Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1330
result(s)
Unintended Consequences of the Home Affordable Refinance Program
Staff Working Paper 2024-11
Phoebe Tian,
Chen Zheng
We investigate the unintended consequences of the Home Affordable Refinance Program (HARP). Originally designed to help borrowers refinance after the 2008–09 global financial crisis, HARP inadvertently strengthened the market power of incumbent lenders by creating a cost advantage for them. Despite a 2013 policy rectifying this cost advantage, we still find significant welfare losses for borrowers.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions
JEL Code(s):
G,
G2,
G21,
G5,
G51,
L,
L5,
L51
Forecasting Recessions in Canada: An Autoregressive Probit Model Approach
Staff Working Paper 2024-10
Antoine Poulin-Moore,
Kerem Tuzcuoglu
We forecast recessions in Canada using an autoregressive (AR) probit model. The results highlight the short-term predictive power of the US economic activity and suggest that financial indicators are reliable predictors of Canadian recessions. In addition, the suggested model meaningfully improves the ability to forecast Canadian recessions, relative to a variety of probit models proposed in the Canadian literature.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods
JEL Code(s):
C,
C5,
C51,
C53,
E,
E3,
E32
CBDC: Banking and Anonymity
Staff Working Paper 2024-9
Yuteng Cheng,
Ryuichiro Izumi
We examine the optimal amount of user anonymity in a central bank digital currency in the context of bank lending. Anonymity, defined as the lender’s inability to discern an entrepreneur’s actions that enable fund diversion, influences the choice of payment instrument due to its impact on a bank’s lending decisions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Digital currencies and fintech
JEL Code(s):
E,
E4,
E42,
E5,
E58,
G,
G2,
G28
Monetary Policy Transmission Through Shadow and Traditional Banks
Staff Working Paper 2024-8
Amina Enkhbold
I investigate how monetary policy transmits to mortgage rates via the mortgage market concentration channel for both traditional and shadow banks in the United States from 2009 to 2019. On average, shadow and traditional banks exhibit only a slight disparity in transmitting monetary shocks to mortgage rates.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Interest rates,
Monetary policy transmission
JEL Code(s):
E,
E4,
E44,
E5,
E52,
G,
G2,
G21
Regulation, Emissions and Productivity: Evidence from China’s Eleventh Five-Year Plan
Staff Working Paper 2024-7
Brantly Callaway,
Tong Li,
Joel Rodrigue,
Yuya Sasaki,
Yong Tan
We study the degree to which China’s 11th Five-Year Plan softens trade-offs between emissions and output. Our model suggests efficient regulation could have further increased aggregate productivity by 3.5% and output by 4.7% without any increase in aggregate emissions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Climate change,
Productivity
JEL Code(s):
C,
C2,
C21,
D,
D2,
D24,
Q,
Q5,
Q53
Decomposing Large Banks’ Systemic Trading Losses
Staff Working Paper 2024-6
Radoslav Raykov
Do banks realize simultaneous trading losses because they invest in the same assets, or because different assets are subject to the same macro shocks? This paper decomposes the comovements of bank trading losses into two orthogonal channels: portfolio overlap and common shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
G,
G1,
G10,
G11,
G2,
G20
How Do Agents Form Macroeconomic Expectations? Evidence from Inflation Uncertainty
Staff Working Paper 2024-5
Tao Wang
The uncertainty regarding inflation that is observed in density forecasts of households and professionals helps macroeconomists understand the formation mechanism of inflation expectations. Shocks to inflation take time to be perceived by all agents in the economy, and such rigidity is lower in a high-inflation environment.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Inflation and prices,
Monetary policy and uncertainty
JEL Code(s):
D,
D8,
D84,
E,
E3,
E31,
E7,
E71
Central Bank Digital Currency and Banking Choices
Staff Working Paper 2024-4
Jiaqi Li,
Andrew Usher,
Yu Zhu
To what extent does a central bank digital currency (CBDC) compete with bank deposits? To answer this question, we develop and estimate a structural model where each household chooses which financial institution to deposit their digital money with.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Digital currencies and fintech
JEL Code(s):
E,
E5,
E50,
E58
The Role of International Financial Integration in Monetary Policy Transmission
Staff Working Paper 2024-3
Jing Cynthia Wu,
Yinxi Xie,
Ji Zhang
We propose an open-economy New Keynesian model with financial integration that allows financial intermediaries to hold foreign long-term bonds. We study the implications of financial integration on monetary policy transmission. Among various aspects of financial integration, the bond duration plays a major role. These results hold for conventional and unconventional monetary policies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
International financial markets,
Monetary policy transmission
JEL Code(s):
E,
E4,
E44,
E5,
E52,
F,
F3,
F36,
F4,
F42