Staff working papers

• Inflation and Growth: A New Keynesian Perspective

  Staff Working Paper 2012-23 Robert Amano, Thomas J. Carter, Kevin Moran

  The long-run relation between growth and inflation has not yet been studied in the context of nominal price and wage rigidities, despite the fact that these rigidities now figure prominently in workhorse macroeconomic models.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation: costs and benefits JEL Code(s): E, E3, E31, E5, E52, O, O3, O31, O4, O42

• The Ex-Ante Versus Ex-Post Effect of Public Guarantees

  Staff Working Paper 2012-22 H. Evren Damar, Reint Gropp, Adi Mordel

  In October 2006, Dominion Bond Rating Service (DBRS) introduced new ratings for banks that account for the potential of government support. The rating changes are not a reflection of any changes in the respective banks’ credit fundamentals.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G2, G21, G28, G3, G32

• Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound

  Staff Working Paper 2012-21 Christiane Baumeister, Luca Benati

  We explore the macroeconomic effects of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a time-varying parameter structural VAR model.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Interest rates, Monetary policy framework, Monetary policy transmission JEL Code(s): C, C1, C11, C3, C32, E, E5, E52, E58

• The Sensitivity of Producer Prices to Exchange Rates: Insights from Micro Data

  Staff Working Paper 2012-20 Shutao Cao, Wei Dong, Ben Tomlin

  This paper studies the sensitivity of Canadian producer prices to the Canada-U.S. exchange rate. Using a unique product-level price data set, we estimate and analyze the impact of movements in the exchange rate on both domestic and export producer prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Inflation and prices, Market structure and pricing JEL Code(s): E, E3, E30, F, F3, F31, F4, F41, L, L1, L11

• International Business Cycles and Financial Frictions

  Staff Working Paper 2012-19 Wen Yao

  This paper builds a two-country DSGE model to study the quantitative impact of financial frictions on business cycle co-movements when investors have foreign asset exposure. The investor in each country holds capital in both countries and faces a leverage constraint on her debt.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, International financial markets, International topics JEL Code(s): E, E3, E30, F, F4, F42, F44

• Consumer Bankruptcy and Information

  Staff Working Paper 2012-18 Jason Allen, H. Evren Damar, David Martinez-Miera

  We analyze the relationship between the intensity of banks’ use of soft-information and household bankruptcy patterns. Using a unique data set on the universe of Canadian household bankruptcies, we document that bankruptcy rates are higher in markets where the collection of soft, or qualitative locally gathered information, is the weakest.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial services JEL Code(s): D, D4, G, G2

• On the Existence and Fragility of Repo Markets

  Staff Working Paper 2012-17 Hajime Tomura

  This paper presents a model of an over-the-counter bond market in which bond dealers and cash investors arrange repurchase agreements (repos) endogenously.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Financial stability, Payment clearing and settlement systems JEL Code(s): G, G2, G24

• Commodities and Monetary Policy: Implications for Inflation and Price Level Targeting

  Staff Working Paper 2012-16 Donald Coletti, René Lalonde, Paul Masson, Dirk Muir, Stephen Snudden

  We examine the relative ability of simple inflation targeting (IT) and price level targeting (PLT) monetary policy rules to minimize both inflation variability and business cycle fluctuations in Canada for shocks that have important consequences for global commodity prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Inflation and prices, International topics, Monetary policy framework JEL Code(s): E, E1, E17, E3, E31, E37, E5, E52, F, F4, F41, Q, Q4, Q43

• Estimating the Demand for Settlement Balances in the Canadian Large Value Transfer System

  Staff Working Paper 2012-15 Nellie Zhang

  This paper applies a static model of an interest rate corridor to the Canadian data, and estimates the aggregate demand for central-bank settlement balances in the Large Value Transfer System (LVTS).

  Content Type(s): Staff research, Staff working papers Topic(s): Interest rates, Monetary policy implementation, Payment clearing and settlement systems JEL Code(s): C, C3, C36, E, E4, E40, E5, E50, G, G0, G01

• The Impact of Retail Payment Innovations on Cash Usage

  Staff Working Paper 2012-14 Ben Fung, Kim Huynh, Leonard Sabetti

  Many predict that innovations in retail payment may render cash obsolete. We investigate this possibility in the context of recent payment innovations such as contactless-credit and stored-value cards.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial services, Payment clearing and settlement systems JEL Code(s): C, C3, C35, C8, C83, E, E4, E41