Quantile VARs and Macroeconomic Risk Forecasting Staff Working Paper 2025-4 Stéphane Surprenant This paper provides an extensive evaluation of the performance of quantile vector autoregression (QVAR) to forecast macroeconomic risk. Generally, QVAR outperforms standard benchmark models. Moreover, QVAR and QVAR augmented with factors perform equally well. Both are adequate for modeling macroeconomic risks. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles JEL Code(s): C, C5, C53, C55, E, E3, E37
December 14, 2009 Towards a Stress-Testing Model Consistent with the Macroprudential Approach Financial System Review - December 2009 Céline Gauthier, Alfred Lehar, Moez Souissi Content Type(s): Publications, Financial System Review articles
Do Sunspots Matter? Evidence from an Experimental Study of Bank Runs Staff Working Paper 2014-12 Jasmina Arifovic, Janet Hua Jiang A "sunspot" is a variable that has no direct impact on the economy’s fundamental condition, such as preferences, endowments or technologies, but may nonetheless affect economic outcomes through the expectations channel as a coordination device. This paper investigates how people react to sunspots in the context of a bank-run game in a controlled laboratory environment. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial stability JEL Code(s): C, C9, C91, C92, D, D8, D80, E, E5, E58, G, G2, G20
Non-Linearities, Model Uncertainty, and Macro Stress Testing Staff Working Paper 2008-30 Miroslav Misina, David Tessier A distinguishing feature of macro stress testing exercises is the use of macroeconomic models in scenario design and implementation. It is widely agreed that scenarios should be based on "rare but plausible" events that have either resulted in vulnerabilities in the past or could do so in the future. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability JEL Code(s): C, C1, C15, G, G2, G21, G3, G33
International Business Cycles and Financial Frictions Staff Working Paper 2012-19 Wen Yao This paper builds a two-country DSGE model to study the quantitative impact of financial frictions on business cycle co-movements when investors have foreign asset exposure. The investor in each country holds capital in both countries and faces a leverage constraint on her debt. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, International financial markets, International topics JEL Code(s): E, E3, E30, F, F4, F42, F44
Banks’ Financial Distress, Lending Supply and Consumption Expenditure Staff Working Paper 2014-7 H. Evren Damar, Reint Gropp, Adi Mordel The paper employs a unique identification strategy that links survey data on household consumption expenditure to bank-level data in order to estimate the effects of bank financial distress on consumer credit and consumption expenditures. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Domestic demand and components, Financial institutions JEL Code(s): E, E2, E21, E4, E44, G, G0, G01, G2, G21
The Quantity of Money and Monetary Policy Staff Working Paper 1999-5 David Laidler The relationships among the quantity theory of money, monetarism and policy regimes based on money-growth and inflation targeting are briefly discussed as a prelude to an exposition of alternative views of money's role in the transmission mechanism of monetary policy. The passive-money view treats the money supply as an endogenous variable that plays no role […] Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary aggregates, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E5, E51, E52
Evaluating the Effects of Forward Guidance and Large-scale Asset Purchases Staff Working Paper 2021-54 Xu Zhang I propose a novel method to identify and estimate the macroeconomic effects of forward guidance and large-scale asset purchases (LSAP) for each FOMC announcement. I find that LSAP is more important than forward guidance in influencing output and inflation. LSAP puts upward pressure on short-term yields, so it should always be used in conjunction with forward guidance. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Interest rates JEL Code(s): E, E5, G, G0
Dismiss the Gap? A Real-Time Assessment of the Usefulness of Canadian Output Gaps in Forecasting Inflation Staff Working Paper 2018-10 Lise Pichette, Marie-Noëlle Robitaille, Mohanad Salameh, Pierre St-Amant We use a new real-time database for Canada to study various output gap measures. This includes recently developed measures based on models incorporating many variables as inputs (and therefore requiring real-time data for many variables). Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices, Potential output JEL Code(s): C, C5, C53, E, E3, E37
National Saving–Investment Dynamics and International Capital Mobility Staff Working Paper 2004-14 Florian Pelgrin, Sebastian Schich The authors analyze the dynamics of national saving–investment relationships to determine the degree of international capital mobility. Content Type(s): Staff research, Staff working papers Research Topic(s): International topics JEL Code(s): C, C2, C23, F, F3, F31