Securitization under Asymmetric Information over the Business Cycle Staff Working Paper 2015-9 Martin Kuncl This paper studies the efficiency of financial intermediation through securitization in a model with heterogeneous investment projects and asymmetric information about the quality of securitized assets. I show that when retaining part of the risk, the issuer of securitized assets may credibly signal its quality. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial markets, Financial stability, Financial system regulation and policies JEL Code(s): E, E3, E32, E4, E44, G, G0, G01, G2, G20
Menu Costs, Relative Prices, and Inflation: Evidence for Canada Staff Working Paper 1997-14 Robert Amano, Tiff Macklem The menu-cost models of price adjustment developed by Ball and Mankiw (1994;1995) predict that short-run movements in inflation should be positively related to the skewness and the variance of the distribution of disaggregated relative-price shocks in each period. We test these predictions on Canadian data using the distribution of changes in disaggregated producer prices to measure the skewness and standard deviation of relative-price shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Monetary policy framework JEL Code(s): C, C5, C52, E, E3, E31
November 15, 2017 Embracing Uncertainty in the Conduct of Monetary Policy Remarks Carolyn A. Wilkins Money Marketeers of New York University New York, New York Senior Deputy Governor Carolyn A. Wilkins explains how uncertainty is factored into monetary policy decisions. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Central bank research, Economic models, Monetary policy, Monetary policy and uncertainty, Monetary policy implementation, Monetary policy transmission
The Power of Many: Assessing the Economic Impact of the Global Fiscal Stimulus Staff Discussion Paper 2010-1 Carlos De Resende, René Lalonde, Stephen Snudden The Bank of Canada Global Economy Model (BoC-GEM) is used to examine the effect of various types of discretionary fiscal policies on different regions of the globe. The BoC-GEM is a microfounded dynamic stochastic general-equilibrium global model with six regions, multiple sectors, and international linkages. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Business fluctuations and cycles, Fiscal policy, International topics, Recent economic and financial developments JEL Code(s): E, E5, E52, E58, E6, E61, E63, F, F4, F42
Non-competing Data Intermediaries Staff Working Paper 2020-28 Shota Ichihashi I study a model of competing data intermediaries (e.g., online platforms and data brokers) that collect personal data from consumers and sell it to downstream firms. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models JEL Code(s): D, D4, D42, D43, D8, D80, L, L1, L12
Are Sunspots Learnable? An Experimental Investigation in a Simple General-Equilibrium Model Staff Working Paper 2013-14 Jasmina Arifovic, George Evans, Olena Kostyshyna We conduct experiments with human subjects in a model with a positive production externality in which productivity is a non-decreasing function of the average level of employment of other firms. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models JEL Code(s): D, D8, D83, G, G2, G20
An Empirical Analysis of Bill Payment Choices Staff Working Paper 2021-23 Anneke Kosse How do Canadians pay their bills? 2019 survey data collected from over 4,000 Canadian consumers show how people’s bill payment choices vary with consumer characteristics and types of bills. The data also reveal that many consumers feel limited in their choices, which suggests that preferences of billers might play an important role as well. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Econometric and statistical methods, Financial services, Payment clearing and settlement systems JEL Code(s): D, D1, D9, G, G2
The Private Equity Premium Puzzle Revisited Staff Working Paper 2011-6 Katya Kartashova In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the authors’ methodology I replicate the original findings from the Survey of Consumer Finances (SCF) for the period 1989–1998 and show that the returns to private and public equity are similar. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Interest rates, Recent economic and financial developments JEL Code(s): G, G1, G11, G12, G2, G24, G3, G31, G32
Price Discovery in Canadian Government Bond Futures and Spot Markets Staff Working Paper 2007-4 Christopher Chung, Bryan Campbell, Scott Hendry In this paper we look at the relative information content of cash and futures prices for Canadian Government bonds. We follow the information-share approaches introduced by Hasbrouck (1995) and Harris et al (1995), applying the techniques in Gonzalo-Granger (1995), to evaluate the relative contributions of trading in the cash and futures markets to the price discovery process. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G12, G13, G14
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 Research Topic(s): Financial stability, International topics, Monetary policy framework JEL Code(s): E, E4, E5, G, G0, G01