Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1306
result(s)
Price Level Targeting: What Is the Right Price?
Staff Working Paper 2010-8
Malik Shukayev,
Alexander Ueberfeldt
Various papers have suggested that Price-Level targeting is a welfare improving policy relative to Inflation targeting. From a practical standpoint, this raises an important yet unanswered question: What is the optimal price index to target?
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy framework
JEL Code(s):
E,
E3,
E32,
E5,
E52
Time Variation in Okun's Law: A Canada and U.S. Comparison
Staff Working Paper 2010-7
Kimberly Beaton
This article investigates the stability of Okun's law for Canada and the United States using a time varying parameter approach. Time variation is modeled as driftless random walks and is estimated using the median unbiased estimator approach developed by Stock and Watson (1998).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Labour markets
JEL Code(s):
E,
E2,
E24,
J,
J0,
J00
Assembling a Real-Financial Micro-Dataset for Canadian Households
Staff Working Paper 2010-6
Umar Faruqui
The lack of consolidated Canadian micro data on household balance sheets and expenditures has been an important impediment to empirical research into real-financial linkages in the Canadian household sector. Our paper attempts to fill this data gap by merging household balance sheet data from the Canadian Financial Monitor survey with household expenditure data from the Survey of Household Spending.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Sectoral balance sheet
JEL Code(s):
C,
C8,
C81,
D,
D1,
D10
What Drives Exchange Rates? New Evidence from a Panel of U.S. Dollar Bilateral Exchange Rates
Staff Working Paper 2010-5
Jean-Philippe Cayen,
Donald Coletti,
René Lalonde,
Philipp Maier
We use a novel approach to identify economic developments that drive exchange rates in the long run. Using a panel of six quarterly U.S. bilateral real exchange rates – Australia, Canada, the euro, Japan, New Zealand and the United Kingdom – over the 1980-2007 period, a dynamic factor model points to two common factors.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Exchange rates
JEL Code(s):
J,
J3,
J31
Macroprudential Regulation and Systemic Capital Requirements
Staff Working Paper 2010-4
Céline Gauthier,
Alfred Lehar,
Moez Souissi
In the aftermath of the financial crisis, there is interest in reforming bank regulation such that capital requirements are more closely linked to a bank's contribution to the overall risk of the financial system. In our paper we compare alternative mechanisms for allocating the overall risk of a banking system to its member banks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability
JEL Code(s):
C,
C1,
C15,
C8,
C81,
E,
E4,
E44,
G,
G2,
G21
Corporate Risk Taking and Ownership Structure
Staff Working Paper 2010-3
Teodora Paligorova
This paper investigates the determinants of corporate risk taking. Shareholders with substantial equity ownership in a single company may advocate conservative investment policies due to greater exposure to firm risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G3,
G31,
G34
Labour Reallocation, Relative Prices and Productivity
Staff Working Paper 2010-2
Shutao Cao,
Danny Leung
This paper documents the rate at which labour flows between industries and between firms within industries using the most recent data available. It examines the determinants of these flows and their relationship with the productivity growth.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Labour markets,
Productivity
JEL Code(s):
D,
D2,
D23,
E,
E3,
E32,
J,
J6
Search Frictions and Asset Price Volatility
Staff Working Paper 2010-1
B. Ravikumar,
Enchuan Shao
We examine the quantitative effect of search frictions in product markets on asset price volatility. We combine several features from Shi (1997) and Lagos and Wright (2002) in a model without money. Households prefer special goods and general goods.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
E,
E4,
E44,
G,
G1,
G12
Real and Nominal Frictions within the Firm: How Lumpy Investment Matters for Price Adjustment
Staff Working Paper 2009-36
Michael K. Johnston
Real rigidities are an important feature of modern sticky price models and are policy-relevant because of their welfare consequences, but cannot be structurally identified from time series. I evaluate the plausibility of capital specificity as a source of real rigidities using a two-dimensional generalized (s,S) model calibrated to micro evidence.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy transmission
JEL Code(s):
E,
E1,
E12,
E2,
E22,
E3,
E31