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1901
result(s)
Competing Currencies in the Laboratory
Staff Working Paper 2017-53
Janet Hua Jiang,
Cathy Zhang
We investigate competition between two intrinsically worthless currencies as a result of decentralized interactions between human subjects. We design a laboratory experiment based on a simple two-country, two-currency search model to study factors that affect circulation patterns and equilibrium selection.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Digital currencies and fintech
JEL Code(s):
C,
C9,
C92,
D,
D8,
D83,
E,
E4,
E40
Good Volatility, Bad Volatility and Option Pricing
Staff Working Paper 2017-52
Bruno Feunou,
Cédric Okou
Advances in variance analysis permit the splitting of the total quadratic variation of a
jump diffusion process into upside and downside components. Recent studies establish
that this decomposition enhances volatility predictions, and highlight the
upside/downside variance spread as a driver of the asymmetry in stock price
distributions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods
JEL Code(s):
G,
G1,
G12
Central Bank Digital Currency: Motivations and Implications
Staff Discussion Paper 2017-16
Walter Engert,
Ben Fung
The emergence of digital currencies such as Bitcoin and the underlying blockchain and distribution ledger technology have attracted significant attention. These developments have raised the possibility of considerable impacts on the financial system and perhaps the wider economy.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Bank notes,
Digital currencies and fintech,
Financial services,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E41,
E42,
E5
The Impacts of Monetary Policy Statements
Staff Analytical Note 2017-22
Bruno Feunou,
Corey Garriott,
James Kyeong,
Raisa Leiderman
In this note, we find that market participants react to an unexpected change in the tone of Canadian monetary policy statements. When the market perceives that the Bank of Canada plans to tighten (or alternatively, loosen) the monetary policy earlier than previously expected, the Canadian dollar appreciates (or depreciates) and long-term Government of Canada bond yields increase (or decrease). The tone of a statement is particularly relevant to the market when the policy rate has been unchanged for some time.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Asset pricing,
Exchange rates,
Interest rates,
Monetary policy communications,
Monetary policy transmission
JEL Code(s):
E,
E4,
E43,
E5,
E52,
F,
F3,
F31,
G,
G1,
G12
Identifying the Degree of Collusion Under Proportional Reduction
Staff Working Paper 2017-51
Oleksandr Shcherbakov,
Naoki Wakamori
Proportional reduction is a common cartel practice in which cartel members reduce their output proportionately. We develop a method to quantify this reduction relative to a benchmark market equilibrium scenario and relate the reduction to the traditional conduct parameter.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Market structure and pricing
JEL Code(s):
C,
C3,
C36,
D,
D2,
D22,
L,
L4,
L41
Is the Discretionary Income Effect of Oil Price Shocks a Hoax?
Staff Working Paper 2017-50
Christiane Baumeister,
Lutz Kilian,
Xiaoqing Zhou
The transmission of oil price shocks has been a question of central interest in macroeconomics since the 1970s. There has been renewed interest in this question after the large and persistent fall in the real price of oil in 2014–16. In the context of this debate, Ramey (2017) makes the striking claim that the existing literature on the transmission of oil price shocks is fundamentally confused about the question of how to quantify the effect of oil price shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C5,
C51,
Q,
Q4,
Q43
Product Sophistication and the Slowdown in Chinese Export Growth
Staff Discussion Paper 2017-15
Mark Kruger,
Walter Steingress,
Sri Thanabalasingam
Chinese real export growth decelerated considerably during the last decade. This paper argues that the slowdown largely resulted from China moving to a more sophisticated mix of exports: China produced more sophisticated goods over which it had pricing power instead of producing greater volumes of less sophisticated products.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Development economics,
Exchange rates,
International topics
JEL Code(s):
F,
F1,
F14,
F17,
O,
O1,
O10
Evaluating Real GDP Growth Forecasts in the Bank of Canada Monetary Policy Report
Staff Analytical Note 2017-21
André Binette,
Dmitri Tchebotarev
This paper examines the quality of projections of real GDP growth taken from the Bank of Canada Monetary Policy Report (MPR) since they were first published in 1997. Over the last decade, it has become common practice among the central banking community to discuss forecast performance publicly.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Monetary policy
JEL Code(s):
C,
C5,
C52,
E,
E3,
E32,
E37,
E5,
E52
The Causal Impact of Migration on US Trade: Evidence from Political Refugees
Staff Working Paper 2017-49
Walter Steingress
Immigrants can increase international trade by shifting preferences towards the goods of their country of origin and by reducing bilateral transaction costs. Using geographical variation across U.S. states for the period 2008 to 2013, I estimate the respective causal impact of immigrants on U.S. exports and imports.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics,
Regional economic developments
JEL Code(s):
F,
F1,
F14,
F2,
F22,
J,
J6,
J61