Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market? Staff Working Paper 2007-23 Ingrid Lo, Stephen Sapp Dealers trading in a limit order market must choose both the order aggressiveness and the quantity for their orders. We empirically investigate how dealers jointly make these decisions in the foreign exchange market using a unique simultaneous equations model. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial markets JEL Code(s): G, G1, G14
Estimates of the Sticky-Information Phillips Curve for the United States, Canada, and the United Kingdom Staff Working Paper 2002-19 Hashmat Khan, Zhenhua Zhu Mankiw and Reis (2001a) have proposed a "sticky-information"-based Phillips curve (SIPC) to address some of the concerns with the "sticky-price"-based new Keynesian Phillips curve. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Inflation and prices JEL Code(s): E, E3, E31
Productive Misallocation and International Transmission of Credit Shocks Staff Working Paper 2015-19 Yuko Imura, Julia Thomas We develop an asymmetric, two-country equilibrium business cycle model to study the role of international trade in transmitting and propagating the real effects of global financial shocks. Our model predicts that a recession in a large economy considerably alters a recession in its smaller trade partner, with distinct investment dynamics driving the transmission. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Financial markets, Financial stability, International topics JEL Code(s): E, E2, E22, E3, E32, E4, E44, F, F4, F41, F44
Tractable Term Structure Models Staff Working Paper 2015-46 Bruno Feunou, Jean-Sébastien Fontaine, Anh Le, Christian Lundblad We introduce a new framework that facilitates term structure modeling with both positive interest rates and flexible time-series dynamics but that is also tractable, meaning amenable to quick and robust estimation. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Interest rates, International financial markets, International topics, Monetary policy and uncertainty, Monetary policy transmission JEL Code(s): G, G1, G12
Technological Progress and Monetary Policy: Managing the Fourth Industrial Revolution Staff Discussion Paper 2019-11 Stephen S. Poloz This paper looks at the implications for monetary policy of the widespread adoption of artificial intelligence and machine learning, which is sometimes called the “fourth industrial revolution.” Content Type(s): Staff research, Staff discussion papers Research Topic(s): Economic models, Financial stability, Monetary policy and uncertainty, Monetary policy framework JEL Code(s): C, C5, E, E3, O, O1, O11, O3, O33
A Note on Central Counterparties in Repo Markets Staff Discussion Paper 2012-4 Hajime Tomura The author introduces a central counterparty (CCP) into a model of a repo market. Without the CCP, there exist multiple equilibria in the model. In one of the equilibria, a repo market emerges as bond dealers and cash investors choose to arrange repos in an over-the-counter bond market. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial markets, Financial stability, Payment clearing and settlement systems JEL Code(s): G, G2, G24
Evaluating the Bank of Canada Staff Economic Projections Using a New Database of Real-Time Data and Forecasts Staff Working Paper 2018-52 Julien Champagne, Guillaume Poulin-Bellisle, Rodrigo Sekkel We present a novel database of real-time data and forecasts from the Bank of Canada’s staff economic projections. We then provide a forecast evaluation for GDP growth and CPI inflation since 1982: we compare the staff forecasts with those from commonly used time-series models estimated with real-time data and with forecasts from other professional forecasters and provide standard bias tests. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Economic models, Inflation targets, Monetary policy JEL Code(s): C, C3, C32, E, E1, E17, E3, E37
Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns Staff Working Paper 2006-31 Antonio Diez de los Rios, René Garcia Several studies have put forward the non-linear structure and option-like features of returns associated with hedge fund strategies. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial institutions JEL Code(s): C, C1, C5, G, G1
Assessing global potential output growth and the US neutral rate: April 2021 Staff Analytical Note 2021-5 Thomas J. Carter, Xin Scott Chen, Ali Jaffery, Christopher Hajzler, Jonathan Lachaine, Peter Shannon, Subrata Sarker, Graeme Westwood, Beiling Yan We expect global potential output growth to rise to 3 percent by 2022. Relative to the last assessment in October 2020, potential output growth has been revised up across all the regions. The range of the US neutral rate remains unchanged relative to the autumn 2020 assessment. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Interest rates, Monetary policy, Potential output, Productivity JEL Code(s): E, E1, E2, E4, E5, F, F0, O, O4
Seeking Safety Staff Working Paper 2018-41 Toni Ahnert, Enrico Perotti The scale of safe assets suggests a structural demand for a safe wealth share beyond transaction and liquidity roles. We study how investors achieve a reference wealth level by combining self-insurance and contingent liquidation of investment. Intermediaries improve upon autarky, insuring investors with poor self-insurance and limiting liquidation. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions JEL Code(s): G, G2