E4 - Money and Interest Rates

• Demographics and the Demand for Currency

  Staff Working Paper 2014-59 Geoffrey R. Dunbar

  I use data from the Bank of Canada’s Bank Note Distribution System and exploit a natural experiment offered by the timing of Easter in the Gregorian calendar to analyze the effects of demographic change for currency demand.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Econometric and statistical methods JEL Code(s): C, C3, C31, C36, E, E4, E41

• International House Price Cycles, Monetary Policy and Risk Premiums

  Staff Working Paper 2014-54 Gregory Bauer

  Using a panel logit framework, the paper provides an estimate of the likelihood of a house price correction in 18 OECD countries. The analysis shows that a simple measure of the degree of house price overvaluation contains a lot of information about subsequent price reversals.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Housing JEL Code(s): C, C2, E, E4, E43, R, R2, R21

• Labour Share Fluctuations in Emerging Markets: The Role of the Cost of Borrowing

  Staff Working Paper 2014-47 Serdar Kabaca

  This paper contributes to the literature by documenting labour income share fluctuations in emerging-market economies and proposing an explanation for them. Time-series data indicate that emerging markets differ from developed markets in terms of changes in the labour share over the business cycle.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Development economics, Interest rates, International topics, Labour markets JEL Code(s): E, E2, E25, E4, E44, F, F4, F41

• The Role of Card Acceptance in the Transaction Demand for Money

  Staff Working Paper 2014-44 Kim Huynh, Philipp Schmidt-Dengler, Helmut Stix

  The use of payment cards, either debit or credit, is becoming more and more widespread in developed economies. Nevertheless, the use of cash remains significant.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods, Financial services JEL Code(s): C, C3, C35, C8, C83, E, E4, E41

• The Neutral Rate of Interest in Canada

  Staff Discussion Paper 2014-5 Rhys R. Mendes

  A measure of the neutral policy interest rate can be used to gauge the stance of monetary policy. We define the neutral rate as the real policy rate consistent with output at its potential level and inflation equal to target after the effects of all cyclical shocks have dissipated.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Interest rates, Monetary policy transmission JEL Code(s): E, E4, E40, E42, E43, E5, E50, E52, E58

• Improving Public Equity Markets? No Pain, No Gain

  Staff Working Paper 2014-41 Katya Kartashova

  This paper quantifies the effects of improving public equity markets on macroeconomic aggregates and welfare. I use an open-economy extension of Angeletos (2007), where entrepreneurs face idiosyncratic productivity risk in privately held firms.

  Content Type(s): Staff research, Staff working papers Topic(s): Development economics, Financial institutions, Financial markets JEL Code(s): E, E4, E44, G, G1, G11, O, O1, O11, O16

• Predicting Financial Stress Events: A Signal Extraction Approach

  Staff Working Paper 2014-37 Ian Christensen, Fuchun Li

  The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of time. To achieve this goal, the signal extraction approach proposed by Kaminsky, Lizondo and Reinhart (1998) is used to monitor the evolution of a number of economic indicators that tend to exhibit an unusual behaviour in the periods preceding a financial stress event.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial stability JEL Code(s): C, C1, C14, C4, E, E3, E37, E4, E47, F, F3, F36, F37, G, G0, G01, G1, G17

• Search Frictions, Financial Frictions and Labour Market Fluctuations in Emerging Markets

  Staff Working Paper 2014-35 Sumru Altug, Serdar Kabaca

  This paper examines the role of the extensive and intensive margins of labour input in the context of a business cycle model with a financial friction. We document significant variation in the hours worked per worker for many emerging-market economies. Both employment and hours worked per worker are positively correlated with each other and with output.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Development economics, Interest rates, International topics, Labour markets JEL Code(s): E, E4, E44, F, F4, F41, J, J4, J40

• Forecasting Short-Term Real GDP Growth in the Euro Area and Japan Using Unrestricted MIDAS Regressions

  Staff Discussion Paper 2014-3 Maxime Leboeuf, Louis Morel

  In this paper, the authors develop a new tool to improve the short-term forecasting of real GDP growth in the euro area and Japan. This new tool, which uses unrestricted mixed-data sampling (U-MIDAS) regressions, allows an evaluation of the usefulness of a wide range of indicators in predicting short-term real GDP growth.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C50, C53, E, E3, E37, E4, E47

• Retail Payment Innovations and Cash Usage: Accounting for Attrition Using Refreshment Samples

  Staff Working Paper 2014-27 Heng Chen, Marie-Hélène Felt, Kim Huynh

  We exploit the panel dimension of the Canadian Financial Monitor (CFM) data to estimate the impact of retail payment innovations on cash usage. We estimate a semiparametric panel data model that accounts for unobserved heterogeneity and allows for general forms of non-random attrition.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods, Financial services JEL Code(s): C, C3, C35, E, E4, E41