E - Macroeconomics and Monetary Economics

• Public Policy Objectives and the Next Generation of CPA Systems: An Analytical Framework

  Staff Discussion Paper 2015-6 James Chapman, Jonathan Chiu, Sajjad Jafri, Héctor Pérez Saiz

  The payments landscape in Canada is rapidly changing and will continue to evolve, fuelled by strong and persistent drivers. In Canada, the Canadian Payments Association (CPA) is on a path to modernize Canada’s core payment systems.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Economic models, Financial services, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): E, E4, E42, L, L1, L14, L15, L5, L52

• The Carrot and the Stick: The Business Cycle Implications of Incentive Pay in the Labor Search Model

  Staff Working Paper 2015-35 Julien Champagne

  This paper considers a real business cycle model with labor search frictions where two types of incentive pay are explicitly introduced following the insights from the micro literature on performance pay (e.g. Lazear, 1986).

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Labour markets JEL Code(s): E, E2, E24, J, J3, J33, J4, J41

• Heterogeneity in the Dynamic Effects of Uncertainty on Investment

  Staff Working Paper 2015-34 Sungje Byun, Soojin Jo

  How does aggregate profit uncertainty influence investment activity at the firm level? We propose a parsimonious adaptation of a factor-autoregressive conditional heteroscedasticity model to exploit information in a subindustry sales panel for an efficient and tractable estimation of aggregate volatility.

  Content Type(s): Staff research, Staff working papers Topic(s): Domestic demand and components, Econometric and statistical methods, International topics JEL Code(s): C, C2, C22, C23, D, D8, D80, E, E2, E22

• Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach

  Staff Working Paper 2015-32 Kartik Anand, Céline Gauthier, Moez Souissi

  We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and market risks of banks are intertwined.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): C, C7, C72, E, E5, E58, G, G0, G01, G2, G21, G28

• The Endogenous Relative Price of Investment

  Staff Working Paper 2015-30 Joel Wagner

  This paper takes a full-information model-based approach to evaluate the link between investment-specific technology and the inverse of the relative price of investment. The two-sector model presented includes monopolistic competition where firms can vary the markup charged on their product depending on the number of firms competing.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles JEL Code(s): E, E3, E32, L, L1, L11, L16

• Examining Full Collateral Coverage in Canada’s Large Value Transfer System

  Staff Working Paper 2015-29 Lana Embree, Varya Taylor

  The Large Value Transfer System (LVTS) is Canada’s main electronic interbank funds transfer system that financial institutions use daily to transmit thousands of payments worth several billions of dollars.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Payment clearing and settlement systems JEL Code(s): E, E4, E47, G, G2, G21

• Risk Sharing in the Presence of a Public Good

  Staff Working Paper 2015-27 Josef Schroth

  This paper studies an economy where agents can spend resources on consuming a private good and on funding a public good. There is asymmetric information regarding agents’ relative preference for private versus public good consumption.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Financial system regulation and policies, Fiscal policy JEL Code(s): D, D8, D82, D86, E, E6, E62, H, H2, H21, H23, H7, H77

• On the Welfare Cost of Rare Housing Disasters

  Staff Working Paper 2015-26 Shaofeng Xu

  This paper examines the welfare cost of rare housing disasters characterized by large drops in house prices. I construct an overlapping generations general equilibrium model with recursive preferences and housing disaster shocks.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Economic models, Housing JEL Code(s): E, E2, E21, E4, E44, G, G1, G11, R, R2, R21

• Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data

  Staff Working Paper 2015-24 Pierre Guérin, Danilo Leiva-Leon

  This paper introduces new weighting schemes for model averaging when one is interested in combining discrete forecasts from competing Markov-switching models. In particular, we extend two existing classes of combination schemes – Bayesian (static) model averaging and dynamic model averaging – so as to explicitly reflect the objective of forecasting a discrete outcome.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C5, C53, E, E3, E32, E37

• Revisiting the Macroeconomic Impact of Oil Shocks in Asian Economies

  Staff Working Paper 2015-23 Juncal Cunado, Soojin Jo, Fernando Perez de Gracia

  This paper analyzes the macroeconomic impact of oil shocks in four of the largest oil-consuming Asian economies, using a structural vector autoregressive model. We identify three different types of oil shocks via sign restrictions: an oil supply shock, an oil demand shock driven by global economic activity and an oil-specific demand shock.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): E, E3, E32, O, O5, O53, Q, Q4, Q43