June 16, 2008
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2401
result(s)
Empirical Likelihood Block Bootstrapping
Staff Working Paper 2008-18
Jason Allen,
Allan Gregory,
Katsumi Shimotsu
Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C1,
C14,
C2,
C22
Policy Coordination in an International Payment System
Staff Working Paper 2008-17
James Chapman
Given the increasing interdependence of both financial systems and attendant payment and settlement systems a vital question is what form should optimal policy take when there are two connected payment systems with separate regulators.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rate regimes,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E42,
E5,
E58,
F,
F3,
F31,
F33
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk
Staff Working Paper 2008-16
Fousseni Chabi-Yo,
Eric Ghysels,
Eric Renault
The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called twofund separation relies on special assumptions on either returns or preferences.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
C,
C5,
C52,
D,
D5,
D58,
G,
G1,
G11,
G12
The Global Effects of U.S. Fiscal Policy
Staff Discussion Paper 2008-8
Kimberly Beaton
The author examines the global impact of U.S. fiscal policy using the Bank of Canada's Global Economy Model (Lalonde and Muir 2007). In particular, she examines the global macroeconomic implications of the expiration of major tax cuts in the United States and of expected increases in U.S. entitlement program expenditures.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Fiscal policy,
International topics,
Regional economic developments
JEL Code(s):
H,
H0,
H2,
H3
The Effects of a Disruption in CDSX Settlement on Activity in the LVTS: A Simulation Study
Staff Discussion Paper 2008-7
Lana Embree,
Kirby Millar
The Large Value Transfer System (LVTS) for settling large payments, and CDSX for settling debt and equity trades, are two of the main settlement systems in Canada. They are closely linked; for example, at the end of the day the final CDSX payment obligations must settle on the Bank of Canada's books, with payments made […]
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
E,
E5,
E58,
G,
G2,
G21
Reforming the IMF: Lessons from Modern Central Banking
Staff Discussion Paper 2008-6
Philipp Maier,
Eric Santor
The authors examine the institutional and governance framework of modern central banks to determine whether there are lessons that can be applied to the International Monetary Fund's (IMF's) institutional framework. Such a comparison is appealing for two reasons. First, both central banks and the IMF carry out tasks that can be described as "delegated responsibilities." […]
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
International topics
JEL Code(s):
F,
F3
Price Level versus Inflation Targeting under Model Uncertainty
Staff Working Paper 2008-15
Gino Cateau
The purpose of this paper is to make a quantitative contribution to the inflation versus price level targeting debate. It considers a policy-maker that can set policy either through an inflation targeting rule or a price level targeting rule to minimize a quadratic loss function using the actual projection model of the Bank of Canada (ToTEM).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy and uncertainty
JEL Code(s):
D,
D8,
D81,
E,
E5,
E58
Driving Forces of the Canadian Economy: An Accounting Exercise
Staff Working Paper 2008-14
Simona Cociuba,
Alexander Ueberfeldt
This paper analyses the Canadian economy for the post 1960 period. It uses an accounting procedure developed in Chari, Kehoe, and McGrattan (2006). The procedure identifies accounting factors that help align the predictions of the neoclassical growth model with macroeconomic variables observed in the data.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Labour markets,
Potential output,
Productivity
JEL Code(s):
E,
E2,
E24,
E6,
E65,
O,
O4,
O41,
O5,
O51
Uncertainty, Inflation, and Welfare
Staff Working Paper 2008-13
Jonathan Chiu,
Miguel Molico
This paper studies the welfare costs and the redistributive effects of inflation in the presence of idiosyncratic liquidity risk, in a micro-founded search-theoretical monetary model. We calibrate the model to match the empirical aggregate money demand and the distribution of money holdings across households, and study the effects of inflation under the implied degree of market incompleteness.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation: costs and benefits,
Monetary policy framework
JEL Code(s):
E,
E4,
E40,
E5,
E50