Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets Staff Working Paper 2006-43 Alexander Melnikov, Yuliya Romanyuk The authors use the efficient hedging methodology for optimal pricing and hedging of equity-linked life insurance contracts whose payoff depends on the performance of several risky assets. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): D, D8, D81, G, G1, G10, G12
December 14, 2009 Liquidity Standards in a Macroprudential Context Financial System Review - December 2009 Carol Ann Northcott, Mark Zelmer Content Type(s): Publications, Financial System Review articles
Assessing Global Potential Output Growth: April 2019 Staff Analytical Note 2019-13 Fares Bounajm, Jean-Philippe Cayen, Michael Francis, Christopher Hajzler, Kristina Hess, Guillaume Poulin-Bellisle, Peter Selcuk This note presents the updated estimates of potential output growth for the global economy through 2021. Global potential output is expected to grow by 3.3 per cent per year over the projection horizon. Content Type(s): Staff research, Staff analytical notes Research Topic(s): International topics, Potential output, Productivity JEL Code(s): E, E1, E10, E2, E20, O, O4
Housing and Tax-Deferred Retirement Accounts Staff Working Paper 2016-24 Anson T. Y. Ho, Jie Zhou Assets in tax-deferred retirement accounts (TDA) and housing are two major components of household portfolios. In this paper, we develop a life-cycle model to examine the interaction between households’ use of TDA and their housing decisions. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Housing JEL Code(s): C, C6, C61, D, D1, D14, D9, D91, E, E2, E21, H, H2, H24, R, R2, R21
The Geography of Pandemic Containment Staff Working Paper 2021-26 Elisa Giannone, Nuno Paixão, Xinle Pang Interconnectedness between US states has affected the evolution of the COVID-19 pandemic. We study the optimal containment policies regulating the movement of goods and people within and between states. Content Type(s): Staff research, Staff working papers Research Topic(s): Coronavirus disease (COVID-19), Economic models, Regional economic developments JEL Code(s): F, F1, H, H0, I, I1, R, R1
November 17, 1999 Monetary Policy Report – November 1999 Since the May Report, the international economic environment has continued to improve. Economic activity abroad grew faster than expected, while inflation in the major economies remained subdued. Content Type(s): Publications, Monetary Policy Report
The Impact of Emerging Asia on Commodity Prices Staff Working Paper 2007-55 Sylvie Morin, Calista Cheung Over the past 5 years, real energy and non-energy commodity prices have trended sharply higher. These relative price movements have had important implications for inflation and economic activity in both Canada and the rest of the world. China has accounted for the bulk of incremental demand for oil and many base metals over this period. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, International topics JEL Code(s): E, E3, F, F4, O, O1, O19, Q, Q1, Q11
Differentiable, Filter Free Bayesian Estimation of DSGE Models Using Mixture Density Networks Staff Working Paper 2025-3 Chris Naubert I develop a method for Bayesian estimation of globally solved, non-linear macroeconomic models. The method uses a mixture density network to approximate the initial state distribution. The mixture density network results in more reliable posterior inference compared with the case when the initial states are set to their steady-state values. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): C, C6, C61, C63, E, E3, E37, E4, E47
Fiscal and Monetary Stabilization Policy at the Zero Lower Bound: Consequences of Limited Foresight Staff Working Paper 2021-51 Michael Woodford, Yinxi Xie How do outcomes of monetary and fiscal stabilization policies at the zero lower bound change when decision makers have finite planning horizons in the economy? We explore the effects of limited foresight on policy tools and the interaction between monetary and fiscal policy. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Central bank research, Fiscal policy, Monetary policy JEL Code(s): E, E5, E52, E6, E63, E7
Speculators, Prices and Market Volatility Staff Working Paper 2015-42 Celso Brunetti, Bahattin Buyuksahin, Jeffrey H. Harris We analyze data from 2005 through 2009 that uniquely identify categories of traders to assess how speculators such as hedge funds and swap dealers relate to volatility and price changes. Examining various subperiods where price trends are strong, we find little evidence that speculators destabilize financial markets. Content Type(s): Staff research, Staff working papers Research Topic(s): International topics, Recent economic and financial developments JEL Code(s): C, C3, G, G1