual trend of subdued wage growth in 2018 and 2019 despite a tightening in the labour market. Although this wage puzzle was beginning to resolve at the time of the survey, results highlight changes in several factors that may have important impacts on wage dynamics.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Central bank research,
Labour markets
JEL Code(s):
J,
J3,
J31,
J32,
J33,
J6,
J63