Staff working papers

• An Assessment of the Bank of Canada's Term PRA Facility

  Staff Working Paper 2010-20 Emanuella Enenajor, Alex Sebastian, Jonathan Witmer

  This paper empirically assesses the effectiveness of the Bank of Canada's term Purchase and Resale Agreement (PRA) facility in reducing short-term bank funding pressures, as measured by the CDOR-OIS spread.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Financial stability JEL Code(s): E, E5, E58, G, G1, G12, G18

• A Model of Housing Stock for Canada

  Staff Working Paper 2010-19 David Dupuis, Yi Zheng

  Using an error-correction model (ECM) framework, the authors attempt to quantify the degree of disequilibrium in Canadian housing stock over the period 1961–2008 for the national aggregate and over 1981–2008 for the provinces.

  Content Type(s): Staff research, Staff working papers Topic(s): Domestic demand and components JEL Code(s): E, E2, E21, J, J0, J00

• Exchange Rate Fluctuations, Plant Turnover and Productivity

  Staff Working Paper 2010-18 Ben Tomlin

  In a small open economy fluctuations in the real exchange rate can affect plant turnover, and thus aggregate productivity, by altering the makeup of plants that populate the market. An appreciation of the local currency increases the level of competition in the domestic market as import competition intensifies and export opportunities shrink, forcing less productive plants from the market and compelling new entrants to be more competitive than they otherwise would have been.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Market structure and pricing, Productivity JEL Code(s): D, D2, D21, D24, L, L1, L11

• The Transmission of Shocks to the Chinese Economy in a Global Context: A Model-Based Approach

  Staff Working Paper 2010-17 Jeannine Bailliu, Patrick Blagrave

  To better understand the dynamics of the Chinese economy and its interaction with the global economy, the authors incorporate China into an existing model for the G-3 economies (i.e., the United States, the euro area, and Japan), paying particular attention to modelling the exchange rate and monetary policy in China.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, Exchange rate regimes, International topics JEL Code(s): E, E3, E32, E5, E52, F, F4, F41

• The Role of Expenditure Switching in the Global Imbalance Adjustment

  Staff Working Paper 2010-16 Wei Dong

  In theory, nominal exchange rate movements can lead to “expenditure switching” when they generate changes in the relative prices of goods across countries. This paper explores whether the expenditure-switching role of exchange rates has changed in the current episode of significant global imbalances.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, International topics JEL Code(s): F, F3, F4

• Inflation and Unemployment in Competitive Search Equilibrium

  Staff Working Paper 2010-15 Mei Dong

  Using a monetary search model, Rocheteau, Rupert and Wright (2007) show that the relationship between inflation and unemployment can be positive or negative depending on the primitives of the model. The key features are indivisible labor, nonseparable preferences and bargaining.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation: costs and benefits JEL Code(s): E, E1, E12, E13, E4, E40, E5, E52

• International Capital Flows and Bond Risk Premia

  Staff Working Paper 2010-14 Jesus Sierra

  This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): C, C2, C22, F, F3, F31, F32, F34, G, G1, G11, G12, G15

• Estimating the Structure of the Payment Network in the LVTS: An Application of Estimating Communities in Network Data

  Staff Working Paper 2010-13 James Chapman, Nellie Zhang

  In the Canadian large value payment system an important goal is to understand how liquidity is transferred through the system and hence how efficient the system is in settling payments. Understanding the structure of the underlying network of relationships between participants in the payment system is a crucial step in achieving the goal.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Payment clearing and settlement systems JEL Code(s): C, C1, C11, D, D8, D85, G, G2, G20

• Financial Stress, Monetary Policy, and Economic Activity

  Staff Working Paper 2010-12 Fuchun Li, Pierre St-Amant

  This paper examines empirically the impact of financial stress on the transmission of monetary policy shocks in Canada. The model used is a threshold vector autoregression in which a regime change occurs if financial stress conditions cross a critical threshold.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Monetary policy and uncertainty JEL Code(s): C, C0, C01, E, E5, E50, G, G0, G01

• Idiosyncratic Coskewness and Equity Return Anomalies

  Staff Working Paper 2010-11 Fousseni Chabi-Yo, Jun Yang

  In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial markets JEL Code(s): G, G1, G11, G12, G14, G3, G33