Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1306
result(s)
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
Credit Conditions and Consumption, House Prices and Debt: What Makes Canada Different?
Staff Working Paper 2015-40
John Muellbauer,
Pierre St-Amant,
David Williams
There is widespread agreement that, in the United States, higher house prices raise consumption via collateral or possibly wealth effects. The presence of similar channels in Canada would have important implications for monetary policy transmission.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Domestic demand and components,
Economic models,
Financial institutions,
Financial stability,
Financial system regulation and policies,
Housing,
Monetary policy transmission
JEL Code(s):
E,
E0,
E02,
E2,
E21,
E4,
E44,
G,
G2,
G21,
R,
R2,
R21,
R3,
R31
Option Valuation with Observable Volatility and Jump Dynamics
Staff Working Paper 2015-39
Peter Christoffersen,
Bruno Feunou,
Yoontae Jeon
Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity dynamics.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing
JEL Code(s):
G,
G1,
G12
Nowcasting BRIC+M in Real Time
Staff Working Paper 2015-38
Tatjana Dahlhaus,
Justin-Damien Guénette,
Garima Vasishtha
Emerging-market economies have become increasingly important in driving global GDP growth over the past 10 to 15 years. This has made timely and accurate assessment of current and future economic activity in emerging markets important for policy-makers not only in these countries but also in advanced economies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C3,
C33,
C5,
C53,
E,
E3,
E37
Domestic and Multilateral Effects of Capital Controls in Emerging Markets
Staff Working Paper 2015-37
Gurnain Pasricha,
Matteo Falagiarda,
Martin Bijsterbosch,
Joshua Aizenman
Using a novel data set on capital control actions in 17 emerging-market economies (EMEs) over the period 2001–11, we provide new evidence on domestic and multilateral (or spillover) effects of capital controls.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial system regulation and policies,
International financial markets,
International topics,
Monetary policy framework
JEL Code(s):
F,
F3,
F32,
F4,
F41,
F42,
G,
G1,
G15
Downside Variance Risk Premium
Staff Working Paper 2015-36
Bruno Feunou,
Mohammad R. Jahan-Parvar,
Cédric Okou
We decompose the variance risk premium into upside and downside variance risk premia. These components reflect market compensation for changes in good and bad uncertainties. Their difference is a measure of the skewness risk premium (SRP), which captures asymmetric views on favorable versus undesirable risks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing
JEL Code(s):
G,
G1,
G12
The Carrot and the Stick: The Business Cycle Implications of Incentive Pay in the Labor Search Model
Staff Working Paper 2015-35
Julien Champagne
This paper considers a real business cycle model with labor search frictions where two types of incentive pay are explicitly introduced following the insights from the micro literature on performance pay (e.g. Lazear, 1986).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Labour markets
JEL Code(s):
E,
E2,
E24,
J,
J3,
J33,
J4,
J41
Heterogeneity in the Dynamic Effects of Uncertainty on Investment
Staff Working Paper 2015-34
Sungje Byun,
Soojin Jo
How does aggregate profit uncertainty influence investment activity at the firm level? We propose a parsimonious adaptation of a factor-autoregressive conditional heteroscedasticity model to exploit information in a subindustry sales panel for an efficient and tractable estimation of aggregate volatility.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Domestic demand and components,
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C2,
C22,
C23,
D,
D8,
D80,
E,
E2,
E22
Cheap But Flighty: How Global Imbalances Create Financial Fragility
Staff Working Paper 2015-33
Enrico Perotti,
Toni Ahnert
We analyze how a wealth shift to emerging countries may lead to instability in developed countries. Investors exposed to expropriation risk are willing to pay a safety premium to invest in countries with good property rights.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
F,
F3,
G,
G2