Staff working papers

• Global Trade Flows: Revisiting the Exchange Rate Elasticities

  Staff Working Paper 2017-41 Matthieu Bussière, Guillaume Gaulier, Walter Steingress

  This paper contributes to the debate on the magnitude of exchange rate elasticities by providing a set of price and quantity elasticities for 51 advanced and emerging-market economies. Specifically, for each of these countries we report the elasticity of trade prices and trade quantities on both the export and on the import sides, as well as the reaction of the trade balance.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Inflation and prices, International topics JEL Code(s): C, C5, C51, F, F1, F14, F3, F31, F33, F4, F41

• Government Spending Multipliers Under the Zero Lower Bound: Evidence from Japan

  Staff Working Paper 2017-40 Thuy Lan Nguyen, Dmitriy Sergeyev, Wataru Miyamoto

  Using a rich data set on government spending forecasts in Japan, we provide new evidence on the effects of unexpected changes in government spending when the nominal interest rate is near the zero lower bound (ZLB).

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Fiscal policy JEL Code(s): E, E3, E32, E5, E6, E62

• Changes in Monetary Regimes and the Identification of Monetary Policy Shocks: Narrative Evidence from Canada

  Staff Working Paper 2017-39 Julien Champagne, Rodrigo Sekkel

  We use narrative evidence along with a novel database of real-time data and forecasts from the Bank of Canada's staff economic projections from 1974 to 2015 to construct a new measure of monetary policy shocks and estimate the effects of monetary policy in Canada.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Exchange rate regimes, Inflation and prices, Inflation targets, Interest rates, Monetary policy, Monetary policy framework JEL Code(s): E, E3, E31, E32, E4, E43, E5, E52, E58

• A Counterfactual Valuation of the Stock Index as a Predictor of Crashes

  Staff Working Paper 2017-38 Tom Roberts

  Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon—instead, I shift focus to severe downside risk (i.e., crashes).

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial stability JEL Code(s): G, G0, G01, G1, G12, G17, G19

• Aggregate Fluctuations and the Role of Trade Credit

  Staff Working Paper 2017-37 Lin Shao

  In an economy where production takes place in multiple stages and is subject to financial frictions, how firms finance intermediate inputs matters for aggregate outcomes. This paper focuses on trade credit—the lending and borrowing of input goods between firms—and quantifies its aggregate impacts during the Great Recession.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Firm dynamics JEL Code(s): E, E3, E32, E4, E44, E5, E51

• The Rise of Non-Regulated Financial Intermediaries in the Housing Sector and its Macroeconomic Implications

  Staff Working Paper 2017-36 Hélène Desgagnés

  I examine the impact of non-regulated lenders in the mortgage market using a dynamic stochastic general equilibrium (DSGE) model. My model features two types of financial intermediaries that differ in three ways: (i) only regulated intermediaries face a capital requirement, (ii) non-regulated intermediaries finance themselves by selling securities and cannot accept deposits, and (iii) non-regulated intermediaries face a more elastic demand.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, Financial system regulation and policies, Housing JEL Code(s): E, E3, E32, E4, E44, E47, E6, E60, G, G2, G21, G23, G28

• Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?

  Staff Working Paper 2017-35 Christiane Baumeister, Reinhard Ellwanger, Lutz Kilian

  It is commonly believed that the response of the price of corn ethanol (and hence of the price of corn) to shifts in biofuel policies operates in part through market expectations and shifts in storage demand, yet to date it has proved difficult to measure these expectations and to empirically evaluate this view.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Recent economic and financial developments JEL Code(s): Q, Q1, Q18, Q2, Q28, Q4, Q42, Q5, Q58