Expenditure-Switching Effect and the Choice of Exchange Rate Regime Staff Working Paper 2007-54 Wei Dong The author investigates the quantitative importance of the expenditure-switching effect by developing and estimating a structural sticky-price model nesting both producer currency pricing (PCP) and local currency pricing (LCP) settings. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rate regimes, International topics JEL Code(s): F, F3, F4
The Role of Bank Capital in the Propagation of Shocks Staff Working Paper 2008-36 Césaire Meh, Kevin Moran Recent events in financial markets have underlined the importance of analyzing the link between the financial health of banks and real economic activity. This paper contributes to this analysis by constructing a dynamic general equilibrium model in which the balance sheet of banks affects the propagation of shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial institutions, Financial system regulation and policies, Monetary policy transmission JEL Code(s): E, E4, E44, E5, E52, G, G2, G21
Where Does Price Discovery Occur in FX Markets? Staff Working Paper 2007-52 Chris D'Souza Trades in foreign exchange markets are initiated around the world and around the clock. This study illustrates that trades are more informative when initiated in a local country or in major foreign exchange centers like London and New York. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): F, F3, F31, G, G1, G15
Rediscounting Under Aggregate Risk with Moral Hazard Staff Working Paper 2007-51 James Chapman, Antoine Martin Freeman (1999) proposes a model in which discount window lending and open market operations have different effects. This is important because in most of the literature, these policies are indistinguishable. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Financial markets, Payment clearing and settlement systems JEL Code(s): E, E5, E58, G, G2, G20
How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables Staff Working Paper 2007-1 John Galbraith, Greg Tkacz For stationary transformations of variables, there exists a maximum horizon beyond which forecasts can provide no more information about the variable than is present in the unconditional mean. Meteorological forecasts, typically excepting only experimental or exploratory situations, are not reported beyond this horizon; by contrast, little generally accepted information about such maximum horizons is available for economic variables. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C5, C53
Inflation, Nominal Portfolios, and Wealth Redistribution in Canada Staff Working Paper 2008-19 Césaire Meh, Yaz Terajima There is currently a policy debate on potential refinements to monetary policy regimes in countries with low and stable inflation such as the U.S. and Canada. For example, in Canada, a systematic review of the current inflation targeting framework is underway. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Inflation targets, Inflation: costs and benefits, Monetary policy framework, Sectoral balance sheet JEL Code(s): D, D3, D31, D5, D58, E, E3, E31, E5, E50
Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective Staff Working Paper 2006-48 David Bolder Modelling term-structure dynamics is an important component in measuring and managing the exposure of portfolios to adverse movements in interest rates. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, Interest rates JEL Code(s): C, C0, C6, E, E4, G, G1
Survey-Based Estimates of the Term Structure of Expected U.S. Inflation Staff Working Paper 2006-46 Sharon Kozicki, P. A. Tinsley Surveys provide direct information on expectations, but only short histories are available at quarterly frequencies or for long-horizon expectations. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Inflation targets, Monetary policy and uncertainty JEL Code(s): E, E3, E5
Liquidity, Redistribution, and the Welfare Cost of Inflation Staff Working Paper 2007-39 Jonathan Chiu, Miguel Molico This paper studies the long run welfare costs of inflation in a micro-founded model with trading frictions and costly liquidity management. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation: costs and benefits JEL Code(s): E, E4, E40, E5, E50
Human Capital Risk and the Firmsize Wage Premium Staff Working Paper 2008-33 Danny Leung, Alexander Ueberfeldt Why do employed persons in large firms earn more than employed persons in small firms, even after controlling for observable characteristics? Complementary to previous results, this paper proposes a mechanism that gives an answer to this question. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Labour markets, Productivity JEL Code(s): J, J2, J24, J3, J31