Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1330
result(s)
Risk and State-Dependent Financial Frictions
Staff Working Paper 2022-37
Martin Harding,
Rafael Wouters
Using a nonlinear New Keynesian model with a financial accelerator, we show that financial frictions generate large state-dependent amplification effects. Shocks propagate more strongly in periods of financial stress. We propose an endogenous regime-switching DSGE framework for efficient estimation and improved model fit.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Credit and credit aggregates,
Financial stability,
Monetary policy
JEL Code(s):
E,
E5,
E52,
E58
Weather the Storms? Hurricanes, Technology and Oil Production
Staff Working Paper 2022-36
Johan Brannlund,
Geoffrey R. Dunbar,
Reinhard Ellwanger,
Matthew Krutkiewicz
Do technological improvements mitigate the potential damages from extreme weather events? We show that hurricanes lower offshore oil production in the Gulf of Mexico and that stronger storms have larger impacts. Regulations enacted in 1980 that required improved offshore construction standards only modestly mitigated the production losses.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Climate change,
Potential output
JEL Code(s):
C,
C2,
C22,
C23,
Q,
Q4,
Q40,
Q48,
Q5,
Q54
PayTech and the D(ata) N(etwork) A(ctivities) of BigTech Platforms
Staff Working Paper 2022-35
Jonathan Chiu,
Thorsten Koeppl
Why do BigTech platforms introduce payment services? We explore this using a model in which a monopoly platform faces a trade-off between the costs associated with privacy concerns and the revenue from data services. We then analyze the feedback effects between data and payments.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Digital currencies and fintech,
Payment clearing and settlement systems
JEL Code(s):
D,
D8,
E,
E4,
E42,
L,
L1
How Do People View Price and Wage Inflation?
Staff Working Paper 2022-34
Monica Jain,
Olena Kostyshyna,
Xu Zhang
This paper examines household-level data from the Canadian Survey of Consumer Expectations (CSCE) to understand households’ expectations about price and wage inflation, how those expectations link to views about labour market conditions and the subsequent impact on households’ outlook for real spending growth.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Monetary policy communications
JEL Code(s):
C,
C8,
C83,
D,
D8,
D84,
E,
E2,
E21,
E24,
E3,
E31
A Horse Race of Monetary Policy Regimes: An Experimental Investigation
Staff Working Paper 2022-33
Olena Kostyshyna,
Luba Petersen,
Jing Yang
How should central banks design monetary policy in stable times and during recessions? We run a horse race between five monetary policy frameworks in an experimental laboratory to assess how well the different approaches can manage the public’s expectations and stabilize the economy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation targets,
Monetary policy,
Monetary policy communications,
Monetary policy framework
JEL Code(s):
C,
C9,
D,
D8,
D84,
E,
E5,
E52,
E58
Cyber Risk and Security Investment
Staff Working Paper 2022-32
Toni Ahnert,
Michael Brolley,
David Cimon,
Ryan Riordan
We develop a principal-agent model of cyber-attacking with fee-paying clients who delegate security decisions to financial platforms. We derive testable implications about clients’ vulnerability to cyber attacks and about the fees charged.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial services,
Financial stability,
Financial system regulation and policies,
Payment clearing and settlement systems
JEL Code(s):
D,
D7,
D78,
D8,
D81,
G,
G1,
G18,
G2,
G21,
G23
Comparison of Bayesian and Sample Theory Parametric and Semiparametric Binary Response Models
Staff Working Paper 2022-31
Xiangjin Shen,
Iskander Karibzhanov,
Hiroki Tsurumi,
Shiliang Li
We use graphic processing unit computing to compare Bayesian and sample theory semiparametric binary response models. Our findings show that optimal bandwidth does not outperform regular bandwidth in binary semiparametric models.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit risk management,
Econometric and statistical methods
JEL Code(s):
C,
C1,
C14,
C3,
C35,
C5,
C51,
C6,
C63,
D,
D1
International Transmission of Quantitative Easing Policies: Evidence from Canada
Staff Working Paper 2022-30
Serdar Kabaca,
Kerem Tuzcuoglu
This paper examines the cross-border spillovers from major economies’ quantitative easing (QE) policies to their trading partners. We concentrate on spillovers from the US to Canada during the zero lower bound period when QE policies were actively used.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
International topics,
Monetary policy transmission
JEL Code(s):
E,
E5,
E52,
F,
F4,
F41,
F44
Quantum Monte Carlo for Economics: Stress Testing and Macroeconomic Deep Learning
Staff Working Paper 2022-29
Vladimir Skavysh,
Sofia Priazhkina,
Diego Guala,
Thomas Bromley
Using the quantum Monte Carlo algorithm, we study whether quantum computing can improve the run time of economic applications and challenges in doing so. We apply the algorithm to two models: a stress testing bank model and a DSGE model solved with deep learning. We also present innovations in the algorithm and benchmark it to classical Monte Carlo.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Central bank research,
Econometric and statistical methods,
Economic models,
Financial stability
JEL Code(s):
C,
C1,
C15,
C6,
C61,
C63,
C68,
C7,
E,
E1,
E13,
G,
G1,
G17,
G2,
G21