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3035 Results

Debt Overhang and Deleveraging in the US Household Sector: Gauging the Impact on Consumption

Staff Working Paper 2015-47 Bruno Albuquerque, Georgi Krustev
Using a novel dataset for the US states, this paper examines whether household debt and the protracted debt deleveraging help explain the dismal performance of US consumption since 2007, in the aftermath of the housing bubble.
September 3, 2010

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November 18, 2001

A New Measure of Core Inflation

While the Bank of Canada's inflation-control target is specified in terms of the rate of increase in the total consumer price index, the Bank uses a measure of trend or "core" inflation as a short-term guide for its monetary policy actions. When the inflation targets were renewed in May 2001, the Bank announced that it was adopting a new measure of core inflation. This measure excludes the eight most volatile components of the CPI and adjusts the remaining components for the effect of changes in indirect taxes. In this article, the author discusses the definition of the new measure of core inflation and describes some of its advantages relative to the previous measure. He notes that the new measure has a firmer statistical basis, has a better correspondence with economic theory, and does a better job of predicting future changes in overall inflation. While the new measure has these advantages, the Bank will continue to monitor a broad range of indicators when assessing the likely future path for inflation.
Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Inflation targets

Monetary Policy Transmission during Financial Crises: An Empirical Analysis

Staff Working Paper 2014-21 Tatjana Dahlhaus
This paper studies the effects of a monetary policy expansion in the United States during times of high financial stress. The analysis is carried out by introducing a smooth transition factor model where the transition between states (“normal” and high financial stress) depends on a financial conditions index.

Predicting Financial Stress Events: A Signal Extraction Approach

Staff Working Paper 2014-37 Ian Christensen, Fuchun Li
The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of time. To achieve this goal, the signal extraction approach proposed by Kaminsky, Lizondo and Reinhart (1998) is used to monitor the evolution of a number of economic indicators that tend to exhibit an unusual behaviour in the periods preceding a financial stress event.
Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial stability JEL Code(s): C, C1, C14, C4, E, E3, E37, E4, E47, F, F3, F36, F37, G, G0, G01, G1, G17

Privacy in CBDC technology

Staff Analytical Note 2020-9 Sriram Darbha, Rakesh Arora
Privacy is a key aspect of a potential central bank digital currency system. We outline different technical choices to enact various privacy models while complying with the appropriate regulations. We develop a framework to evaluate privacy models and list key risks and trade-offs in privacy design.
Content Type(s): Staff research, Staff analytical notes Research Topic(s): Central bank research, Digital currencies and fintech JEL Code(s): E, E4, E42, E5, E51, O, O3

Are Distorted Beliefs Too Good to be True?

Staff Working Paper 2003-4 Miroslav Misina
In a recent attempt to account for the equity-premium puzzle within a representative-agent model, Cecchetti, Lam, and Mark (2000) relax the assumption of rational expectations and in its place use the assumption of distorted beliefs. The author shows that the explanatory power of the distorted beliefs model is due to an inconsistency in the model and that an attempt to remove this inconsistency removes the model's explanatory power.
Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial markets JEL Code(s): D, D8, D84, G, G1, G12

Foreign Flows and Their Effects on Government of Canada Yields

Foreign investment flows into Government of Canada (GoC) bonds have surged since the financial crisis. Our empirical analysis suggests that foreign flows of $150 billion lowered the 10-year GoC bond yield by 100 basis points between 2009 and 2012.
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