Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1320
result(s)
Evaluating the Effects of Forward Guidance and Large-scale Asset Purchases
Staff Working Paper 2021-54
Xu Zhang
I propose a novel method to identify and estimate the macroeconomic effects of forward guidance and large-scale asset purchases (LSAP) for each FOMC announcement. I find that LSAP is more important than forward guidance in influencing output and inflation. LSAP puts upward pressure on short-term yields, so it should always be used in conjunction with forward guidance.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Central bank research,
Econometric and statistical methods,
Interest rates
JEL Code(s):
E,
E5,
G,
G0
What to Target? Insights from a Lab Experiment
Staff Working Paper 2021-53
Isabelle Salle
In a laboratory experiment, we ask participants to predict inflation using three different policy regimes: inflation targeting—with and without greater communication of the target—average inflation targeting and price level targeting. We use participants’ predictions to compare the level and stability of inflation under each regime.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation targets,
Monetary policy communications,
Monetary policy framework
JEL Code(s):
C,
C9,
C92,
E,
E3,
E31,
E5,
E52,
E7
What Can Stockouts Tell Us About Inflation? Evidence from Online Micro Data
Staff Working Paper 2021-52
Alberto Cavallo,
Oleksiy Kryvtsov
Did supply disruptions and cost pressures play a role in rising inflation in 2020 during the COVID-19 pandemic? Using data collected from websites of large retailers in multiple sectors and countries, we show that shortages may indicate transitory inflationary pressures.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Coronavirus disease (COVID-19),
Inflation and prices
JEL Code(s):
D,
D2,
D22,
E,
E3,
E31,
E37
Fiscal and Monetary Stabilization Policy at the Zero Lower Bound: Consequences of Limited Foresight
Staff Working Paper 2021-51
Michael Woodford,
Yinxi Xie
How do outcomes of monetary and fiscal stabilization policies at the zero lower bound change when decision makers have finite planning horizons in the economy? We explore the effects of limited foresight on policy tools and the interaction between monetary and fiscal policy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Central bank research,
Fiscal policy,
Monetary policy
JEL Code(s):
E,
E5,
E52,
E6,
E63,
E7
Systemic Risk and Portfolio Diversification: Evidence from the Futures Market
Staff Working Paper 2021-50
Radoslav Raykov
This paper explores how the Canadian futures market contributed to banks’ systemic risk during the 2008 financial crisis. It finds that core banks as a whole traded against the periphery, in this way increasing their risk of simultaneous losses.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets
JEL Code(s):
G,
G1,
G10,
G2,
G20
Job Applications and Labour Market Flows
Staff Working Paper 2021-49
Serdar Birinci,
Kurt See,
Shu Lin Wee
Although the number of job applications has risen, job-finding rates remain relatively unchanged while job-separation rates have significantly declined. Rather than raising the probability of finding a job, we find that a rise in applications raises the probability of finding a good match, as evidenced by the decline in separation rates.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Labour markets,
Productivity
JEL Code(s):
E,
E2,
E24,
J,
J6,
J63,
J64
Foreign Exchange Fixings and Returns Around the Clock
Staff Working Paper 2021-48
Ingomar Krohn,
Philippe Mueller,
Paul Whelan
We document a new empirical finding in the foreign exchange market: currency returns show systematic reversals around the benchmark fixings. Specifically, the US dollar, on average, appreciates in the hours before fixes and depreciates after fixes.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial markets,
Market structure and pricing
JEL Code(s):
F,
F3,
F31,
G,
G1,
G15
Energy Efficiency and Fluctuations in CO2 Emissions
Staff Working Paper 2021-47
Soojin Jo,
Lilia Karnizova
Carbon dioxide emissions have been commonly modelled as rising and falling with total output. Yet many factors, such as energy-efficiency improvements and shifts to cleaner energy, can break this relationship. We evaluate these factors using US data and find that changes in energy efficiency of consumption goods explain a significant proportion of emissions fluctuations. This finding also implies that models that omit energy efficiency likely overestimate the trade-off between environmental protection and economic performance.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Climate change,
Econometric and statistical methods
JEL Code(s):
E,
E3,
E32,
Q,
Q4,
Q43,
Q5,
Q50,
Q55
More Money for Some: The Redistributive Effects of Open Market Operations
Staff Working Paper 2021-46
Christian Bustamante
I use a search-theoretic model of money to study how open market operations affect the conduct of monetary policy and what this means for households along the wealth distribution. In the model, households vary in the size and composition of their portfolios, which in turn implies that they may be unevenly affected by open market operations.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Monetary policy,
Monetary policy implementation,
Monetary policy transmission
JEL Code(s):
E,
E2,
E21,
E3,
E32,
E5,
E52