September 14, 2010 Bundesbank Lecture 2010: The Economic Consequences of the Reforms Remarks Mark Carney Deutsche Bundesbank Berlin, Germany Keynes wrote prophetically of the economic consequences of the Treaty of Versailles. Could the same be said of current financial reforms? Are policy-makers taking for granted the essential role performed by finance in a vain pursuit of its risk-proofing? Content Type(s): Press, Speeches and appearances, Remarks
Machine learning for economics research: when, what and how Staff analytical note 2023-16 Ajit Desai This article reviews selected papers that use machine learning for economics research and policy analysis. Our review highlights when machine learning is used in economics, the commonly preferred models and how those models are used. Content Type(s): Staff research, Staff analytical notes JEL Code(s): A, A1, A10, B, B2, B23, C, C4, C45, C5, C55 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Structural challenges, Digitalization and productivity
Chinese Monetary Policy and Text Analytics: Connecting Words and Deeds Staff working paper 2021-3 Jeannine Bailliu, Xinfen Han, Barbara Sadaba, Mark Kruger What are the main drivers behind the monetary policy reaction function of the People’s Bank of China? Content Type(s): Staff research, Staff working papers JEL Code(s): C, C6, C63, E, E5, E52, E58 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Monetary policy framework and transmission
Optimal Conventional and Unconventional Monetary Policy Mix Staff working paper 2026-18 Sami Alpanda, Serdar Kabaca, Kostas Mavromatis We show that in a heterogeneous economy, optimal policy after cost-push shocks raises short-term rates to curb inflation while lowering long-term rates to support indebted households, speeding investment and output recovery while increasing consumption inequality. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E40, E43, E5, E52 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission, Monetary policy tools and implementation
The Evolution of Unobserved Skill Returns in the U.S.: A New Approach Using Panel Data Staff working paper 2017-61 Lance Lochner, Youngmin Park, Youngki Shin Economists disagree about the factors driving the substantial increase in residual wage inequality in the United States over the past few decades. To identify changes in the returns to unobserved skills, we make a novel assumption about the dynamics of skills (especially among older workers) rather than about the stability of skill distributions across cohorts, as is standard. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C2, C23, J, J2, J24, J3, J31 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting, Structural challenges, Demographics and labour supply
Forecasting Recessions in Canada: An Autoregressive Probit Model Approach Staff working paper 2024-10 Antoine Poulin-Moore, Kerem Tuzcuoglu We forecast recessions in Canada using an autoregressive (AR) probit model. The results highlight the short-term predictive power of the US economic activity and suggest that financial indicators are reliable predictors of Canadian recessions. In addition, the suggested model meaningfully improves the ability to forecast Canadian recessions, relative to a variety of probit models proposed in the Canadian literature. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C51, C53, E, E3, E32 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
Quantitative Easing in a Small Open Economy: An International Portfolio Balancing Approach Staff working paper 2016-55 Serdar Kabaca This paper studies the effects of quantitative easing (QE) in a small open economy dynamic stochastic general-equilibrium model with international portfolio balancing. Portfolios are classified as imperfectly substitutable short-term and long-term subportfolios, each including domestic and foreign bonds. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E5, E52, F, F4, F41 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy tools and implementation, Structural challenges, International trade, finance and competitiveness
Tail Risk in a Retail Payment System: An Extreme-Value Approach Staff discussion paper 2018-2 Héctor Pérez Saiz, Blair Williams, Gabriel Xerri The increasing importance of risk management in payment systems has led to the development of an array of sophisticated tools designed to mitigate tail risk in these systems. In this paper, we use extreme value theory methods to quantify the level of tail risk in the Canadian retail payment system (ACSS) for the period from 2002 to 2015. Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C5, C58, G, G2, G21, G23 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods, Money and payments, Payment and financial market infrastructures
March 17, 2025 Bank of Canada announces planned changes to its Contingent Term Repo Facility The Bank of Canada is announcing changes to the eligibility criteria and review process for applications for its Contingent Term Repo Facility (CTRF). Content Type(s): Press, Market notices Source(s): Contingent Term Repo Facility
Variance Premium, Downside Risk and Expected Stock Returns Staff working paper 2017-58 Bruno Feunou, Ricardo Lopez Aliouchkin, Roméo Tedongap, Lai Xi We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large cross-section of firms. 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, Financial system, Financial institutions and intermediation