Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1302
result(s)
Downward Nominal Wage Rigidity in Canada: Evidence from Micro- Level Data
Staff Working Paper 2016-40
Dany Brouillette,
Olena Kostyshyna,
Natalia Kyui
We assess the importance of downward nominal wage rigidity (DNWR) in Canada using both firm- and worker-level microdata. In particular, we analyze employer-level administrative data from the Major Wage Settlements (MWS) and household-based survey data from the Survey of Labour Income Dynamics (SLID).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Labour markets
JEL Code(s):
E,
E2,
E24,
J,
J3,
J30
Are Counterparty Arrangements in Reinsurance a Threat to Financial Stability?
Staff Working Paper 2016-39
Matt Davison,
Darrell Leadbetter,
Bin Lu,
Jane Voll
Interconnectedness among insurers and reinsurers at a global level is not well understood and may pose a significant risk to the sector, with implications for the macroeconomy. Models of the complex interactions among reinsurers and with other participants in the financial system and the real economy are at a very early stage of development.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial services,
Financial stability,
Financial system regulation and policies
JEL Code(s):
C,
C6,
C63,
G,
G1,
G10,
G15,
G18,
G2,
G22,
G28
The Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open Economies
Staff Working Paper 2016-38
Gregory Bauer,
Gurnain Pasricha,
Rodrigo Sekkel,
Yaz Terajima
This paper analyzes the implications of the global financial cycle for conventional and unconventional monetary policies and macroprudential policy in small, open economies such as Canada. The paper starts by summarizing recent work on financial cycles and their growing correlation across borders.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Housing,
International financial markets,
Monetary policy framework
JEL Code(s):
E,
E4,
E42,
E43,
E44,
E5,
E52,
F,
F4,
F41
Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility
Staff Working Paper 2016-37
Michael Ehrmann,
Jonathan Talmi
Press releases announcing and explaining monetary policy decisions play a critical role in the communication strategy of central banks. Because of their market-moving potential, it is particularly important how they are drafted. Often, central banks start from the previous statement and update the earlier text with only small changes.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43,
E5,
E52,
E58
Output Comovement and Inflation Dynamics in a Two-Sector Model with Durable Goods: The Role of Sticky Information and Heterogeneous Factor Markets
Staff Working Paper 2016-36
Tomiyuki Kitamura,
Tamon Takamura
In a simple two-sector New Keynesian model, sticky prices generate a counterfactual negative comovement between the output of durable and nondurable goods following a monetary policy shock. We show that heterogeneous factor markets allow any combination of strictly positive price stickiness to generate positive output comovement.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Monetary policy transmission
JEL Code(s):
E,
E3,
E31,
E32,
E5,
E52
Time-Varying Crash Risk: The Role of Stock Market Liquidity
Staff Working Paper 2016-35
Peter Christoffersen,
Bruno Feunou,
Yoontae Jeon,
Chayawat Ornthanalai
We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on return variance once we include market illiquidity as an economic variable in the model.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods,
Financial stability
JEL Code(s):
G,
G0,
G01,
G1,
G12
International Banking and Cross-Border Effects of Regulation: Lessons from Canada
Staff Working Paper 2016-34
H. Evren Damar,
Adi Mordel
We study how changes in prudential requirements affect cross-border lending of Canadian banks by utilizing an index that aggregates adjustments in key regulatory instruments across jurisdictions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
F,
F3,
F34,
G,
G0,
G01,
G2,
G21
Relationships in the Interbank Market
Staff Working Paper 2016-33
Jonathan Chiu,
Cyril Monnet
In the interbank market, banks will sometimes trade below the central bank's deposit rate. We explain this anomaly using a theory based on market frictions and relationship lending.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Interest rates,
Monetary policy implementation,
Monetary policy transmission
JEL Code(s):
E,
E4,
E5
Global Macro Risks in Currency Excess Returns
Staff Working Paper 2016-32
Kimberly Berg,
Nelson C. Mark
We study a cross section of carry-trade-generated currency excess returns in terms of their exposure to global fundamental macroeconomic risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Exchange rates,
Interest rates
JEL Code(s):
E,
E2,
E21,
E4,
E43,
F,
F3,
F31,
G,
G1,
G12