Staff working papers

• 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 Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C5, C51, C53, E, E3, E32

• CBDC: Banking and Anonymity

  Staff Working Paper 2024-9 Yuteng Cheng, Ryuichiro Izumi

  We examine the optimal amount of user anonymity in a central bank digital currency in the context of bank lending. Anonymity, defined as the lender’s inability to discern an entrepreneur’s actions that enable fund diversion, influences the choice of payment instrument due to its impact on a bank’s lending decisions.

  Content Type(s): Staff research, Staff working papers Topic(s): Digital currencies and fintech JEL Code(s): E, E4, E42, E5, E58, G, G2, G28

• Monetary Policy Transmission Through Shadow and Traditional Banks

  Staff Working Paper 2024-8 Amina Enkhbold

  I investigate how monetary policy transmits to mortgage rates via the mortgage market concentration channel for both traditional and shadow banks in the United States from 2009 to 2019. On average, shadow and traditional banks exhibit only a slight disparity in transmitting monetary shocks to mortgage rates.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Interest rates, Monetary policy transmission JEL Code(s): E, E4, E44, E5, E52, G, G2, G21

• Regulation, Emissions and Productivity: Evidence from China’s Eleventh Five-Year Plan

  Staff Working Paper 2024-7 Brantly Callaway, Tong Li, Joel Rodrigue, Yuya Sasaki, Yong Tan

  We study the degree to which China’s 11th Five-Year Plan softens trade-offs between emissions and output. Our model suggests efficient regulation could have further increased aggregate productivity by 3.5% and output by 4.7% without any increase in aggregate emissions.

  Content Type(s): Staff research, Staff working papers Topic(s): Climate change, Productivity JEL Code(s): C, C2, C21, D, D2, D24, Q, Q5, Q53

• Decomposing Large Banks’ Systemic Trading Losses

  Staff Working Paper 2024-6 Radoslav Raykov

  Do banks realize simultaneous trading losses because they invest in the same assets, or because different assets are subject to the same macro shocks? This paper decomposes the comovements of bank trading losses into two orthogonal channels: portfolio overlap and common shocks.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability JEL Code(s): G, G1, G10, G11, G2, G20