The Threat of Counterfeiting in Competitive Search Equilibrium Staff Working Paper 2013-22 Enchuan Shao Recent studies in monetary theory show that if buyers can use lotteries to signal the quality of bank notes, counterfeiting does not occur in a pooling equilibrium. In this paper, I investigate the robustness of this non-existence result by considering an alternative trading mechanism. Content Type(s): Staff research, Staff working papers Topic(s): Bank notes JEL Code(s): D, D8, D82, D83, E, E4, E42
Why Do Emerging Markets Liberalize Capital Outflow Controls? Fiscal versus Net Capital Flow Concerns Staff Working Paper 2013-21 Joshua Aizenman, Gurnain Pasricha In this paper, we provide empirical evidence on the factors that motivated emerging economies to change their capital outflow controls in recent decades. Liberalization of capital outflow controls can allow emerging-market economies (EMEs) to reduce net capital inflow (NKI) pressures, but may cost their governments the fiscal revenues that external financial repression generates. Content Type(s): Staff research, Staff working papers Topic(s): Debt management, Financial system regulation and policies, International topics, Recent economic and financial developments JEL Code(s): F, F3, F32, G, G1, G15
June 30, 2013 Research Update - June 2013 This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website. Content Type(s): Staff research, Research newsletters
Money Market Rates and Retail Interest Regulation in China: The Disconnect between Interbank and Retail Credit Conditions Staff Working Paper 2013-20 Nathan Porter, TengTeng Xu Interest rates in China are composed of a mix of both market-determined interest rates (interbank rates and bond yields), and regulated interest rates (retail lending and deposit rates), reflecting China’s gradual process of interest rate liberalization. Content Type(s): Staff research, Staff working papers Topic(s): Development economics, Econometric and statistical methods, Financial markets, Monetary policy framework, Monetary policy transmission JEL Code(s): C, C2, C22, E, E4, E43, E5, E52, E58
Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults Staff Working Paper 2013-19 M. Hashem Pesaran, TengTeng Xu This paper proposes a theoretical framework to analyze the relationship between credit shocks, firm defaults and volatility, and to study the impact of credit shocks on business cycle dynamics. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial institutions JEL Code(s): E, E3, E32, E4, E44, G, G2, G21
Booms and Busts in House Prices Explained by Constraints in Housing Supply Staff Working Paper 2013-18 Narayan Bulusu, Jefferson Duarte, Carles Vergara-Alert We study the importance of supply constraints in explaining the heterogeneity in house price cycles across geographies in the United States. Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Economic models JEL Code(s): R, R3, R31
Fire-Sale FDI or Business as Usual? Staff Working Paper 2013-17 Ron Alquist, Rahul Mukherjee, Linda Tesar Using a new data set, we examine the characteristics and dynamics of cross-border mergers and acquisitions during emerging-market financial crises, that is, so-called “fire-sale FDI.” Our findings shed fresh light on whether the transactions undertaken during crisis periods differ in fundamental ways from those undertaken during more tranquil periods. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, International financial markets, International topics JEL Code(s): F, F2, F21, G, G0, G01, G3, G34
May 30, 2013 Research Update - May 2013 This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website. Content Type(s): Staff research, Research newsletters
Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances Staff Working Paper 2013-16 Sermin Gungor, Richard Luger We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C15, C3, C33, G, G1, G11, G12
What Central Bankers Need to Know about Forecasting Oil Prices Staff Working Paper 2013-15 Christiane Baumeister, Lutz Kilian Forecasts of the quarterly real price of oil are routinely used by international organizations and central banks worldwide in assessing the global and domestic economic outlook, yet little is known about how best to generate such forecasts. Our analysis breaks new ground in several dimensions. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, E, E3, E32, Q, Q4, Q43