Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1323
result(s)
Estimating the Portfolio-Balance Effects of the Bank of Canada’s Government of Canada Bond Purchase Program
Staff Working Paper 2024-34
Antonio Diez de los Rios
Using a novel dynamic portfolio balance model of the yield curve for Government of Canada bonds, I find that the Bank of Canada’s Government of Canada Bond Purchase Program reduced Canadian 10-year and 5-year zero-coupon yields by 84 and 52 basis points, respectively.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Central bank research,
Coronavirus disease (COVID-19),
Interest rates,
Monetary policy
JEL Code(s):
E,
E4,
E43,
E5,
E52,
G,
G1,
G12,
H,
H6,
H63
Household Food Inflation in Canada
Staff Working Paper 2024-33
Olena Kostyshyna,
Maude Ouellet
We study food inflation rates for Canadian households during periods of low and high inflation from 2012Q4 to 2023Q4. Households experienced more varied inflation rates during the recent high inflation. Cumulative food inflation has been 2.2 percentage points higher for lower-income households than for highest-income households since the inflation surge.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices
JEL Code(s):
E,
E2,
E21,
E3,
E30,
E31,
L,
L8,
L81
Let’s Get Physical: Impacts of Climate Change Physical Risks on Provincial Employment
Staff Working Paper 2024-32
Thibaut Duprey,
Soojin Jo,
Geneviève Vallée
We analyze 40 years’ worth of natural disasters using a local projection framework to assess their impact on provincial labour markets in Canada. We find that disasters decrease hours worked within a week and lower wage growth in the medium run. Our study highlights that disasters affect vulnerable workers through the income channel.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Climate change,
Labour markets,
Regional economic developments
JEL Code(s):
C,
C3,
C33,
E,
E2,
E24,
J,
J3,
Q,
Q5,
Q54
Price Discounts and Cheapflation During the Post-Pandemic Inflation Surge
Staff Working Paper 2024-31
Alberto Cavallo,
Oleksiy Kryvtsov
We study how price variation within a store changes with inflation, and whether households exploit these changes to reduce the burden of inflation. We find that price changes from discounts mitigated the inflation burden while cheapflation exacerbated it.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Inflation: costs and benefits,
Market structure and pricing
JEL Code(s):
E,
E2,
E21,
E3,
E30,
E31,
L,
L8,
L81
Decision Synthesis in Monetary Policy
Staff Working Paper 2024-30
Tony Chernis,
Gary Koop,
Emily Tallman,
Mike West
We use Bayesian predictive decision synthesis to formalize monetary policy decision-making. We develop a case-study of monetary policy decision-making of an inflation-targeting central bank using multiple models in a manner that considers decision goals, expectations and outcomes.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Economic models,
Monetary policy
JEL Code(s):
C,
C1,
C11,
C3,
C32,
C5,
C53
Entry and Exit in Treasury Auctions
Staff Working Paper 2024-29
Jason Allen,
Ali Hortaçsu,
Eric Richert,
Milena Wittwer
This paper introduces and estimates a structural model of the Canadian primary market for government debt. We assess the role of dealer exit in this market as a key reason for increased, yet irregular, customer entry and quantify the benefits of greater customer competition against the costs of higher market volatility.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Financial institutions,
Financial markets,
Market structure and pricing
JEL Code(s):
D,
D4,
D44,
D47,
G,
G1,
G12,
G2,
G28
Housing Affordability and Parental Income Support
Staff Working Paper 2024-28
Jason Allen,
Kyra Carmichael,
Robert Clark,
Shaoteng Li,
Nicolas Vincent
In many countries, the cost of housing has greatly outpaced income growth, leading to a housing affordability crisis. Leveraging Canadian loan-level data and quasi-experimental variation in payment-to-income constraints, we document an increasing reliance of first-time homebuyers on financial help from their parents, through mortgage co-signing. We show that parental support can effectively relax borrowing constraints—potentially to riskier borrowers.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial services,
Financial system regulation and policies,
Housing
JEL Code(s):
D,
D6,
D64,
E,
E2,
E21,
E24,
G,
G1,
G18,
G5,
G51
Central Bank Digital Currency and Transmission of Monetary Policy
Staff Working Paper 2024-27
Saroj Bhattarai,
Mohammad Davoodalhosseini,
Zhenning Zhao
How does the transmission of monetary policy change when a central bank digital currency (CBDC) is introduced in the economy? Does CBDC design matter? We study these questions in a general equilibrium model with nominal rigidities, liquidity frictions, and a banking sector where commercial banks face a leverage constraint.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Digital currencies and fintech,
Interest rates,
Monetary policy,
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
E,
E3,
E31,
E4,
E5,
E50,
E58,
G,
G2,
G21,
G5,
G51
Credit Card Minimum Payment Restrictions
Staff Working Paper 2024-26
Jason Allen,
Michael Boutros,
Benedict Guttman-Kenney
We study a government policy that restricts repayment choices with the aim of reducing credit card debt and estimate its effects by applying a difference-in-differences methodology to comprehensive credit-reporting data about Canadian consumers. We find the policy has trade-offs: reducing revolving debt comes at a cost of reducing credit access, and potentially increasing delinquency.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial system regulation and policies
JEL Code(s):
D,
D1,
D18,
E,
E2,
E21,
G,
G2,
G28,
G5,
G51