Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1320
result(s)
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
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