Staff research

• International Business Cycles and Financial Frictions

  Staff Working Paper 2012-19 Wen Yao

  This paper builds a two-country DSGE model to study the quantitative impact of financial frictions on business cycle co-movements when investors have foreign asset exposure. The investor in each country holds capital in both countries and faces a leverage constraint on her debt.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, International financial markets, International topics JEL Code(s): E, E3, E30, F, F4, F42, F44

• Consumer Bankruptcy and Information

  Staff Working Paper 2012-18 Jason Allen, H. Evren Damar, David Martinez-Miera

  We analyze the relationship between the intensity of banks’ use of soft-information and household bankruptcy patterns. Using a unique data set on the universe of Canadian household bankruptcies, we document that bankruptcy rates are higher in markets where the collection of soft, or qualitative locally gathered information, is the weakest.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial services JEL Code(s): D, D4, G, G2

• On the Existence and Fragility of Repo Markets

  Staff Working Paper 2012-17 Hajime Tomura

  This paper presents a model of an over-the-counter bond market in which bond dealers and cash investors arrange repurchase agreements (repos) endogenously.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Financial stability, Payment clearing and settlement systems JEL Code(s): G, G2, G24

• Commodities and Monetary Policy: Implications for Inflation and Price Level Targeting

  Staff Working Paper 2012-16 Donald Coletti, René Lalonde, Paul Masson, Dirk Muir, Stephen Snudden

  We examine the relative ability of simple inflation targeting (IT) and price level targeting (PLT) monetary policy rules to minimize both inflation variability and business cycle fluctuations in Canada for shocks that have important consequences for global commodity prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Inflation and prices, International topics, Monetary policy framework JEL Code(s): E, E1, E17, E3, E31, E37, E5, E52, F, F4, F41, Q, Q4, Q43

• The U.S.-Dollar Supranational Zero-Coupon Curve

  Staff Discussion Paper 2012-5 Francisco Rivadeneyra

  The author describes the construction of the U.S.-dollar-denominated zero-coupon curve for the supranational asset class from 1995 to 2010. He uses yield data from a crosssection of bonds issued by AAA-rated supranational entities to fit the Svensson (1995) term-structure model.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Asset pricing, Financial markets JEL Code(s): G, G1, G12, G15

• Estimating the Demand for Settlement Balances in the Canadian Large Value Transfer System

  Staff Working Paper 2012-15 Nellie Zhang

  This paper applies a static model of an interest rate corridor to the Canadian data, and estimates the aggregate demand for central-bank settlement balances in the Large Value Transfer System (LVTS).

  Content Type(s): Staff research, Staff working papers Topic(s): Interest rates, Monetary policy implementation, Payment clearing and settlement systems JEL Code(s): C, C3, C36, E, E4, E40, E5, E50, G, G0, G01

• The Impact of Retail Payment Innovations on Cash Usage

  Staff Working Paper 2012-14 Ben Fung, Kim Huynh, Leonard Sabetti

  Many predict that innovations in retail payment may render cash obsolete. We investigate this possibility in the context of recent payment innovations such as contactless-credit and stored-value cards.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial services, Payment clearing and settlement systems JEL Code(s): C, C3, C35, C8, C83, E, E4, E41

• Changes in the Effects of Monetary Policy on Disaggregate Price Dynamics

  Staff Working Paper 2012-13 Christiane Baumeister, Philip Liu, Haroon Mumtaz

  We examine the evolution of the effects of monetary policy shocks on the distribution of disaggregate prices and quantities of personal consumption expenditures to assess the contribution of monetary policy to changes in U.S. inflation dynamics.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Monetary policy transmission JEL Code(s): E, E3, E30, E32

• House Price Dynamics: Fundamentals and Expectations

  Staff Working Paper 2012-12 Eleonora Granziera, Sharon Kozicki

  We investigate whether expectations that are not fully rational have the potential to explain the evolution of house prices and the price-to-rent ratio in the United States.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Domestic demand and components, Economic models JEL Code(s): E, E3, E6, E65, R, R2, R21

• Risk Premium, Variance Premium and the Maturity Structure of Uncertainty

  Staff Working Paper 2012-11 Bruno Feunou, Jean-Sébastien Fontaine, Abderrahim Taamouti, Roméo Tedongap

  Expected returns vary when investors face time-varying investment opportunities. Long-run risk models (Bansal and Yaron 2004) and no-arbitrage affine models (Duffie, Pan, and Singleton 2000) emphasize sources of risk that are not observable to the econometrician.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial services JEL Code(s): G, G1, G12, G13