F41 - Open Economy Macroeconomics

• Global Inflation Dynamics in the Post-Crisis Period: What Explains the Twin Puzzle?

  Staff Working Paper 2014-36 Christian Friedrich

  Inflation dynamics in advanced countries have produced two consecutive puzzles during the years after the global financial crisis. The first puzzle emerged when inflation rates over the period 2009-11 were consistently higher than expected, although economic slack in advanced countries reached its highest level in recent history.

  Content Type(s): Staff research, Staff working papers Topic(s): Fiscal policy, Inflation and prices, International topics JEL Code(s): E, E3, E31, E5, F, F4, F41

• Search Frictions, Financial Frictions and Labour Market Fluctuations in Emerging Markets

  Staff Working Paper 2014-35 Sumru Altug, Serdar Kabaca

  This paper examines the role of the extensive and intensive margins of labour input in the context of a business cycle model with a financial friction. We document significant variation in the hours worked per worker for many emerging-market economies. Both employment and hours worked per worker are positively correlated with each other and with output.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Development economics, Interest rates, International topics, Labour markets JEL Code(s): E, E4, E44, F, F4, F41, J, J4, J40

• A Policy Model to Analyze Macroprudential Regulations and Monetary Policy

  Staff Working Paper 2014-6 Sami Alpanda, Gino Cateau, Césaire Meh

  We construct a small-open-economy, New Keynesian dynamic stochastic general-equilibrium model with real-financial linkages to analyze the effects of financial shocks and macroprudential policies on the Canadian economy. Our model has four key features.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial system regulation and policies JEL Code(s): E, E1, E17, E3, E32, E4, E44, F, F4, F41

• ToTEM II: An Updated Version of the Bank of Canada’s Quarterly Projection Model

  Technical Report No. 100 José Dorich, Michael K. Johnston, Rhys R. Mendes, Stephen Murchison, Yang Zhang

  This report provides a detailed technical description of an updated version of the Terms-of-Trade Economic Model (ToTEM II), which replaced ToTEM (Murchison and Rennison 2006) in June 2011 as the Bank of Canada’s quarterly projection model for Canada.

  Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E1, E17, E2, E20, E3, E30, E4, E40, E5, E50, F, F4, F41

• The Safety of Government Debt

  Staff Working Paper 2013-34 Kartik Anand, Prasanna Gai

  We examine the safety of government bonds in the presence of Knightian uncertainty amongst financial market participants. In our model, the information insensitivity of government bonds is driven by strategic complementarities across counterparties and the structure of trading relationships.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial stability, International financial markets JEL Code(s): D, D8, D81, E, E4, E44, F, F0, F02, F4, F41, G, G1, G15

• The Sensitivity of Producer Prices to Exchange Rates: Insights from Micro Data

  Staff Working Paper 2012-20 Shutao Cao, Wei Dong, Ben Tomlin

  This paper studies the sensitivity of Canadian producer prices to the Canada-U.S. exchange rate. Using a unique product-level price data set, we estimate and analyze the impact of movements in the exchange rate on both domestic and export producer prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Inflation and prices, Market structure and pricing JEL Code(s): E, E3, E30, F, F3, F31, F4, F41, L, L1, L11

• 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

• External Stability, Real Exchange Rate Adjustment and the Exchange Rate Regime in Emerging-Market Economies

  Staff Discussion Paper 2011-5 Olivier Gervais, Lawrence L. Schembri, Lena Suchanek

  In emerging-market economies, real exchange rate adjustment is critical for maintaining a sustainable current account position and thereby for helping to reduce macroeconomic and financial instability.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Development economics, Exchange rate regimes, International topics JEL Code(s): F, F3, F31, F32, F4, F41

• The Impact of the Global Business Cycle on Small Open Economies: A FAVAR Approach for Canada

  Staff Working Paper 2011-2 Garima Vasishtha, Philipp Maier

  Building on the growing evidence on the importance of large data sets for empirical macroeconomic modeling, we use a factor-augmented VAR (FAVAR) model with more than 260 series for 20 OECD countries to analyze how global developments affect the Canadian economy.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, International topics JEL Code(s): C, C3, C32, F, F4, F41

• The Transmission of Shocks to the Chinese Economy in a Global Context: A Model-Based Approach

  Staff Working Paper 2010-17 Jeannine Bailliu, Patrick Blagrave

  To better understand the dynamics of the Chinese economy and its interaction with the global economy, the authors incorporate China into an existing model for the G-3 economies (i.e., the United States, the euro area, and Japan), paying particular attention to modelling the exchange rate and monetary policy in China.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, Exchange rate regimes, International topics JEL Code(s): E, E3, E32, E5, E52, F, F4, F41