Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1304
result(s)
Time-Consistent Management of a Liquidity Trap with Government Debt
Staff Working Paper 2018-38
Dmitry Matveev
This paper studies optimal discretionary monetary and fiscal policy when the lower bound on nominal interest rates is occasionally binding in a model with nominal rigidities and long-term government debt. At the lower bound it is optimal for the government to temporarily reduce debt.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Fiscal policy,
Monetary policy
JEL Code(s):
E,
E5,
E52,
E6,
E62,
E63
The Extensive Margin of Trade and Monetary Policy
Staff Working Paper 2018-37
Yuko Imura,
Malik Shukayev
This paper studies the effects of monetary policy shocks on firms’ participation in exporting. We develop a two-country dynamic stochastic general equilibrium model in which heterogeneous firms
make forward-looking decisions on whether to participate in the export market and prices are staggered across firms and time.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
Firm dynamics,
International topics,
Monetary policy
JEL Code(s):
E,
E5,
E52,
F,
F1,
F12,
F4,
F44
Central Bank Digital Currency and Monetary Policy
Staff Working Paper 2018-36
Mohammad Davoodalhosseini
Many central banks are contemplating whether to issue central bank digital currency. This piece explores the implications as well as potential motivators of such a step.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Digital currencies and fintech,
Monetary policy
JEL Code(s):
E,
E4,
E42,
E5,
E50
The Impact of Government Debt Supply on Bond Market Liquidity: An Empirical Analysis of the Canadian Market
Staff Working Paper 2018-35
Jeffrey Gao,
Jianjian Jin,
Jacob Thompson
This paper finds that Government of Canada benchmark bonds tend to be more illiquid over the subsequent month when there is a large increase in government debt supply. The result is both statistically and economically significant, stronger for the long-term than the short-term sector, and is robust when other macro factors are controlled for.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Debt management,
Financial markets
JEL Code(s):
D,
D5,
D53,
G,
G1,
G12,
G18,
G2,
G3,
G32
Incentive Compatibility on the Blockchain
Staff Working Paper 2018-34
Jonathan Chiu,
Thorsten Koeppl
A blockchain is a digital ledger that keeps track of a record of ownership without the need for a designated party to update and enforce changes to the record. The updating of the ledger is done directly by the users of the blockchain and is traditionally governed by a proof-of-work (PoW) protocol.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Digital currencies and fintech,
Economic models,
Payment clearing and settlement systems
JEL Code(s):
G,
G2,
H,
H4,
P,
P4,
P43
Following the Money: Evidence for the Portfolio Balance Channel of Quantitative Easing
Staff Working Paper 2018-33
Itay Goldstein,
Jonathan Witmer,
Jing Yang
Recent research suggests that quantitative easing (QE) may affect a broad range of asset prices through a portfolio balance channel. Using novel security-level holding data of individual US mutual funds, we establish evidence that portfolio rebalancing occurred both within and across funds.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy,
Monetary policy implementation,
Monetary policy transmission
JEL Code(s):
E,
E5,
E58,
G,
G2,
G23
Sources of Borrowing and Fiscal Multipliers
Staff Working Paper 2018-32
Romanos Priftis,
Srecko Zimic
This paper finds that debt-financed government spending multipliers vary considerably depending on the location of the debt buyer. In a sample of 33 countries, we find that government spending multipliers are larger when government purchases are financed by issuing debt to foreign investors (non-residents), compared with when government purchases are financed by issuing debt to home investors (residents).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Economic models,
Fiscal policy,
International financial markets
JEL Code(s):
E,
E2,
E6,
E62,
F,
F4,
F41,
H,
H3
Does Outward Foreign Investment Matter for Canadian Productivity? Evidence from Greenfield Investments
Staff Working Paper 2018-31
Naveen Rai,
Lena Suchanek,
Maria Bernier
This paper seeks to understand how outward foreign direct investment (FDI) affects the productivity of Canadian firms. We estimate the impact of outward greenfield investment on measures of firm-level productivity using FDI data from roughly 2,000 Canadian firms and more than 4,000 outward FDI projects over the 2003–14 period.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Firm dynamics,
Productivity
JEL Code(s):
D,
D2,
D24,
F,
F2,
F21,
F23
The BoC-BoE Sovereign Default Database Revisited: What’s New in 2018?
Staff Working Paper 2018-30
David Beers,
Jamshid Mavalwalla
Until recently, there have been few efforts to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada’s Credit Rating Assessment Group (CRAG) has developed a comprehensive database of sovereign defaults posted on the Bank of Canada’s website that now is updated in partnership with the Bank of England.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Development economics,
Financial stability,
International financial markets
JEL Code(s):
F,
F3,
F34,
G,
G1,
G10,
G14,
G15