McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates Staff Working Paper 2008-43 Antonio Diez de los Rios McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Interest rates, Monetary policy transmission JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15
The Canadian Debt-Strategy Model: An Overview of the Principal Elements Staff Discussion Paper 2011-3 David Bolder, Simon Deeley The Canadian Debt Strategy Model helps debt managers determine their optimal financing strategy. The model’s code and documentation are available to the public. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Debt management, Econometric and statistical methods, Financial markets, Fiscal policy JEL Code(s): C, C0, G, G1, G11, G17, H, H6, H63
Online Privacy and Information Disclosure by Consumers Staff Working Paper 2019-22 Shota Ichihashi A consumer discloses information to a multi-product seller, which learns about the consumer’s preferences, sets prices, and makes product recommendations. While the consumer benefits from accurate product recommendations, the seller may use the information to price discriminate. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models JEL Code(s): D, D8, D82, D83
Some Economics of Private Digital Currency Staff Working Paper 2013-38 Joshua S. Gans, Hanna Halaburda This paper reviews some recent developments in digital currency, focusing on platform-sponsored currencies such as Facebook Credits. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Economic models, Payment clearing and settlement systems JEL Code(s): D, D4, D42, E, E4, L, L5, L51
Privacy-Enhancing Technologies for CBDC Solutions Staff Discussion Paper 2025-1 Rakesh Arora, Han Du, Raza Ali Kazmi, Duc-Phong Le Privacy-enhancing technologies (PETs) could offer solutions to safeguard end-user privacy and meet rigorous data protection standards for central bank digital currencies. We consider how PETs can transform privacy design in financial systems and the implications of their broader adoption. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Central bank research, Digital currencies and fintech, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): E, E4, E42, O, O3, O31
Optimal Monetary Policy and Price Stability Over the Long-Run Staff Working Paper 2007-26 Oleksiy Kryvtsov, Malik Shukayev, Alexander Ueberfeldt This paper examines the role of monetary policy in an environment with aggregate risk and incomplete markets. In a two-period overlapping-generations model with aggregate uncertainty and nominal bonds, optimal monetary policy attains the ex-ante Pareto optimal allocation. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework JEL Code(s): E, E5
Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model Staff Working Paper 1999-19 John Knight, Fuchun Li, Mingwei Yuan Diffusion functions in term-structure models are measures of uncertainty about future price movements and are directly related to the risk associated with holding financial securities. Correct specification of diffusion functions is crucial in pricing options and other derivative securities. In contrast to the standard parametric two-factor models, we propose a non-parametric two-factor term-structure model that […] Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C1, C14, C2, C22, G, G1, G13
Predicting Payment Migration in Canada Staff Working Paper 2020-37 Anneke Kosse, Zhentong Lu, Gabriel Xerri Developments are underway to replace Canada’s two core payment systems with three new systems. We use a discrete choice model to predict migration patterns of end-users and financial institutions for future systems and discuss their policy implications. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial services, Financial stability, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): C, C3, E, E4, E42, G, G1, G2, G28
Opaque Assets and Rollover Risk Staff Working Paper 2016-17 Benjamin Nelson, Toni Ahnert We model the asset-opacity choice of an intermediary subject to rollover risk in wholesale funding markets. Greater opacity means investors form more dispersed beliefs about an intermediary’s profitability. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability JEL Code(s): G, G0, G01, G2
Fooled by Search: Housing Prices, Turnover and Bubbles Staff Working Paper 2012-3 Brian Peterson his paper develops and estimates a model to explain the behaviour of house prices in the United States. The main finding is that over 70% of the increase in house prices relative to trend during the increase of house prices in the United States from 1995 to 2006 can be explained by a pricing mechanism where market participants are ‘Fooled by Search.’ Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Business fluctuations and cycles JEL Code(s): E, E3, R, R2, R21