F4 - Macroeconomic Aspects of International Trade and Finance

• The Impact of Emerging Asia on Commodity Prices

  Staff Working Paper 2007-55 Sylvie Morin, Calista Cheung

  Over the past 5 years, real energy and non-energy commodity prices have trended sharply higher. These relative price movements have had important implications for inflation and economic activity in both Canada and the rest of the world. China has accounted for the bulk of incremental demand for oil and many base metals over this period.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, International topics JEL Code(s): E, E3, F, F4, O, O1, O19, Q, Q1, Q11

• Expenditure-Switching Effect and the Choice of Exchange Rate Regime

  Staff Working Paper 2007-54 Wei Dong

  The author investigates the quantitative importance of the expenditure-switching effect by developing and estimating a structural sticky-price model nesting both producer currency pricing (PCP) and local currency pricing (LCP) settings.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rate regimes, International topics JEL Code(s): F, F3, F4

• The Bank of Canada's Version of the Global Economy Model (BoC-GEM)

  Technical Report No. 98 René Lalonde, Dirk Muir

  The Bank of Canada's version of the Global Economy Model (BoC-GEM) is derived from the model created at the International Monetary Fund by Douglas Laxton (IMF) and Paolo Pesenti (Federal Reserve Bank of New York and National Bureau of Economic Research).

  Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models, International topics JEL Code(s): C, C6, C68, E, E2, E27, E3, E37, F, F3, F32, F4, F47

• Oil Price Movements and the Global Economy: A Model-Based Assessment

  Staff Working Paper 2007-34 Selim Elekdag, René Lalonde, Douglas Laxton, Dirk Muir, Paolo Pesenti

  We develop a five-region version (Canada, an oil exporter, the United States, emerging Asia and Japan plus the euro area) of the Global Economy Model (GEM) encompassing production and trade of crude oil, and use it to study the international transmission mechanism of shocks that drive oil prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Inflation and prices, International topics JEL Code(s): E, E6, E66, F, F3, F32, F4, F47

• 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

• Endogenous Borrowing Constraints and Consumption Volatility in a Small Open Economy

  Staff Working Paper 2006-37 Carlos De Resende

  Consumption volatility relative to output volatility is consistently higher in emerging economies than in developed economies.

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

• Convergence in a Stochastic Dynamic Heckscher-Ohlin Model

  Staff Working Paper 2006-23 Partha Chatterjee, Malik Shukayev

  The authors characterize the equilibrium for a small economy in a dynamic Heckscher-Ohlin model with uncertainty.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models JEL Code(s): F, F4, F43, O, O4, O41

• Are Currency Crises Low-State Equilibria? An Empirical, Three-Interest-Rate Model

  Staff Working Paper 2006-5 Christopher Cornell, Raphael Solomon

  Suppose that the dynamics of the macroeconomy were given by (partly) random fluctuations between two equilibria: "good" and "bad."

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary policy and uncertainty JEL Code(s): C, C6, C62, E, E5, E59, F, F4, F41