Firm Inattention and the Efficacy of Monetary Policy: A Text-Based Approach Staff working paper 2022-3 Wenting Song, Samuel Stern How much attention do firms pay to macroeconomic news? Through a novel text-based measure, two facts emerge. First, attention is polarized. Most firms either never or always pay attention to economic conditions. Second, it is countercyclical. During recessions, more firms pay attention, and firms pay greater attention to macroeconomic news. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D8, D83, E, E4, E44, E5, E52 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission
Adoption of a New Payment Method: Theory and Experimental Evidence Staff working paper 2017-28 Jasmina Arifovic, John Duffy, Janet Hua Jiang We model the introduction of a new payment method, e.g., e-money, that competes with an existing payment method, e.g., cash. The new payment method involves relatively lower per-transaction costs for both buyers and sellers, but sellers must pay a fixed fee to accept the new payment method. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C35, C8, C83, C9, C92, E, E4, E41 Research Theme(s): Money and payments, Digital assets and fintech, Payment and financial market infrastructures, Retail payments
Understanding Monetary Policy and its Effects: Evidence from Canadian Firms Using the Business Outlook Survey Staff working paper 2017-24 Matthieu Verstraete, Lena Suchanek This paper shows (i) that business sentiment, as captured by survey data, matters for monetary policy decisions in Canada, and (ii) how business perspectives are affected by monetary policy shocks. Measures of business sentiment (soft data) are shown to have systematic explanatory power for monetary policy decisions over and above typical Taylor rule variables. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D2, D22, E, E4, E44, E5, E52 Research Theme(s): Monetary policy, Monetary policy framework and transmission, Monetary policy tools and implementation, Real economy and forecasting
Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models Staff working paper 2017-55 Bruno Feunou, Cédric Okou This paper provides a novel methodology for estimating option pricing models based on risk-neutral moments. We synthesize the distribution extracted from a panel of option prices and exploit linear relationships between risk-neutral cumulants and latent factors within the continuous time affine stochastic volatility framework. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G12 Research Theme(s): Financial markets and funds management, Market functioning, Market structure, Models and tools, Econometric, statistical and computational methods
December 14, 2009 Liquidity Standards in a Macroprudential Context Financial System Review - December 2009 Carol Ann Northcott, Mark Zelmer Content Type(s): Publications, Financial System Review articles
Let’s Get Physical: Impacts of Climate Change Physical Risks on Provincial Employment Staff working paper 2024-32 Thibaut Duprey, Soojin Jo, Geneviève Vallée We analyze 40 years’ worth of natural disasters using a local projection framework to assess their impact on provincial labour markets in Canada. We find that disasters decrease hours worked within a week and lower wage growth in the medium run. Our study highlights that disasters affect vulnerable workers through the income channel. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C33, E, E2, E24, J, J3, Q, Q5, Q54 Research Theme(s): Monetary policy, Real economy and forecasting, Structural challenges, Climate change, Demographics and labour supply
Sources of pandemic-era inflation in Canada: An application of the Bernanke and Blanchard model Staff analytical note 2024-13 Fares Bounajm, Jean Garry Junior Roc, Yang Zhang We explore the drivers of the surge in inflation in Canada during the COVID-19 pandemic. This work is part of a joint effort by 11 central banks using the model developed by Bernanke and Blanchard (2023) to identify similarities and differences across economies. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E2, E24, E3, E31, E37, E5, E52, E6 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
February 8, 2016 Monetary Policy and Financial Stability—Looking for the Right Tools Remarks Timothy Lane HEC Montréal Montréal, Quebec Deputy Governor Tim Lane discusses the links between monetary policy and financial stability. Content Type(s): Press, Speeches and appearances, Remarks Subject(s): Financial system, Financial stability, Monetary policy, Economic models, Inflation, Inflation targeting framework
Monetary Policy Uncertainty: A Tale of Two Tails Staff working paper 2018-50 Tatjana Dahlhaus, Tatevik Sekhposyan We document a strong asymmetry in the evolution of federal funds rate expectations and map this observed asymmetry into measures of monetary policy uncertainty. We show that periods of monetary policy tightening and easing are distinctly related to downside (policy rate is higher than expected) and upside (policy rate is lower than expected) uncertainty. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C18, C3, C32, E, E0, E02, E4, E43, E5, E52 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Monetary policy framework and transmission, Monetary policy tools and implementation, Real economy and forecasting
Home Equity Extraction and the Boom-Bust Cycle in Consumption and Residential Investment Staff working paper 2018-6 Xiaoqing Zhou The consumption boom-bust cycle in the 2000s coincided with large fluctuations in the volume of home equity borrowing. Contrary to conventional wisdom, I show that homeowners largely borrowed for residential investment and not consumption. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D1, E, E2, E3 Research Theme(s): Financial system, Household and business credit, Models and tools, Economic models, Monetary policy, Real economy and forecasting