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2358
result(s)
Real Exchange Rate Decompositions
Staff Discussion Paper 2022-6
Bruno Feunou,
Jean-Sébastien Fontaine,
Ingomar Krohn
We break down the exchange rate based on an explicit link between fixed income and currency markets. We isolate a foreign exchange risk premium and show it is the main driver of the exchange rate between the Canadian and US dollars, especially on monetary policy and macroeconomic news announcement days.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Asset pricing,
Exchange rates,
International financial markets,
Monetary policy transmission
JEL Code(s):
E,
E4,
E43,
F,
F3,
F31,
G,
G1,
G12
Equilibrium in Two-Sided Markets for Payments: Consumer Awareness and the Welfare Cost of the Interchange Fee
Staff Working Paper 2022-15
Kim Huynh,
Gradon Nicholls,
Oleksandr Shcherbakov
We construct and estimate a structural two-stage model of equilibrium in a market for payments in order to quantify the network externalities and identify the main determinants of consumer and merchant decisions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Digital currencies and fintech,
Econometric and statistical methods,
Financial services
JEL Code(s):
C,
C5,
C51,
D,
D1,
D12,
E,
E4,
E42,
L,
L1,
L14
Job Ladder and Business Cycles
Staff Working Paper 2022-14
Felipe Alves
During downturns, workers get stuck in low-productivity jobs and wages remain stagnant. I build an heterogenous agent incomplete market model with a full job ladder that accounts for these facts. An adverse financial shock calibrated to the US Great Recession replicates the period’s slow recovery and missing disinflation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Inflation and prices,
Labour markets,
Productivity
JEL Code(s):
D,
D3,
D31,
D5,
D52,
E,
E2,
E21,
E24,
E3,
E31,
E32
Vertical Bargaining and Obfuscation
Staff Working Paper 2022-13
Edona Reshidi
Is obscuring prices always bad for consumers? The answer depends on the market structure and on the negotiating power between manufacturers and retailers.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Market structure and pricing
JEL Code(s):
C,
C7,
C70,
L,
L1,
L13,
L4,
L42
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
Household Heterogeneity and the Performance of Monetary Policy Frameworks
Staff Working Paper 2022-12
Edouard Djeutem,
Mario He,
Abeer Reza,
Yang Zhang
Consumption inequality and a low interest rate environment are two important trends in today’s economy. But the implications they may have—and how those implications interact—within different monetary policy frameworks are not well understood. We study the ranking of alternative frameworks that take these trends into account.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Monetary policy and uncertainty,
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
D,
D3,
D31,
D5,
D52,
E,
E2,
E21,
E3,
E31,
E5,
E52,
E58
The Central Bank Strikes Back! Credibility of Monetary Policy under Fiscal Influence
Staff Working Paper 2022-11
Antoine Camous,
Dmitry Matveev
Central banks in many advanced economies enjoy a high degree of independence, which protects monetary policy decisions from political influence. But how should independent central banks react if pressured by fiscal policy-makers? We examine whether a central bank should design a monetary policy framework that prescribes acting conditionally on how fiscal policy behaves.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credibility,
Fiscal policy,
Monetary policy
JEL Code(s):
E,
E0,
E02,
E5,
E52,
E58,
E6,
E61,
E62
Macroeconomic Predictions Using Payments Data and Machine Learning
Staff Working Paper 2022-10
James Chapman,
Ajit Desai
We demonstrate the usefulness of payment systems data and machine learning models for macroeconomic predictions and provide a set of econometric tools to overcome associated challenges.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Payment clearing and settlement systems
JEL Code(s):
C,
C5,
C53,
C55,
E,
E3,
E37,
E4,
E42,
E5,
E52
Central Bank Liquidity Facilities and Market Making
Staff Working Paper 2022-9
David Cimon,
Adrian Walton
We create a theoretical model of central bank asset purchases. The model helps explain how, in a crisis, these purchases ease pressures on investment dealers.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Coronavirus disease (COVID-19),
Economic models,
Financial institutions,
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G10,
G2,
G20,
L,
L1,
L10