Real Effects of Price Stability with Endogenous Nominal Indexation Staff Working Paper 2009-16 Césaire Meh, Vincenzo Quadrini, Yaz Terajima We study a model with repeated moral hazard where financial contracts are not fully indexed to inflation because nominal prices are observed with delay as in Jovanovic & Ueda (1997). Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial markets, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E2, E21, E3, E31, E4, E44, E5, E52
Time-Consistent Management of a Liquidity Trap with Government Debt Staff Working Paper 2018-38 Dmitry Matveev This paper studies optimal discretionary monetary and fiscal policy when the lower bound on nominal interest rates is occasionally binding in a model with nominal rigidities and long-term government debt. At the lower bound it is optimal for the government to temporarily reduce debt. Content Type(s): Staff research, Staff working papers Research Topic(s): Fiscal policy, Monetary policy JEL Code(s): E, E5, E52, E6, E62, E63
Did U.S. Consumers Respond to the 2014–2015 Oil Price Shock? Evidence from the Consumer Expenditure Survey Staff Working Paper 2018-13 Patrick Alexander, Louis Poirier The impact of oil price shocks on the U.S. economy is a topic of considerable debate. In this paper, we examine the response of U.S. consumers to the 2014–2015 negative oil price shock using representative survey data from the Consumer Expenditure Survey. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Domestic demand and components, Recent economic and financial developments JEL Code(s): D, D1, D12, E, E2, E21, Q, Q4, Q43
How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables Staff Working Paper 2007-1 John Galbraith, Greg Tkacz For stationary transformations of variables, there exists a maximum horizon beyond which forecasts can provide no more information about the variable than is present in the unconditional mean. Meteorological forecasts, typically excepting only experimental or exploratory situations, are not reported beyond this horizon; by contrast, little generally accepted information about such maximum horizons is available for economic variables. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C5, C53
The Case of Serial Disappointment Staff Analytical Note 2016-10 Justin-Damien Guénette, Nicholas Labelle, Martin Leduc, Lori Rennison Similar to those of other forecasters, the Bank of Canada’s forecasts of global GDP growth have shown persistent negative errors over the past five years. This is in contrast to the pre-crisis period, when errors were consistently positive as global GDP surprised to the upside. All major regions have contributed to the forecast errors observed since 2011, although the United States has been the most persistent source of notable errors. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Business fluctuations and cycles, Domestic demand and components, Economic models, International topics, Monetary policy and uncertainty, Potential output JEL Code(s): E, E2, E27, E6, E66, F, F0, F01
On the Tail Risk Premium in the Oil Market Staff Working Paper 2017-46 Reinhard Ellwanger This paper shows that changes in market participants’ fear of rare events implied by crude oil options contribute to oil price volatility and oil return predictability. Using 25 years of historical data, we document economically large tail risk premia that vary substantially over time and significantly forecast crude oil futures and spot returns. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C5, C53, C58, D, D8, D84, E, E4, E44, G, G1, G12, G13, Q, Q4, Q43
Evaluating the Quarterly Projection Model: A Preliminary Investigation Staff Working Paper 2002-20 Robert Amano, Kim McPhail, Hope Pioro, Andrew Rennison This paper summarizes the results of recent research evaluating the Bank of Canada's Quarterly Projection Model (QPM). Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models JEL Code(s): C, C5, C52, E, E1, E17, E3, E30, E37
Market Structure and the Diffusion of E-Commerce: Evidence from the Retail Banking Industry Staff Working Paper 2008-32 Jason Allen, Robert Clark, Jean-François Houde This paper studies the role that market structure plays in affecting the diffusion of electronic banking. Electronic banking (and electronic commerce more generally) reduces the cost of performing many types of transactions for firms. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Market structure and pricing JEL Code(s): D, D1, D14, D4, G, G2, G21, L, L1
September 14, 2010 Bundesbank Lecture 2010: The Economic Consequences of the Reforms Remarks Mark Carney Deutsche Bundesbank Berlin, Germany Keynes wrote prophetically of the economic consequences of the Treaty of Versailles. Could the same be said of current financial reforms? Are policy-makers taking for granted the essential role performed by finance in a vain pursuit of its risk-proofing? Content Type(s): Press, Speeches and appearances, Remarks
To Link or Not To Link? Netting and Exposures Between Central Counterparties Staff Working Paper 2013-6 Stacey Anderson, Jean-Philippe Dion, Héctor Pérez Saiz This paper provides a framework to compare linked and unlinked CCP configurations in terms of total netting achieved by market participants and the total system default exposures that exist between participants and CCPs. Content Type(s): Staff research, Staff working papers Research Topic(s): Payment clearing and settlement systems JEL Code(s): G, G1, G18, G2, G23