Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1302
result(s)
Risk Sharing in the Presence of a Public Good
Staff Working Paper 2015-27
Josef Schroth
This paper studies an economy where agents can spend resources on consuming a private good and on funding a public good. There is asymmetric information regarding agents’ relative preference for private versus public good consumption.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Financial system regulation and policies,
Fiscal policy
JEL Code(s):
D,
D8,
D82,
D86,
E,
E6,
E62,
H,
H2,
H21,
H23,
H7,
H77
On the Welfare Cost of Rare Housing Disasters
Staff Working Paper 2015-26
Shaofeng Xu
This paper examines the welfare cost of rare housing disasters characterized by large drops in house prices. I construct an overlapping generations general equilibrium model with recursive preferences and housing disaster shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Economic models,
Housing
JEL Code(s):
E,
E2,
E21,
E4,
E44,
G,
G1,
G11,
R,
R2,
R21
Managerial Compensation Duration and Stock Price Manipulation
Staff Working Paper 2015-25
Josef Schroth
I build a model of optimal managerial compensation where managers each have a privately observed propensity to manipulate short-term stock prices.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Labour markets,
Recent economic and financial developments
JEL Code(s):
D,
D8,
D82,
G,
G1,
G14,
G3,
G30,
M,
M1,
M12
Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data
Staff Working Paper 2015-24
Pierre Guérin,
Danilo Leiva-Leon
This paper introduces new weighting schemes for model averaging when one is interested in combining discrete forecasts from competing Markov-switching models. In particular, we extend two existing classes of combination schemes – Bayesian (static) model averaging and dynamic model averaging – so as to explicitly reflect the objective of forecasting a discrete outcome.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods
JEL Code(s):
C,
C5,
C53,
E,
E3,
E32,
E37
Revisiting the Macroeconomic Impact of Oil Shocks in Asian Economies
Staff Working Paper 2015-23
Juncal Cunado,
Soojin Jo,
Fernando Perez de Gracia
This paper analyzes the macroeconomic impact of oil shocks in four of the largest oil-consuming Asian economies, using a structural vector autoregressive model. We identify three different types of oil shocks via sign restrictions: an oil supply shock, an oil demand shock driven by global economic activity and an oil-specific demand shock.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
E,
E3,
E32,
O,
O5,
O53,
Q,
Q4,
Q43
Sheltered Income: Estimating Income Under-Reporting in Canada, 1998 and 2004
Staff Working Paper 2015-22
Geoffrey R. Dunbar,
Chunling Fu
We use data from the Survey of Financial Security and the Survey of Household Spending to estimate the incidence and extent of income under-reporting in Canada in 1998 and 2004. We estimate that the proportion of households under-reporting income is roughly 35 to 50 per cent in both years.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Domestic demand and components
JEL Code(s):
H,
H2,
H26,
I,
I3,
I32,
K,
K4,
K42
Large-Scale Asset Purchases: Impact on Commodity Prices and International Spillover Effects
Staff Working Paper 2015-21
Sharon Kozicki,
Lena Suchanek,
Eric Santor
Prices of commodities, including metals, energy and agricultural products, rose markedly over the 2009–2010 period. Some observers have attributed a significant part of this increase in commodity prices to the U.S. Federal Reserve’s large-scale asset purchase (LSAP) programs.
Changes in Payment Timing in Canada’s Large Value Transfer System
Staff Working Paper 2015-20
Nellie Zhang
This paper uncovers trends in payment timing in Canada’s Large Value Transfer System (LVTS) from 2003 to 2011. Descriptive analysis shows that LVTS payment activity has not been peaking in the late afternoon since 2008, and the improvement was most significant in 2009.
Content Type(s):
Staff working papers
Topic(s):
Payment clearing and settlement systems
JEL Code(s):
E,
E5,
E50,
G,
G2,
G20
Productive Misallocation and International Transmission of Credit Shocks
Staff Working Paper 2015-19
Yuko Imura,
Julia Thomas
We develop an asymmetric, two-country equilibrium business cycle model to study the role of international trade in transmitting and propagating the real effects of global financial shocks. Our model predicts that a recession in a large economy considerably alters a recession in its smaller trade partner, with distinct investment dynamics driving the transmission.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
Financial markets,
Financial stability,
International topics
JEL Code(s):
E,
E2,
E22,
E3,
E32,
E4,
E44,
F,
F4,
F41,
F44