Import Price Dynamics in Major Advanced Economies and Heterogeneity in Exchange Rate Pass-Through Staff Working Paper 2008-39 Stephane Dees, Matthias Burgert, Nicolas Parent This paper aims at showing heterogeneity in the degree of exchange rate pass-through to import prices in major advanced economies at three different levels: 1) across destination markets; 2) across types of exporters (distinguishing developed economy from emerging economy exporters); and 3) over time. Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Inflation and prices JEL Code(s): E, E3, E31, F, F3, F4, F41
Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion Staff Working Paper 2006-14 Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian, Sebastien McMahon Fluctuations in the prices of various natural resource products are of concern in both policy and business circles; hence, it is important to develop accurate price forecasts. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, C53, E, E3, E37
The Paul Storer Memorial Lecture—Cross-Border Trade Integration and Monetary Policy Staff Discussion Paper 2016-20 Stephen S. Poloz In this paper we explore the nexus between cross-border trade integration and monetary policy. We first review the evidence that trade liberalization has increased the degree of integration in North America and conclude that, while robust structural inferences remain elusive, there is sufficient supporting evidence for central banks to treat the issue seriously. Content Type(s): Staff research, Staff discussion papers Topic(s): Economic models, Monetary policy, Trade integration JEL Code(s): E, E3, E37, E5, F, F1, F4, F41, F6
Monetary Policy, Uncertainty and the Presumption of Linearity Technical Report No. 63 Douglas Laxton, David Rose, Robert Tetlow This report shows that extreme conditions and volatility in markets are much more likely to result from systematic policy errors in gauging and responding to inflationary pressures in an economy than from unfortunate random shocks. We describe a simple model that incorporates the key features of the policy control process. We use two versions of […] Content Type(s): Staff research, Technical reports Topic(s): Economic models, Inflation and prices, Monetary policy and uncertainty JEL Code(s): E, E5, E52
Excess Collateral in the LVTS: How Much is Too Much? Staff Working Paper 2003-36 Kim McPhail, Anastasia Vakos The authors build a theoretical model that generates demand for collateral by Large Value Transfer System (LVTS) participants under the assumption that they minimize the cost of holding and managing collateral for LVTS purposes. The model predicts that the optimal amount of collateral held by each LVTS participant depends on the opportunity cost of collateral, the transactions costs of acquiring assets used as collateral and transferring them in and out of the LVTS, and the distribution of an LVTS participant's payment flows in the LVTS. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Payment clearing and settlement systems JEL Code(s): E, E4, E44, G, G2, G21
Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events Staff Working Paper 2006-17 Alejandro García, Ramazan Gençay The authors examine how the use of extreme value theory yields collateral requirements that are robust to extreme fluctuations in the market price of the asset used as collateral. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial stability, Payment clearing and settlement systems JEL Code(s): C, C1, G, G0, G1
What Drives Bank-Intermediated Trade Finance? Evidence from Cross-Country Analysis Staff Working Paper 2015-8 Jose Maria Serena, Garima Vasishtha Empirical work on the underlying causes of the recent dislocations in bank-intermediated trade finance has been limited by the poor availability of hard data. This paper analyzes the key determinants of bank-intermediated trade finance using a novel data set covering ten banking jurisdictions. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International financial markets, International topics JEL Code(s): F, F1, F14, F19
Asymmetric Risks to the Economic Outlook Arising from Financial System Vulnerabilities Staff Analytical Note 2018-6 Thibaut Duprey When financial system vulnerabilities are elevated, they can give rise to asymmetric risks to the economic outlook. To illustrate this, I consider the economic outlook presented in the Bank of Canada’s October 2017 Monetary Policy Report in the context of two key financial system vulnerabilities: high levels of household indebtedness and housing market imbalances. Content Type(s): Staff research, Staff analytical notes Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial stability, Financial system regulation and policies, Monetary and financial indicators, Monetary policy and uncertainty, Recent economic and financial developments JEL Code(s): C, C0, C01, C1, C11, C15, E, E1, E17, E3, E32, E37, E4, E44, E47, E5, E58, E6, E66, G, G0, G01, G1, G18
Optimal Monetary Policy According to HANK Staff Working Paper 2021-55 Sushant Acharya, Edouard Challe, Keshav Dogra We study optimal monetary policy in an analytically tractable Heterogeneous Agent New Keynesian model. In the model, the central bank has an incentive to reduce consumption inequality in addition to keeping economic activity at its efficient level and inflation stable. Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Monetary policy JEL Code(s): E, E2, E21, E3, E30, E5, E52, E6, E62, E63
Opaque Assets and Rollover Risk Staff Working Paper 2016-17 Benjamin Nelson, Toni Ahnert We model the asset-opacity choice of an intermediary subject to rollover risk in wholesale funding markets. Greater opacity means investors form more dispersed beliefs about an intermediary’s profitability. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability JEL Code(s): G, G0, G01, G2