Real-Time Nowcasting of Nominal GDP Under Structural Breaks Staff Working Paper 2014-39 William A. Barnett, Marcelle Chauvet, Danilo Leiva-Leon This paper provides a framework for the early assessment of current U.S. nominal GDP growth, which has been considered a potential new monetary policy target. The nowcasts are computed using the exact amount of information that policy-makers have available at the time predictions are made. However, real-time information arrives at different frequencies and asynchronously, which poses challenges of mixed frequencies, missing data and ragged edges. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices JEL Code(s): C, C3, C32, E, E2, E27, E3, E31, E32
The Mode is the Message: Using Predata as Exclusion Restrictions to Evaluate Survey Design Staff Working Paper 2017-43 Heng Chen, Geoffrey R. Dunbar, Rallye Shen Changes in survey mode (e.g., online, offline) may influence the values of survey responses, and may be particularly problematic when comparing repeated cross-sectional surveys. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C8
U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields Staff Working Paper 2024-12 Bingxin Ann Xing, Bruno Feunou, Morvan Nongni-Donfack, Rodrigo Sekkel Using two complementary approaches, we investigate the importance of U.S. macroeconomic news in driving low-frequency fluctuations in the term structure of interest rates in Canada, Sweden and the United Kingdom. We find that U.S. macroeconomic news is particularly important to explain changes in the expectation components of the nominal, real and break-even inflation rates of small open economies. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Econometric and statistical methods JEL Code(s): E, E4, E43, E44, E47, G, G1, G14
Has Exchange Rate Pass-Through Really Declined in Canada? Staff Working Paper 2005-29 Hafedh Bouakez, Nooman Rebei Several empirical studies suggest that exchange rate pass-through has declined in recent years in industrialized countries. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Exchange rates, Inflation and prices, International topics JEL Code(s): F, F3, F4
Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound Staff Working Paper 2012-21 Christiane Baumeister, Luca Benati We explore the macroeconomic effects of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a time-varying parameter structural VAR model. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Interest rates, Monetary policy framework, Monetary policy transmission JEL Code(s): C, C1, C11, C3, C32, E, E5, E52, E58
The Causal Impact of Migration on US Trade: Evidence from Political Refugees Staff Working Paper 2017-49 Walter Steingress Immigrants can increase international trade by shifting preferences towards the goods of their country of origin and by reducing bilateral transaction costs. Using geographical variation across U.S. states for the period 2008 to 2013, I estimate the respective causal impact of immigrants on U.S. exports and imports. Content Type(s): Staff research, Staff working papers Research Topic(s): International topics, Regional economic developments JEL Code(s): F, F1, F14, F2, F22, J, J6, J61
Computing Optimal Policy in a Timeless-Perspective: An Application to a Small-Open Economy Staff Working Paper 2007-32 Michel Juillard, Florian Pelgrin Since the contribution of Kydland and Prescott (1977), it is well known that the optimal Ramsey policy is time inconsistent. In a series of recent contributions, Woodford (2003) proposes a new methodology to circumvent this problem, namely the timeless perspective solution. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework JEL Code(s): C, C6, E, E5, E6
Managing Operational Risk in Payment, Clearing, and Settlement Systems Staff Working Paper 2003-2 Kim McPhail Awareness of operational risk has increased greatly in recent years, both at individual financial institutions and for payment, clearing, and settlement systems (PCSS). PCSS consist of networks of interconnected elements (i.e., central operators, participants, and settlement agents); operational problems at any one of the key elements have the potential to disrupt the system as a whole and negatively affect financial stability. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Payment clearing and settlement systems JEL Code(s): E, E4, E44, G, G2, G21
Windfall Income Shocks with Finite Planning Horizons Staff Working Paper 2022-40 Michael Boutros How do households respond when they receive unanticipated income, such as an inheritance or government stimulus cheque? This paper studies these windfall income shocks through a model of household behaviour that generates a realistic consumption response for households along the entire distribution of wealth. Content Type(s): Staff research, Staff working papers Research Topic(s): Domestic demand and components, Economic models, Fiscal policy JEL Code(s): D, D9, D91, E, E2, E21, G, G5, G51
Productivity, the Terms of Trade, and the Real Exchange Rate: The Balassa-Samuelson Hypothesis Revisited Staff Working Paper 2009-22 Ehsan U. Choudhri, Lawrence L. Schembri The paper examines how the Balassa-Samuelson hypothesis is affected by a modern variation of the standard model that allows product differentiation (within the traded and nontraded goods sectors) with the number of firms determined exogenously or endogenously. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Productivity JEL Code(s): F, F3, F31, F4, F41