November 28, 2017
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2360
result(s)
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
Optimal Interbank Regulation
Staff Working Paper 2017-48
Thomas J. Carter
Recent years have seen renewed interest in the regulation of interbank markets. A review of the literature in this area identifies two gaps: first, the literature has tended to make ad hoc assumptions about the interbank contract space, which makes it difficult to generate convincing policy prescriptions; second, the literature has tended to focus on ex-post interventions that kick in only after an interbank disruption has come underway (e.g., open-market operations, lender-of-last-resort interventions, bail-outs), rather than ex-ante prudential policies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G0,
G01,
G2,
G20
Cash Versus Card: Payment Discontinuities and the Burden of Holding Coins
Cash is the preferred method of payment for small value transactions generally less than $25. We provide insight to this finding with a new theoretical model that characterizes and compares consumers’ costs of paying with cash to paying with cards for each transaction.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Econometric and statistical methods
JEL Code(s):
D,
D0,
D03,
E,
E4,
E42
On the Tail Risk Premium in the Oil Market
Staff Working Paper 2017-46
Reinhard Ellwanger
This paper shows that changes in market participants’ fear of rare events implied by crude oil options contribute to oil price volatility and oil return predictability. Using 25 years of historical data, we document economically large tail risk premia that vary substantially over time and significantly forecast crude oil futures and spot returns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C5,
C53,
C58,
D,
D8,
D84,
E,
E4,
E44,
G,
G1,
G12,
G13,
Q,
Q4,
Q43