F41 - Open Economy Macroeconomics

• How Changes in Oil Prices Affect the Macroeconomy

  Staff Working Paper 2009-33 Brian DePratto, Carlos De Resende, Philipp Maier

  We estimate a New Keynesian general-equilibrium open economy model to examine how changes in oil prices affect the macroeconomy. Our model allows oil price changes to be transmitted through temporary demand and supply channels (affecting the output gap), as well as through persistent supply side effects (affecting trend growth).

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Interest rates, Monetary policy transmission, Potential output, Productivity JEL Code(s): F, F4, F41, Q, Q4, Q43

• Exchange Rate Pass-through and Monetary Policy: How Strong is the Link?

  Staff Working Paper 2009-29 Stephen Murchison

  Several authors have presented reduced-form evidence suggesting that the degree of exchange rate pass-through to the consumer price index has declined in Canada since the early 1980s and is currently close to zero.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Monetary policy transmission JEL Code(s): E, E5, E52, F, F3, F31, F4, F41

• Productivity, the Terms of Trade, and the Real Exchange Rate: The Balassa-Samuelson Hypothesis Revisited

  Staff Working Paper 2009-22 Ehsan U. Choudhri, Lawrence L. Schembri

  The paper examines how the Balassa-Samuelson hypothesis is affected by a modern variation of the standard model that allows product differentiation (within the traded and nontraded goods sectors) with the number of firms determined exogenously or endogenously.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Productivity JEL Code(s): F, F3, F31, F4, F41

• Canada and the IMF: Trailblazer or Prodigal Son?

  Staff Discussion Paper 2009-1 Michael Bordo, Lawrence L. Schembri, Tamara Gomes

  Canada played an important role in the postwar establishment of the International Monetary Fund (IMF), yet it was also the first major member to challenge the orthodoxy of the BrettonWoods par value system by abandoning it in 1950 in favour of a floating, market-determined exchange rate.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Exchange rate regimes, Exchange rates, Monetary policy framework JEL Code(s): E, E5, E52, E58, F, F4, F41, F5, F55, N, N7, N72

• Import Price Dynamics in Major Advanced Economies and Heterogeneity in Exchange Rate Pass-Through

  Staff Working Paper 2008-39 Stephane Dees, Matthias Burgert, Nicolas Parent

  This paper aims at showing heterogeneity in the degree of exchange rate pass-through to import prices in major advanced economies at three different levels: 1) across destination markets; 2) across types of exporters (distinguishing developed economy from emerging economy exporters); and 3) over time.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Inflation and prices JEL Code(s): E, E3, E31, F, F3, F4, F41

• A Model of Housing Boom and Bust in a Small Open Economy

  Staff Working Paper 2008-9 Hajime Tomura

  This paper considers a dynamic stochastic general equilibrium model for a small open economy and finds that an improvement in the terms of trade causes a housing boom-bust cycle if the duration of the improvement is uncertain.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates JEL Code(s): E, E4, E44, F, F4, F41

• Markups in Canada: Have They Changed and Why?

  Staff Working Paper 2008-7 Danny Leung

  Many empirical studies have examined the cyclical nature of the markup ratio. Until recently, few have attempted to ascertain the changes in the markup over a longer time horizon.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): E, E3, E31, F, F4, F41, L, L1, L11

• IMF-Supported Adjustment Programs: Welfare Implications and the Catalytic Effect

  Staff Working Paper 2007-22 Carlos De Resende

  The author studies the welfare implications of adjustment programs supported by the International Monetary Fund (IMF). He uses a model where an endogenous borrowing constraint, set up by international lenders who will never lend more than a debt ceiling, forces the borrowing economy to always choose repayment over default.

  Content Type(s): Staff research, Staff working papers Topic(s): International topics JEL Code(s): F, F3, F32, F33, F34, F4, F41

• A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate

  Staff Working Paper 2007-21 Fousseni Chabi-Yo, Jun Yang

  We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrage term structure model. With Canadian and US data, we are able to study the impact of macroeconomic shocks from both countries on their yield curves and the exchange rate.

  Content Type(s): Staff research, Staff working papers Topic(s): Debt management, Econometric and statistical methods, Exchange rates, Financial markets, Interest rates JEL Code(s): E, E1, E12, E4, E43, F, F4, F41, G, G1, G12, G15

• ToTEM: The Bank of Canada's New Quarterly Projection Model

  Technical Report No. 97 Stephen Murchison, Andrew Rennison

  The authors provide a detailed technical description of the Terms-of-Trade Economic Model (ToTEM), which replaced the Quarterly Projection Model (QPM) in December 2005 as the Bank's principal projection and policy-analysis model for the Canadian economy.

  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