Staff research

• 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
• July 31, 2015

  Research Update - July 2015

  This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website.

  Content Type(s): Staff research, Research newsletters

• Revisiting National Border Effects in Foreign Trade in Goods of Canadian Provinces

  Staff Working Paper 2015-28 Farrukh Suvankulov

  A significant body of empirical studies demonstrates sizable national border effects in foreign trade of Canadian provinces throughout the 1980s and 1990s. This paper revisits and expands the scope of the border effects analysis by estimating the border effect in trade with U.S. states as well as countries in the European Union (EU) and the G 20 using more recent data from 2001–10.

  Content Type(s): Staff research, Staff working papers Topic(s): International topics JEL Code(s): F, F1, F14, F15

• 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

• Managerial Compensation Duration and Stock Price Manipulation

  Staff Working Paper 2015-25 Josef Schroth

  I build a model of optimal managerial compensation where managers each have a privately observed propensity to manipulate short-term stock prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Labour markets, Recent economic and financial developments JEL Code(s): D, D8, D82, G, G1, G14, G3, G30, M, M1, M12
• June 30, 2015

  Research Update - June 2015

  This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website.

  Content Type(s): Staff research, Research newsletters

• 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