Inventories, Markups, and Real Rigidities in Menu Cost Models Staff Working Paper 2009-6 Oleksiy Kryvtsov, Virgiliu Midrigan Real rigidities that limit the responsiveness of real marginal cost to output are a key ingredient of sticky price models necessary to account for the dynamics of output and inflation. We argue here, in the spirit of Bils and Kahn (2000), that the behavior of marginal cost over the cycle is directly related to that of inventories, data on which is readily available. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Monetary policy transmission JEL Code(s): E, E3, E31, F, F1, F12
Some Notes on Monetary Policy Rules with Uncertainty Staff Working Paper 2003-16 Gabriel Srour The author explores the role that Taylor-type rules can play in monetary policy, given the degree of uncertainty in the economy. The optimal rule is derived from a simple infinite-horizon model of the monetary transmission mechanism, with only additive uncertainty. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy and uncertainty JEL Code(s): E, E5, E52
What Can Stockouts Tell Us About Inflation? Evidence from Online Micro Data Staff Working Paper 2021-52 Alberto Cavallo, Oleksiy Kryvtsov Did supply disruptions and cost pressures play a role in rising inflation in 2020 during the COVID-19 pandemic? Using data collected from websites of large retailers in multiple sectors and countries, we show that shortages may indicate transitory inflationary pressures. Content Type(s): Staff research, Staff working papers Research Topic(s): Coronavirus disease (COVID-19), Inflation and prices JEL Code(s): D, D2, D22, E, E3, E31, E37
Technology Shocks and Business Cycles: The Role of Processing Stages and Nominal Rigidities Staff Working Paper 2007-7 Louis Phaneuf, Nooman Rebei This paper develops and estimates a dynamic general equilibrium model that realistically accounts for an input-output linkage between firms operating at different stages of processing. Firms face technological change which is specific to their processing stage and charge new prices according to stage-specific Calvo-probabilities. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E3, E32
Guarding Against Large Policy Errors under Model Uncertainty Staff Working Paper 2006-13 Gino Cateau How can policy-makers avoid large policy errors when they are uncertain about the true model of the economy? Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy and uncertainty JEL Code(s): D, D8, D81, E, E5, E58
Covariates Hiding in the Tails Staff Working Paper 2021-45 Milian Bachem, Lerby Ergun, Casper G. de Vries We characterize the bias in cross-sectional Hill estimates caused by common underlying factors and propose two simple-to-implement remedies. To test for the presence, direction and size of the bias, we use monthly US stock returns and annual US Census county population data. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C0, C01, C1, C14, C5, C58
Credit Crunches from Occasionally Binding Bank Borrowing Constraints Staff Working Paper 2017-57 Tom D. Holden, Paul Levine, Jonathan Swarbrick We present a model in which banks and other financial intermediaries face both occasionally binding borrowing constraints and costs of equity issuance. Near the steady state, these intermediaries can raise equity finance at no cost through retained earnings. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial markets JEL Code(s): E, E2, E22, E3, E32, E5, E51, G, G2
Bond Risk Premia and Gaussian Term Structure Models Staff Working Paper 2014-13 Bruno Feunou, Jean-Sébastien Fontaine Cochrane and Piazzesi (2005) show that (i) lagged forward rates improve the predictability of annual bond returns, adding to current forward rates, and that (ii) a Markovian model for monthly forward rates cannot generate the pattern of predictability in annual returns. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Interest rates JEL Code(s): E, E4, E43, E47, G, G1, G12
Stressed but not Helpless: Strategic Behaviour of Banks Under Adverse Market Conditions Staff Working Paper 2021-35 Grzegorz Halaj, Sofia Priazhkina Our stress-testing tool considers banks under stress that can strategically manage their balance sheets. Using confidential Canadian supervisory data, we assess whether bank behaviour to maximize shareholder value can amplify a hypothetical stress scenario. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Economic models, Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): C, C6, C63, C7, C72, G, G2, G21
Aggregate and Welfare Effects of Redistribution of Wealth Under Inflation and Price-Level Targeting Staff Working Paper 2008-31 Césaire Meh, José-Víctor Ríos-Rull, Yaz Terajima Since the work of Doepke and Schneider (2006a) and Meh and Terajima (2008), we know that inflation causes major redistribution of wealth – between households and the government, between nationals and foreigners, and between households within the same country. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Inflation and prices, Inflation targets, Inflation: costs and benefits, Monetary policy framework, Sectoral balance sheet JEL Code(s): D, D3, D31, E, E2, E21, E3, E31, E4, E44, E5, E52, E6, E63