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3029 Results

Beyond the averages: Measuring underlying wage growth using Labour Force Survey microdata

Staff Analytical Note 2024-23 Fares Bounajm, Tessa Devakos, Gabriela Galassi
When it comes to understanding the influence of labour costs on inflation, average wage growth is a misleading indicator because it is affected by composition effects. We propose an alternative measure that corrects for these effects by using microdata from the Labour Force Survey. Our new measure has many desirable properties, including reduced volatility and a better relationship with labour market fundamentals.
Content Type(s): Staff research, Staff analytical notes Research Topic(s): Econometric and statistical methods, Labour markets JEL Code(s): C, C3, C31, J, J2, J21, J3, J30, J31, J8, J82

Bank Screening Heterogeneity

Staff Working Paper 2016-56 Thibaut Duprey
Production efficiency and financial stability do not necessarily go hand in hand. With heterogeneity in banks’ abilities to screen borrowers, the market for loans becomes segmented and a self-competition mechanism arises. When heterogeneity increases, the intensive and extensive margins have opposite effects.

Measuring Limits of Arbitrage in Fixed-Income Markets

Staff Working Paper 2017-44 Jean-Sébastien Fontaine, Guillaume Nolin
We use relative value to measure limits to arbitrage in fixed-income markets. Relative value captures apparent deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond.

Trade and Diffusion of Embodied Technology: An Empirical Analysis

Using data from patents, citations, inter-sectoral sales and customs, we examine the international diffusion of technology through imports of sectoral knowledge and production inputs. We develop an instrumental variable strategy to identify the causal effects of technology embodied in imports on innovation and diffusion outcomes.

Effects of Funding Portfolios on the Credit Supply of Canadian Banks

Staff Working Paper 2015-10 H. Evren Damar, Césaire Meh, Yaz Terajima
This paper studies how banks simultaneously manage the two sides of their balance sheet and its implications for bank risk taking and real economic activity. First, we analyze how changes in funding affect the supply of bank loans.

Challenges in Implementing Worst-Case Analysis

Staff Working Paper 2018-47 Jon Danielsson, Lerby Ergun, Casper G. de Vries
Worst-case analysis is used among financial regulators in the wake of the recent financial crisis to gauge the tail risk. We provide insight into worst-case analysis and provide guidance on how to estimate it. We derive the bias for the non-parametric heavy-tailed order statistics and contrast it with the semi-parametric extreme value theory (EVT) approach.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability JEL Code(s): C, C0, C01, C1, C14, C5, C58
November 23, 2004

Real Return Bonds: Monetary Policy Credibility and Short-Term Inflation Forecasting

The break-even inflation rate (BEIR) is calculated by comparing the yields on conventional and Real Return Bonds. Defined as the average rate of inflation that equates the expected returns on these two bonds, the BEIR has the potential to contain useful information about long-run inflation expectations. Yet the BEIR has been higher, on average, and more variable than survey measures of inflation expectations, which may be explained by the effects of premiums and distortions embedded in the BEIR. Because of the difficulty in accounting for these distortions, the BEIR should not be given a large weight as a measure of long-run inflation expectations at this time. However, as the Real Return Bond market continues to develop, the BEIR should become a more useful indicator of inflation expectations. At present, it demonstrates no clear advantage over survey measures and even past inflation rates in forecasting near-term inflation.

The Side Effects of Safe Asset Creation

Staff Working Paper 2021-34 Sushant Acharya, Keshav Dogra
The secular decline in real interest rates has created a challenge for monetary policy, now confronting the zero lower bound more often. An increase in the supply of safe assets reduces downward pressure on the natural interest rate. This allows monetary policy to reach price stability and full employment, but not without cost—permanently lower investment.
Content Type(s): Staff research, Staff working papers Research Topic(s): Fiscal policy, Monetary policy implementation JEL Code(s): E, E3, E4, E5, G, G1, H, H6
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