A Structural Small Open-Economy Model for Canada
The authors develop a small open-economy dynamic stochastic general-equilibrium (DSGE) model in an attempt to understand the dynamic relationships in Canadian macroeconomic data.
E - Macroeconomics and Monetary Economics
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Modélisation « PAC » du secteur extérieur de l'économie américaine
In this paper, the authors use polynomial adjustment cost (PAC) models to analyze and forecast the main components of the U.S. trade sector. -
Common Trends and Common Cycles in Canadian Sectoral Output
The authors examine evidence of long- and short-run co-movement in Canadian sectoral output data. Their framework builds on a vector-error-correction representation that allows them to test for and compute full-information maximum-likelihood estimates of models with codependent cycle restrictions. -
Why Does Private Consumption Rise After a Government Spending Shock?
Recent empirical evidence suggests that private consumption is crowded-in by government spending. This outcome violates existing macroeconomic theory, according to which the negative wealth effect brought about by a rise in public expenditure should decrease consumption. -
Anatomy of a Twin Crisis
The author presents a model of a twin crisis, in which foreign and domestic residents play a banking game. Both "honest" and run equilibria of the post-deposit subgame exist; some run equilibria lead to a currency crisis, as agents convert domestic currency to foreign currency. -
Poignée de main invisible et persistance des cycles économiques : une revue de la littérature
The author explains how self-enforcing labour contracts can enhance the performance of macroeconomic models. He exposes the benefits of using these dynamic contracts to account for some puzzling macroeconomic facts regarding the dynamics and persistence of employment, consumption and output. -
Alternative Targeting Regimes, Transmission Lags, and the Exchange Rate Channel
Using a closed-economy model, Jensen (2002) and Walsh (2003) have, respectively, shown that a policy regime that optimally targets nominal income growth (NIT) or the change in the output gap (SLT) outperforms a regime that targets inflation, because NIT and SLT induce more inertia in the actions of the central bank, effectively replicating the outcome obtained under precommitment. The author obtains a very different result when the analysis is extended to open-economy models. -
Simple Monetary Policy Rules in an Open-Economy, Limited-Participation Model
The authors assess the stabilization properties of simple monetary policy rules within the context of a small open-economy model constructed around the limited-participation assumption and calibrated to salient features of the Canadian economy. By relying on limited participation as the main nominal friction that affects the artificial economy, the authors provide an important check of the robustness of the results obtained using alternative environments in the literature on monetary policy rules, most notably the now-standard "New Keynesian" paradigm that emphasizes rigidities in the price-setting mechanism. -
Excess Collateral in the LVTS: How Much is Too Much?
The authors build a theoretical model that generates demand for collateral by Large Value Transfer System (LVTS) participants under the assumption that they minimize the cost of holding and managing collateral for LVTS purposes. The model predicts that the optimal amount of collateral held by each LVTS participant depends on the opportunity cost of collateral, the transactions costs of acquiring assets used as collateral and transferring them in and out of the LVTS, and the distribution of an LVTS participant's payment flows in the LVTS. -
Do Peer Group Members Outperform Individual Borrowers? A Test of Peer Group Lending Using Canadian Micro-Credit Data
Microfinance institutions now serve over 10 million poor households in the developing and developed world, and much of their success has been attributed to their innovative use of peer group lending. There is very little empirical evidence, however, to suggest that group lending schemes offer a superior institutional design over lending programs that serve individual borrowers.