Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1320
result(s)
The Macroeconomic Effects of Military Buildups in a New Neoclassical Synthesis Framework
Staff Working Paper 2003-12
Alain Paquet,
Louis Phaneuf,
Nooman Rebei
The authors study the macroeconomic consequences of large military buildups using a New Neoclassical Synthesis (NNS) approach that combines nominal rigidities within imperfectly competitive goods and labour markets. They show that the predictions of the NNS framework generally are consistent with the sign, timing, and magnitude of how hours worked, after-tax real wages, and output actually respond to an upsurge in military purchases.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
Fiscal policy
JEL Code(s):
E,
E3,
E32,
E6,
E62,
H,
H2
Collateral and Credit Supply
Staff Working Paper 2003-11
Joseph Atta-Mensah
The author examines the role of collateral in an environment where lenders and borrowers possess identical information and similar beliefs about its future value. Using option-pricing techniques, he shows that a secured loan contract is equivalent to a regular bond and an embedded option to the borrower to default.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Economic models
JEL Code(s):
E,
E5,
E51,
G,
G1,
G11,
G12,
G13
A Stochastic Simulation Framework for the Government of Canada's Debt Strategy
Staff Working Paper 2003-10
David Bolder
Debt strategy is defined as the manner in which a government finances an excess of government expenditures over revenues and any maturing debt issued in previous periods. The author gives a thorough qualitative description of the complexities of debt strategy analysis and then demonstrates that it is, in fact, a problem in stochastic optimal control.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Econometric and statistical methods,
Economic models
JEL Code(s):
C,
C0,
C1,
C15,
C5,
C52,
H,
H6,
H63
Bank Lending, Credit Shocks, and the Transmission of Canadian Monetary Policy
Staff Working Paper 2003-9
Joseph Atta-Mensah,
Ali Dib
The authors use a dynamic general-equilibrium model to study the role financial frictions play as a transmission mechanism of Canadian monetary policy, and to evaluate the real effects of exogenous credit shocks. Financial frictions, which are modelled as spreads between deposit and loan interest rates, are assumed to depend on economic activity as well as on credit shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
E,
E3,
E32,
E4,
E5,
E51
Comparing Alternative Output-Gap Estimators: A Monte Carlo Approach
Staff Working Paper 2003-8
Andrew Rennison
The author evaluates the ability of a variety of output-gap estimators to accurately measure the output gap in a model economy. A small estimated model of the Canadian economy is used to generate artificial data.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Potential output
JEL Code(s):
C,
C1,
C15,
E,
E3,
E32
Testing the Stability of the Canadian Phillips Curve Using Exact Methods
Staff Working Paper 2003-7
Lynda Khalaf,
Maral Kichian
Postulating two different specifications for the Canadian Phillips curve (a purely backwardlooking model, and a partly backward-, partly forward-looking model), the authors test for structural breaks in the parameters of the equation. In each case, they account for the possibilities that: (i) breaks can be discrete, or continuous, and (ii) available data samples may be too small to justify using asymptotically valid structural-change tests.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C1,
C15,
C5,
C52,
E,
E3,
E31,
E37
Valuation of Canadian- vs. U.S.-Listed Equity: Is There a Discount?
Staff Working Paper 2003-6
Michael R. King,
Dan Segal
The authors examine how the valuation multiples assigned to the equity of Canadian-listed firms compare with the equity of comparable firms listed in the United States. They find that Canadian-listed firms trade at a discount to U.S.-listed firms across a range of valuation measures.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G15
Shift Contagion in Asset Markets
Staff Working Paper 2003-5
Toni Gravelle,
Maral Kichian,
James Morley
The authors develop a new methodology to investigate how crises cause the relationship between financial variables to change. Two possible sources of increased co-movement between markets during high-variance episodes are considered: larger common shocks operating through standard market linkages, and a structural change in the propagation of shocks between markets, called "shift contagion."
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C3,
C32,
F,
F4,
F42,
G,
G1,
G15
Are Distorted Beliefs Too Good to be True?
Staff Working Paper 2003-4
Miroslav Misina
In a recent attempt to account for the equity-premium puzzle within a representative-agent model, Cecchetti, Lam, and Mark (2000) relax the assumption of rational expectations and in its place use the assumption of distorted beliefs. The author shows that the explanatory power of the distorted beliefs model is due to an inconsistency in the model and that an attempt to remove this inconsistency removes the model's explanatory power.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets
JEL Code(s):
D,
D8,
D84,
G,
G1,
G12