Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1323
result(s)
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
How to Predict Financial Stress? An Assessment of Markov Switching Models
Staff Working Paper 2017-32
Benjamin Klaus,
Thibaut Duprey
This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a transition to a tranquil state.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Central bank research,
Econometric and statistical methods,
Financial markets,
Financial stability,
Financial system regulation and policies,
Monetary and financial indicators
JEL Code(s):
C,
C5,
C54,
G,
G0,
G01,
G1,
G15
Downward Nominal Wage Rigidity in Canada: Evidence Against a “Greasing Effect”
Staff Working Paper 2017-31
Joel Wagner
The existence of downward nominal wage rigidity (DNWR) has often been used to justify a positive inflation target. It is traditionally assumed that positive inflation could “grease the wheels” of the labour market by putting downward pressure on real wages, easing labour market adjustments during a recession.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation targets,
Labour markets
JEL Code(s):
E,
E2,
E24,
E5,
E52
Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data
Staff Working Paper 2017-30
Jose Fique
In complex and interconnected banking systems, counterparty risk does not depend only on the risk of the immediate counterparty but also on the risk of others in the network of exposures.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
C,
C6,
C63,
D,
D8,
D85,
G,
G2,
G21