November 20, 2003
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2370
result(s)
Excess Collateral in the LVTS: How Much is Too Much?
Staff Working Paper 2003-36
Kim McPhail,
Anastasia Vakos
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.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E44,
G,
G2,
G21
Real Exchange Rate Persistence in Dynamic General-Equilibrium Sticky-Price Models: An Analytical Characterization
Staff Working Paper 2003-35
Hafedh Bouakez
This paper assesses analytically the ability of dynamic general-equilibrium sticky-price models to generate persistent real exchange rate fluctuations. It develops a tractable general-equilibrium model with Calvo-type price stickiness.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Exchange rates,
International topics
JEL Code(s):
F,
F3,
F31,
F4,
F41
Governance and Financial Fragility: Evidence from a Cross-Section of Countries
Staff Working Paper 2003-34
Michael Francis
The author explores the role of governance mechanisms as a means of reducing financial fragility. First, he develops a simple theoretical general-equilibrium model in which instability arises due to an agency problem resulting from a conflict of interest between the borrower and lender.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Financial markets
JEL Code(s):
G,
G0
Do Peer Group Members Outperform Individual Borrowers? A Test of Peer Group Lending Using Canadian Micro-Credit Data
Staff Working Paper 2003-33
Rafael Gomez,
Eric Santor
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.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Development economics
JEL Code(s):
E,
J,
J2,
J23,
O,
O1,
O17
The Canadian Phillips Curve and Regime Shifting
Staff Working Paper 2003-32
Frédérick Demers
Phillips curves are generally estimated under the assumption of linearity and parameter constancy. Linear models of inflation, however, have recently been criticized for their poor forecasting performance.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Inflation and prices
JEL Code(s):
C,
C5,
C52,
E,
E3,
E31
A Simple Test of Simple Rules: Can They Improve How Monetary Policy is Implemented with Inflation Targets?
Staff Working Paper 2003-31
Nicholas Rowe,
David Tulk
The authors evaluate whether an assortment of simple rules could improve how the Bank of Canada implements its inflation-targeting monetary policy. They focus on measuring the correlation between the deviations of inflation from the target and the lagged deviations of rule recommendations from the actual policy interest rate.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation targets,
Monetary policy implementation
JEL Code(s):
E,
E5
Are Wealth Effects Important for Canada?
Staff Working Paper 2003-30
Lise Pichette,
Dominique Tremblay
The authors examine the link between consumption and disaggregate wealth in Canada. They use a vector-error-correction model in which permanent and transitory shocks are identified using the restrictions implied by cointegration proposed by King, Plosser, Stock, and Watson (1991) and Gonzalo and Granger (1995).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Domestic demand and components
JEL Code(s):
C,
C3,
C32,
E,
E2,
E21
Nominal Rigidities and Exchange Rate Pass-Through in a Structural Model of a Small Open Economy
Staff Working Paper 2003-29
Steve Ambler,
Ali Dib,
Nooman Rebei
The authors analyze exchange rate pass-through in an estimated structural model of a small open economy that incorporates three types of nominal rigidity (wages and the prices of domestically produced and imported goods) and eight different structural shocks. The model is estimated using quarterly data from Canada and the United States.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
Exchange rates,
Inflation and prices,
International topics
JEL Code(s):
F,
F2,
F3,
F31,
F33
An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds
Staff Working Paper 2003-28
Chris D'Souza,
Charles Gaa,
Jing Yang
The authors empirically measure Canadian bond market liquidity using a number of indicators proposed in the literature and detail, for the first time, price and trade dynamics in the Government of Canada secondary bond market. They find, consistent with Inoue (1999), that the Canadian brokered interdealer fixed-income market is relatively liquid for its size.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G10,
G14