The New Benchmark for Forecasts of the Real Price of Crude Oil Staff Working Paper 2020-39 Amor Aniss Benmoussa, Reinhard Ellwanger, Stephen Snudden How can we assess the quality of a forecast? We propose a new benchmark to evaluate forecasts of temporally aggregated series and show that the real price of oil is more difficult to predict than we thought. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C1, C5, C53, Q, Q4, Q47
Real-Time Forecasts of the Real Price of Oil Staff Working Paper 2011-16 Christiane Baumeister, Lutz Kilian We construct a monthly real-time data set consisting of vintages for 1991.1-2010.12 that is suitable for generating forecasts of the real price of oil from a variety of models. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, E, E3, E32, Q, Q4, Q43
The Political Impact of Immigration: Evidence from the United States Staff Working Paper 2018-19 Anna Maria Mayda, Giovanni Peri, Walter Steingress In this paper we study the impact of immigration to the United States on the vote for the Republican Party by analyzing county-level data on election outcomes between 1990 and 2010. Our main contribution is to separate the effect of high-skilled and low-skilled immigrants, by exploiting the different geography and timing of the inflows of these two groups of immigrants. Content Type(s): Staff research, Staff working papers Research Topic(s): International topics, Labour markets JEL Code(s): F, F2, F22, J, J6, J61
Unpacking Moving: A Quantitative Spatial Equilibrium Model with Wealth Staff Working Paper 2023-34 Elisa Giannone, Qi Li, Nuno Paixão, Xinle Pang We propose a model to understand low observed migration rates by considering the interaction between location and wealth decisions. We look at different policies and find that temporary moving vouchers only slightly increase welfare, while lower housing regulations can decrease the welfare gap by lowering house prices nationwide. Content Type(s): Staff research, Staff working papers Research Topic(s): Housing, Regional economic developments JEL Code(s): G, G5, G51, R, R1, R12, R13, R2, R3, R31, R5, R52
Global Factors and Inflation in Canada Staff Analytical Note 2017-17 Dany Brouillette, Laurence Savoie-Chabot This note investigates whether the recent weakness in inflation in Canada can be related to global factors not included in the current staff analytical framework (domestic slack, movements in commodity prices and in the exchange rate). A global common factor for inflation among selected advanced economies appears to contain marginal information for Canadian inflation beyond what is found in movements in commodity prices and the exchange rate. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Inflation and prices, Recent economic and financial developments JEL Code(s): E, E3, E31
A Wake-Up-Call Theory of Contagion Staff Working Paper 2015-14 Christoph Bertsch, Toni Ahnert We propose a novel theory of financial contagion. We study global coordination games of regime change in two regions with an initially uncertain correlation of regional fundamentals. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial stability, International financial markets JEL Code(s): D, D8, D82, F, F3, G, G0, G01
Do Mechanical Filters Provide a Good Approximation of Business Cycles? Technical Report No. 78 Alain Guay, Pierre St-Amant In this paper, the authors examine how well the Hodrick-Prescott filter (HP) and the band-pass filter recently proposed by Baxter and King (BK) extract the business-cycle component of macroeconomic time series. Content Type(s): Staff research, Technical reports Research Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, E, E3, E32
Borrow Now, Pay Even Later: A Quantitative Analysis of Student Debt Payment Plans Staff Working Paper 2023-54 Michael Boutros, Nuno Clara, Francisco Gomes We investigate alternative student debt contracts that defer payments and ease the burden of student loans on US households by preserving disposable income early in borrowers’ lives. Our model shows substantial welfare gains from these contracts relative to existing plans and gains similar to the Biden administration's proposals but with a significantly lower cost. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Economic models, Financial markets, Labour markets, Market structure and pricing JEL Code(s): E, E2, G, G5, H, H3
Cyclicality of Schooling: New Evidence from Unobserved Components Models Staff Working Paper 2020-38 Barbara Sadaba, Sunčica Vujič, Sofia Maier What is the time-varying impact of economic cycles on decisions to invest in human capital? Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, I, I2, J, J2
Public and Private Money Creation for Distributed Ledgers: Stablecoins, Tokenized Deposits, or Central Bank Digital Currencies? Staff Working Paper 2024-35 Jonathan Chiu, Cyril Monnet This paper explores the implications of introducing digital public and private monies (e.g. tokenized central bank digital currency [CBDC] or tokenized deposits) for stablecoins and illicit crypto transactions. Content Type(s): Staff research, Staff working papers Research Topic(s): Digital currencies and fintech, Financial stability, Monetary policy JEL Code(s): E, E5, E50, E58