Staff research

• Real and Nominal Frictions within the Firm: How Lumpy Investment Matters for Price Adjustment

  Staff Working Paper 2009-36 Michael K. Johnston

  Real rigidities are an important feature of modern sticky price models and are policy-relevant because of their welfare consequences, but cannot be structurally identified from time series. I evaluate the plausibility of capital specificity as a source of real rigidities using a two-dimensional generalized (s,S) model calibrated to micro evidence.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary policy transmission JEL Code(s): E, E1, E12, E2, E22, E3, E31

• Estimating DSGE-Model-Consistent Trends for Use in Forecasting

  Staff Working Paper 2009-35 Jean-Philippe Cayen, Marc-André Gosselin, Sharon Kozicki

  The workhorse DSGE model used for monetary policy evaluation is designed to capture business cycle fluctuations in an optimization-based format. It is commonplace to log-linearize models and express them with variables in deviation-from-steady-state format.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E5, E52

• A Consistent Test for Multivariate Conditional Distributions

  Staff Working Paper 2009-34 Fuchun Li, Greg Tkacz

  We propose a new test for a multivariate parametric conditional distribution of a vector of variables y_t given a conditional vector x_t.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, C2, C22

• How Changes in Oil Prices Affect the Macroeconomy

  Staff Working Paper 2009-33 Brian DePratto, Carlos De Resende, Philipp Maier

  We estimate a New Keynesian general-equilibrium open economy model to examine how changes in oil prices affect the macroeconomy. Our model allows oil price changes to be transmitted through temporary demand and supply channels (affecting the output gap), as well as through persistent supply side effects (affecting trend growth).

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Interest rates, Monetary policy transmission, Potential output, Productivity JEL Code(s): F, F4, F41, Q, Q4, Q43

• Regulatory Constraints on Bank Leverage: Issues and Lessons from the Canadian Experience

  Staff Discussion Paper 2009-15 Étienne Bordeleau, Allan Crawford, Christopher Graham

  The Basel capital framework plays an important role in risk management by linking a bank's minimum capital requirements to the riskiness of its assets. Nevertheless, the risk estimates underlying these calculations may be imperfect, and it appears that a cyclical bias in measures of risk-adjusted capital contributed to procyclical increases in global leverage prior to the recent financial crisis.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G0, G01, G2, G21, G28

• Market Timing of Long-Term Debt Issuance

  Staff Discussion Paper 2009-14 Jonathan Witmer

  The literature on market timing of long-term debt issuance yields mixed evidence that managers can successfully time their debt-maturity issuance. The early results that are indicative of debt-maturity timing are not robust to accounting for structural breaks or to other measures of debt maturity from firm-level data that account for call and put provisions in […]

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial markets, International topics JEL Code(s): G, G3, G30, G38

• Network Analysis and Canada's Large Value Transfer System

  Staff Discussion Paper 2009-13 Lana Embree, Tom Roberts

  Analysis of the characteristics and structure of a network of financial institutions can provide insight into the complex relationships and interdependencies that exist in a payment, clearing, and settlement system (PCSS), and allow an intuitive understanding of the PCSS's efficiency, stability, and resiliency.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial stability, Payment clearing and settlement systems JEL Code(s): D, D8, D85, G, G1, G10