Reconciling Jaimovich-Rebelo Preferences, Habit in Consumption and Labor Supply Staff Working Paper 2018-26 Tom D. Holden, Paul Levine, Jonathan Swarbrick This note studies a form of a utility function of consumption with habit and leisure that (a) is compatible with long-run balanced growth, (b) hits a steady-state observed target for hours worked and (c) is consistent with micro-econometric evidence for the inter-temporal elasticity of substitution and the Frisch elasticity of labor supply. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Labour markets JEL Code(s): E, E2, E21, E24
Firm Heterogeneity, Technological Adoption, and Urbanization: Theory and Measurement Staff Working Paper 2017-27 Alex Chernoff This paper develops a model of firm heterogeneity, technological adoption, and urbanization. In the model, welfare is measured by household real income, and urbanization is measured by population density. I use the model to derive statistics that measure the effect of a new technology on productivity, welfare, and urbanization. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Productivity, Regional economic developments JEL Code(s): N, N6, N61, O, O1, O14, R, R1, R13
Variance Premium, Downside Risk and Expected Stock Returns Staff Working Paper 2017-58 Bruno Feunou, Ricardo Lopez Aliouchkin, Roméo Tedongap, Lai Xi We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large cross-section of firms. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets JEL Code(s): G, G1, G12
Credit, Asset Prices, and Financial Stress in Canada Staff Working Paper 2008-10 Miroslav Misina, Greg Tkacz Historical narratives typically associate financial crises with credit expansions and asset price misalignments. The question is whether some combination of measures of credit and asset prices can be used to predict these events. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Financial stability JEL Code(s): E, E5, G, G1, G10
Bank Leverage Regulation and Macroeconomic Dynamics Staff Working Paper 2011-32 Ian Christensen, Césaire Meh, Kevin Moran This paper assesses the merits of countercyclical bank balance sheet regulation for the stabilization of financial and economic cycles and examines its interaction with monetary policy. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial institutions, Financial system regulation and policies, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E4, E44, E5, E52, G, G2, G21
Monetary Policy Uncertainty: A Tale of Two Tails Staff Working Paper 2018-50 Tatjana Dahlhaus, Tatevik Sekhposyan We document a strong asymmetry in the evolution of federal funds rate expectations and map this observed asymmetry into measures of monetary policy uncertainty. We show that periods of monetary policy tightening and easing are distinctly related to downside (policy rate is higher than expected) and upside (policy rate is lower than expected) uncertainty. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Monetary policy and uncertainty, Monetary policy communications, Monetary policy transmission JEL Code(s): C, C1, C18, C3, C32, E, E0, E02, E4, E43, E5, E52
August 16, 2012 Global Risk Premiums and the Transmission of Monetary Policy Bank of Canada Review - Summer 2012 Gregory Bauer, Antonio Diez de los Rios An important channel in the transmission of monetary policy is the relationship between the short-term policy rate and long-term interest rates. Using a new term-structure model, the authors show that the variation in long-term interest rates over time consists of two components: one representing investor expectations of future policy rates, and another reflecting a term-structure risk premium that compensates investors for holding a risky asset. The time variation in the term-structure risk premium is countercyclical and largely determined by global macroeconomic conditions. As a result, long-term rates are pushed up during recessions and down during times of expansion. This is an important phenomenon that central banks need to take into account when using short-term rates as a policy tool. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Asset pricing, Financial markets, Monetary policy transmission JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15
Fixed-Term and Permanent Employment Contracts: Theory and Evidence Staff Working Paper 2011-21 Shutao Cao, Enchuan Shao, Pedro Silos This paper constructs a theory of the coexistence of fixed-term and permanent employment contracts in an environment with ex-ante identical workers and employers. Workers under fixed-term contracts can be dismissed at no cost while permanent employees enjoy labor protection. Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets, Potential output, Productivity JEL Code(s): H, H2, H29, J, J2, J23, J3, J38
International Economic Sanctions and Third-Country Effects Staff Working Paper 2023-46 Fabio Ghironi, Daisoon Kim, Galip Kemal Ozhan We study the transmission and third-country effects of international sanctions. A sanctioned country’s losses are mitigated, and the sanctioning country’s losses amplified, if a third country does not join the sanctions, but the third country benefits from not joining. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Exchange rates, International topics JEL Code(s): F, F3, F31, F4, F41, F42, F5, F51
Convergence in a Stochastic Dynamic Heckscher-Ohlin Model Staff Working Paper 2006-23 Partha Chatterjee, Malik Shukayev The authors characterize the equilibrium for a small economy in a dynamic Heckscher-Ohlin model with uncertainty. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models JEL Code(s): F, F4, F43, O, O4, O41