Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1306
result(s)
Global Trade Flows: Revisiting the Exchange Rate Elasticities
Staff Working Paper 2017-41
Matthieu Bussière,
Guillaume Gaulier,
Walter Steingress
This paper contributes to the debate on the magnitude of exchange rate elasticities by providing a set of price and quantity elasticities for 51 advanced and emerging-market economies. Specifically, for each of these countries we report the elasticity of trade prices and trade quantities on both the export and on the import sides, as well as the reaction of the trade balance.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Inflation and prices,
International topics
JEL Code(s):
C,
C5,
C51,
F,
F1,
F14,
F3,
F31,
F33,
F4,
F41
Government Spending Multipliers Under the Zero Lower Bound: Evidence from Japan
Staff Working Paper 2017-40
Thuy Lan Nguyen,
Dmitriy Sergeyev,
Wataru Miyamoto
Using a rich data set on government spending forecasts in Japan, we provide new evidence on the effects of unexpected changes in government spending when the nominal interest rate is near the zero lower bound (ZLB).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Fiscal policy
JEL Code(s):
E,
E3,
E32,
E5,
E6,
E62
Changes in Monetary Regimes and the Identification of Monetary Policy Shocks: Narrative Evidence from Canada
Staff Working Paper 2017-39
Julien Champagne,
Rodrigo Sekkel
We use narrative evidence along with a novel database of real-time data and forecasts from the Bank of Canada's staff economic projections from 1974 to 2015 to construct a new measure of monetary policy shocks and estimate the effects of monetary policy in Canada.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Central bank research,
Econometric and statistical methods,
Exchange rate regimes,
Inflation and prices,
Inflation targets,
Interest rates,
Monetary policy,
Monetary policy framework
JEL Code(s):
E,
E3,
E31,
E32,
E4,
E43,
E5,
E52,
E58
A Counterfactual Valuation of the Stock Index as a Predictor of Crashes
Staff Working Paper 2017-38
Tom Roberts
Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon—instead, I shift focus to severe downside risk (i.e., crashes).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial stability
JEL Code(s):
G,
G0,
G01,
G1,
G12,
G17,
G19
Aggregate Fluctuations and the Role of Trade Credit
Staff Working Paper 2017-37
Lin Shao
In an economy where production takes place in multiple stages and is subject to financial frictions, how firms finance intermediate inputs matters for aggregate outcomes. This paper focuses on trade credit—the lending and borrowing of input goods between firms—and quantifies its aggregate impacts during the Great Recession.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Firm dynamics
JEL Code(s):
E,
E3,
E32,
E4,
E44,
E5,
E51
The Rise of Non-Regulated Financial Intermediaries in the Housing Sector and its Macroeconomic Implications
Staff Working Paper 2017-36
Hélène Desgagnés
I examine the impact of non-regulated lenders in the mortgage market using a dynamic stochastic general equilibrium (DSGE) model. My model features two types of financial intermediaries that differ in three ways: (i) only regulated intermediaries face a capital requirement, (ii) non-regulated intermediaries finance themselves by selling securities and cannot accept deposits, and (iii) non-regulated intermediaries face a more elastic demand.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
Financial system regulation and policies,
Housing
JEL Code(s):
E,
E3,
E32,
E4,
E44,
E47,
E6,
E60,
G,
G2,
G21,
G23,
G28
Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?
Staff Working Paper 2017-35
Christiane Baumeister,
Reinhard Ellwanger,
Lutz Kilian
It is commonly believed that the response of the price of corn ethanol (and hence of the price of corn) to shifts in biofuel policies operates in part through market expectations and shifts in storage demand, yet to date it has proved difficult to measure these expectations and to empirically evaluate this view.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Recent economic and financial developments
JEL Code(s):
Q,
Q1,
Q18,
Q2,
Q28,
Q4,
Q42,
Q5,
Q58
Cross-Border Bank Flows and Monetary Policy: Implications for Canada
Staff Working Paper 2017-34
Ricardo Correa,
Teodora Paligorova,
Horacio Sapriza,
Andrei Zlate
Using the Bank for International Settlements (BIS) Locational Banking Statistics data on bilateral bank claims from 1995 to 2014, we analyze the impact of monetary policy on cross-border bank flows. We find that monetary policy in a source country is an important determinant of cross-border bank flows.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Monetary policy
JEL Code(s):
F,
F3,
F34,
F36,
G,
G0,
G01
Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions
Staff Working Paper 2017-33
Antonio Diez de los Rios
This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian dynamic term structure models that is easy to compute and asymptotically efficient, even when the number of countries is relatively large—a situation in which other recently proposed approaches lose their tractability.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods,
Exchange rates,
Interest rates
JEL Code(s):
E,
E4,
E43,
F,
F3,
F31,
G,
G1,
G12,
G15