CBDC: Banking and Anonymity Staff working paper 2024-9 Yuteng Cheng, Ryuichiro Izumi We examine the optimal amount of user anonymity in a central bank digital currency in the context of bank lending. Anonymity, defined as the lender’s inability to discern an entrepreneur’s actions that enable fund diversion, influences the choice of payment instrument due to its impact on a bank’s lending decisions. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E42, E5, E58, G, G2, G28 Research Theme(s): Financial system, Financial institutions and intermediation, Monetary policy, Monetary policy tools and implementation, Money and payments, Digital assets and fintech, Retail payments
Monetary Policy Tradeoffs Between Financial Stability and Price Stability Staff working paper 2016-49 Malik Shukayev, Alexander Ueberfeldt We analyze the impact of interest rate policy on financial stability in an environment where banks can experience runs on their short-term liabilities, forcing them to sell assets at fire-sale prices. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D6, D62, E, E3, E32, E4, E44, G, G0, G01 Research Theme(s): Financial system, Financial stability and systemic risk, Monetary policy, Monetary policy framework and transmission
The potential effect of a central bank digital currency on deposit funding in Canada Staff analytical note 2020-15 Alejandro García, Bena Lands, Xuezhi Liu, Joshua Slive A retail central bank digital currency denominated in Canadian dollars could, in theory, create competition for bank deposit funding. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E4, E41, E44, E5, G, G1, G10, G17, G2, G21, G3, G32, O Research Theme(s): Financial system, Financial institutions and intermediation, Financial stability and systemic risk, Money and payments, Digital assets and fintech
Monetary Commitment and the Level of Public Debt Staff working paper 2016-3 Stefano Gnocchi, Luisa Lambertini We analyze the interaction between committed monetary policy and discretionary fiscal policy in a model with public debt, endogenous government expenditures, distortive taxation and nominal rigidities. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E2, E24, E3, E32, E5, E52 Research Theme(s): Financial markets and funds management, Funds management, Financial system, Financial stability and systemic risk, Monetary policy, Monetary policy framework and transmission, Monetary policy tools and implementation
Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals Staff working paper 2017-22 Lorenzo Pozzi, Barbara Sadaba This paper presents a new testing method for the scapegoat model of exchange rates that aims to tighten the link between the theory on scapegoats and its empirical implementation. This new testing method consists of a number of steps. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C32, F, F3, F31, G, G1, G15 Research Theme(s): Financial markets and funds management, International markets and currencies, Models and tools, Econometric, statistical and computational methods
June 7, 2018 Financial System Review: Assessment of Vulnerabilities and Risks—June 2018 This issue of the Financial System Review reflects the Bank’s judgment that high household indebtedness and housing market imbalances remain the most important vulnerabilities. While these vulnerabilities remain elevated, policy measures continue to improve the resilience of the financial system. A third vulnerability highlighted in the FSR concerns cyber threats to an interconnected financial system. Content Type(s): Publications, Financial Stability Report
Do Survey Expectations of Stock Returns Reflect Risk Adjustments? Staff working paper 2019-11 Klaus Adam, Dmitry Matveev, Stefan Nagel Motivated by the observation that survey expectations of stock returns are inconsistent with rational return expectations under real-world probabilities, we investigate whether alternative expectations hypotheses entertained in the literature on asset pricing are consistent with the survey evidence. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G10, G12 Research Theme(s): Financial markets and funds management, Market functioning, Market structure, Models and tools, Econometric, statistical and computational methods, Economic models
An Anatomy of Firms’ Political Speech Staff working paper 2024-37 Pablo Ottonello, Wenting Song, Sebastian Sotelo We study the distribution of political speech across U.S. firms. We develop a measure of political engagement based on firms’ communications (earning calls, regulatory filings, and social media) by training a large language model to identify statements that contain political opinions. Using these data, we document five facts about firms’ political engagement. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D2, D22, D6, D63, G, G4, G41, L, L1, L11, L2, L20 Research Theme(s): Financial markets and funds management, Market structure
Cross-Border Bank Flows and Monetary Policy: Implications for Canada Staff working paper 2017-34 Ricardo Correa, Teodora Paligorova, Horacio Sapriza, Andrei Zlate Using the Bank for International Settlements (BIS) Locational Banking Statistics data on bilateral bank claims from 1995 to 2014, we analyze the impact of monetary policy on cross-border bank flows. We find that monetary policy in a source country is an important determinant of cross-border bank flows. Content Type(s): Staff research, Staff working papers JEL Code(s): F, F3, F34, F36, G, G0, G01 Research Theme(s): Financial system, Financial institutions and intermediation, Monetary policy, Monetary policy framework and transmission, Structural challenges, International trade, finance and competitiveness
Global Macro Risks in Currency Excess Returns Staff working paper 2016-32 Kimberly Berg, Nelson C. Mark We study a cross section of carry-trade-generated currency excess returns in terms of their exposure to global fundamental macroeconomic risk. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E2, E21, E4, E43, F, F3, F31, G, G1, G12 Research Theme(s): Financial markets and funds management, International markets and currencies, Market functioning, Models and tools, Economic models