Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1304
result(s)
Agency Costs, Risk Shocks and International Cycles
Staff Working Paper 2016-2
Marc-André Letendre,
Joel Wagner
We add agency costs as in Carlstrom and Fuerst (1997) into a two-country, two-good international business-cycle model. In our model, changes in the relative price of investment arise endogenously.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
International topics
JEL Code(s):
E,
E2,
E22,
E3,
E32,
E4,
E44,
F,
F4,
F44
Reconciling the Differences in Aggregate U.S. Wage Series
Staff Working Paper 2016-1
Julien Champagne,
André Kurmann,
Jay Stewart
Average hourly real wage series from the Labor Productivity and Costs (LPC) program and the Current Employment Statistics (CES) program have evolved very differently over the past decades.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Labour markets
JEL Code(s):
E,
E0,
E01,
E2,
E24,
E3,
E30,
J,
J3,
J30
Debt Overhang and Deleveraging in the US Household Sector: Gauging the Impact on Consumption
Staff Working Paper 2015-47
Bruno Albuquerque,
Georgi Krustev
Using a novel dataset for the US states, this paper examines whether household debt and the protracted debt deleveraging help explain the dismal performance of US consumption since 2007, in the aftermath of the housing bubble.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C1,
C13,
C2,
C23,
C5,
C52,
D,
D1,
D12,
H,
H3,
H31
Tractable Term Structure Models
Staff Working Paper 2015-46
Bruno Feunou,
Jean-Sébastien Fontaine,
Anh Le,
Christian Lundblad
We introduce a new framework that facilitates term structure modeling with both positive interest rates and flexible time-series dynamics but that is also tractable, meaning amenable to quick and robust estimation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Interest rates,
International financial markets,
International topics,
Monetary policy and uncertainty,
Monetary policy transmission
JEL Code(s):
G,
G1,
G12
Exchange Rate Fluctuations and Labour Market Adjustments in Canadian Manufacturing Industries
Staff Working Paper 2015-45
Gabriel Bruneau,
Kevin Moran
We estimate the link between exchange rate fluctuations and the labour input of Canadian manufacturing industries. The analysis is based on a dynamic model of labour demand, and the econometric strategy employs a panel two-step approach for cointegrating regressions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Exchange rate regimes,
Exchange rates,
Labour markets,
Recent economic and financial developments
JEL Code(s):
E,
E2,
E24,
F,
F1,
F14,
F16,
F3,
F31,
F4,
F41,
J,
J2,
J23
Emergency Liquidity Facilities, Signalling and Funding Costs
Staff Working Paper 2015-44
Céline Gauthier,
Alfred Lehar,
Héctor Pérez Saiz,
Moez Souissi
In the months preceding the failure of Lehman Brothers in September 2008, banks were willing to pay a premium over the Federal Reserve’s discount window (DW) rate to participate in the much less flexible Term Auction Facility (TAF). We empirically test the predictions of a new signalling model that offers a rationale for offering two different liquidity facilities.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Lender of last resort
JEL Code(s):
G,
G0,
G01,
G2,
G21,
G28
On the Essentiality of E-Money
Staff Working Paper 2015-43
Jonathan Chiu,
Tsz-Nga Wong
Recent years have witnessed the advances of e-money systems such as Bitcoin, PayPal and various forms of stored-value cards. This paper adopts a mechanism design approach to identify some essential features of different payment systems that implement and improve the constrained optimal resource allocation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Digital currencies and fintech,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E42,
E5,
E58,
L,
L5,
L51
Speculators, Prices and Market Volatility
Staff Working Paper 2015-42
Celso Brunetti,
Bahattin Buyuksahin,
Jeffrey H. Harris
We analyze data from 2005 through 2009 that uniquely identify categories of traders to assess how speculators such as hedge funds and swap dealers relate to volatility and price changes. Examining various subperiods where price trends are strong, we find little evidence that speculators destabilize financial markets.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics,
Recent economic and financial developments
JEL Code(s):
C,
C3,
G,
G1
Monetary Policy and Financial Stability: Cross-Country Evidence
Staff Working Paper 2015-41
Christian Friedrich,
Kristina Hess,
Rose Cunningham
Central banks may face challenges in achieving their price stability goals when financial stability risks are present. There is, however, considerable heterogeneity among central banks with respect to how they manage these potential trade-offs.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
International topics,
Monetary policy framework
JEL Code(s):
E,
E4,
E5,
G,
G0,
G01