Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1320
result(s)
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
Housing Market Dynamics and Macroprudential Policy
Staff Working Paper 2016-31
Gabriel Bruneau,
Ian Christensen,
Césaire Meh
We perform an analysis to determine how well the introduction of a countercyclical loanto- value (LTV) ratio can reduce household indebtedness and housing price fluctuations compared with a monetary policy rule augmented with house price inflation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Financial stability,
Housing,
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
E,
E3,
E31,
E4,
E42,
H,
H2,
H23
Financial Inclusion—What’s it Worth?
Staff Working Paper 2016-30
Miguel Ampudia,
Michael Ehrmann
The paper studies the determinants of being unbanked in the euro area and the United States as well as the effects of being unbanked on wealth accumulation. Based on household-level data from The Eurosystem Household Finance and Consumption Survey and the U.S. Survey of Consumer Finances, it first documents that there are, respectively, 3.6 per cent and 7.5 per cent of unbanked households in the two economies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial services,
Financial system regulation and policies,
Housing
JEL Code(s):
D,
D1,
D14,
G,
G2,
G21,
G28