E - Macroeconomics and Monetary Economics

• On Fiscal Multipliers: Estimates from a Medium Scale DSGE Model

  Staff Working Paper 2010-30 Sarah Zubairy

  This paper contributes to the debate on fiscal multipliers, in the context of a structural model. I estimate a micro-founded dynamic stochastic general equilibrium model, that features a rich fiscal policy block and a transmission mechanism for government spending shocks, using Bayesian techniques for US data.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Fiscal policy JEL Code(s): C, C1, C11, E, E3, E32, E6, E62, H, H3, H30

• Understanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquid Asset Holdings

  Staff Working Paper 2010-29 Céline Gauthier, Zhongfang He, Moez Souissi

  We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory requirement proposals in a holistic way.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): C, C1, C15, C8, C81, E, E4, E44, G, G0, G01, G2, G21

• Trends in U.S. Hours and the Labor Wedge

  Staff Working Paper 2010-28 Simona Cociuba, Alexander Ueberfeldt

  From 1980 until 2007, U.S. average hours worked increased by thirteen percent, due to a large increase in female hours. At the same time, the U.S. labor wedge, measured as the discrepancy between a representative household's marginal rate of substitution between consumption and leisure and the marginal product of labor, declined substantially.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Labour markets, Potential output JEL Code(s): E, E2, E24, H, H2, H20, H3, H31, J, J2, J22

• Has the Inclusion of Forward-Looking Statements in Monetary Policy Communications Made the Bank of Canada More Transparent?

  Staff Discussion Paper 2010-15 Christine Fay, Toni Gravelle

  To investigate the extent to which the transparency of the Bank of Canada's monetary policy has improved, the authors examine empirically – over the period 30 October 2000 to 31 May 2007 – the reaction of Canadian financial markets to official Bank communications, and in particular their reaction to the recent inclusion of forward-looking policy-rate guidance in these communications.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Central bank research, Interest rates, Monetary policy communications, Monetary policy transmission JEL Code(s): E, E5, E52, E58

• Capital Requirement and Financial Frictions in Banking: Macroeconomic Implications

  Staff Working Paper 2010-26 Ali Dib

  The author develops a dynamic stochastic general-equilibrium model with an active banking sector, a financial accelerator, and financial frictions in the interbank and bank capital markets.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, Financial markets, Financial stability JEL Code(s): E, E3, E32, E4, E44, G, G1

• Losses from Simulated Defaults in Canada's Large Value Transfer System

  Staff Discussion Paper 2010-14 Nellie Zhang, Tom Hossfeld

  The Large Value Transfer System (LVTS) loss-sharing mechanism was designed to ensure that, in the event of a one-participant default, the collateral pledged by direct members of the system would be sufficient to cover the largest possible net debit position of a defaulting participant. However, the situation may not hold if the indirect effects of the defaults are taken into consideration, or if two participants default during the same payment cycle.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial institutions, Financial stability, Payment clearing and settlement systems JEL Code(s): E, E4, E47, G, G2, G21

• Banks, Credit Market Frictions, and Business Cycles

  Staff Working Paper 2010-24 Ali Dib

  The author proposes a micro-founded framework that incorporates an active banking sector into a dynamic stochastic general-equilibrium model with a financial accelerator.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial stability JEL Code(s): E, E3, E32, E4, E44, G, G1

• Central Bank Haircut Policy

  Staff Working Paper 2010-23 James Chapman, Jonathan Chiu, Miguel Molico

  We present a model of central bank collateralized lending to study the optimal choice of the haircut policy. We show that a lending facility provides a bundle of two types of insurance: insurance against liquidity risk as well as insurance against downside risk of the collateral.

  Content Type(s): Staff research, Staff working papers Topic(s): Central bank research, Financial services, Financial system regulation and policies, Monetary policy implementation, Payment clearing and settlement systems JEL Code(s): E, E4, E40, E5, E50

• Nowcasting the Global Economy

  Staff Discussion Paper 2010-12 James Rossiter

  Forecasts of global economic activity and inflation are important inputs when conducting monetary policy in small open economies such as Canada. As part of the Bank of Canada's broad agenda to augment its short-term forecasting tools, the author constructs simple mixed-frequency forecasting equations for quarterly global output, imports, and inflation using the monthly global Purchasing Managers Index (PMI).

  Content Type(s): Staff research, Staff discussion papers Topic(s): Economic models, International topics JEL Code(s): E, E3, E37, F, F4, F47

• Evaluating the Effect of the Bank of Canada's Conditional Commitment Policy

  Staff Discussion Paper 2010-11 Zhongfang He

  The author evaluates the effect of the Bank of Canada's conditional commitment regarding the target overnight rate on longer-term market interest rates by taking into account the relationship between interest rates, inflation, and unemployment rates.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Interest rates, Monetary policy implementation, Monetary policy transmission JEL Code(s): E, E4, E5, E6