Search-for-Yield in Canadian Fixed-Income Mutual Funds and Monetary Policy Staff Working Paper 2014-3 Sermin Gungor, Jesus Sierra This paper investigates the effects of monetary policy on the risk-taking behavior of fixed-income mutual funds in Canada. We consider different measures of the stance of monetary policy and investigate active variation in mutual funds’ risk exposure in response to monetary policy. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Monetary policy transmission JEL Code(s): E, E5, E52, G, G2, G23
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
The Geography of Pandemic Containment Staff Working Paper 2021-26 Elisa Giannone, Nuno Paixão, Xinle Pang Interconnectedness between US states has affected the evolution of the COVID-19 pandemic. We study the optimal containment policies regulating the movement of goods and people within and between states. Content Type(s): Staff research, Staff working papers Research Topic(s): Coronavirus disease (COVID-19), Economic models, Regional economic developments JEL Code(s): F, F1, H, H0, I, I1, R, R1
How Do Agents Form Macroeconomic Expectations? Evidence from Inflation Uncertainty Staff Working Paper 2024-5 Tao Wang The uncertainty regarding inflation that is observed in density forecasts of households and professionals helps macroeconomists understand the formation mechanism of inflation expectations. Shocks to inflation take time to be perceived by all agents in the economy, and such rigidity is lower in a high-inflation environment. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Inflation and prices, Monetary policy and uncertainty JEL Code(s): D, D8, D84, E, E3, E31, E7, E71
Structural Multi-Equation Macroeconomic Models: Identification-Robust Estimation and Fit Staff Working Paper 2009-19 Jean-Marie Dufour, Lynda Khalaf, Maral Kichian Weak identification is likely to be prevalent in multi-equation macroeconomic models such as in dynamic stochastic general equilibrium setups. Identification difficulties cause the breakdown of standard asymptotic procedures, making inference unreliable. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C5, C52, C53, E, E3, E37
A vision for IMF Surveillance Staff Working Paper 2007-37 Robert Lavigne, Philipp Maier, Eric Santor The ongoing review of the IMF, initiated in 2005 by Managing Director De Rato, presents an excellent opportunity to re-examine the role, functions and governance of the Fund. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, International topics JEL Code(s): F, F3, F33
The Impact of Emerging Asia on Commodity Prices Staff Working Paper 2007-55 Sylvie Morin, Calista Cheung Over the past 5 years, real energy and non-energy commodity prices have trended sharply higher. These relative price movements have had important implications for inflation and economic activity in both Canada and the rest of the world. China has accounted for the bulk of incremental demand for oil and many base metals over this period. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, International topics JEL Code(s): E, E3, F, F4, O, O1, O19, Q, Q1, Q11
Fragility of Resale Markets for Securitized Assets and Policy of Asset Purchases Staff Working Paper 2016-46 Martin Kuncl Markets for securitized assets were characterized by high liquidity prior to the recent financial crisis and by a sudden market dry-up at the onset of the crisis. A general equilibrium model with heterogeneous investment opportunities and information frictions predicts that, in boom periods or mild recessions, the degree of adverse selection in resale markets for securitized assets is limited because of the reputation-based guarantees by asset originators. 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, E5, G, G0, G01, G2
Fiscal and Monetary Stabilization Policy at the Zero Lower Bound: Consequences of Limited Foresight Staff Working Paper 2021-51 Michael Woodford, Yinxi Xie How do outcomes of monetary and fiscal stabilization policies at the zero lower bound change when decision makers have finite planning horizons in the economy? We explore the effects of limited foresight on policy tools and the interaction between monetary and fiscal policy. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Central bank research, Fiscal policy, Monetary policy JEL Code(s): E, E5, E52, E6, E63, E7
Network Analysis and Canada's Large Value Transfer System Staff Discussion Paper 2009-13 Lana Embree, Tom Roberts Analysis of the characteristics and structure of a network of financial institutions can provide insight into the complex relationships and interdependencies that exist in a payment, clearing, and settlement system (PCSS), and allow an intuitive understanding of the PCSS's efficiency, stability, and resiliency. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial stability, Payment clearing and settlement systems JEL Code(s): D, D8, D85, G, G1, G10