The Carry Trade, Portfolio Diversification, and the Adjustment of the Japanese Yen Staff Discussion Paper 2008-2 Corinne Luu In this paper, the author considers whether fundamentals or other factors can explain the yen's ongoing weakness. In particular, the importance of capital outflows due to the carry trade and longer-term portfolio investment outflows, which may be delaying the adjustment of the yen, are investigated. A simple portfolio model is developed, composed of a speculative […] Content Type(s): Staff research, Staff discussion papers Research Topic(s): Exchange rates, International topics, Recent economic and financial developments JEL Code(s): F, F2, F21, F3, F31, F32, G, G1, G11
Job Ladder and Business Cycles Staff Working Paper 2022-14 Felipe Alves During downturns, workers get stuck in low-productivity jobs and wages remain stagnant. I build an heterogenous agent incomplete market model with a full job ladder that accounts for these facts. An adverse financial shock calibrated to the US Great Recession replicates the period’s slow recovery and missing disinflation. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Inflation and prices, Labour markets, Productivity JEL Code(s): D, D3, D31, D5, D52, E, E2, E21, E24, E3, E31, E32
Contribution of ICT Use to Output and Labour-Productivity Growth in Canada Staff Working Paper 2002-7 Hashmat Khan, Marjorie Santos There is ample evidence that information and communication technologies (ICT) contributed significantly to the surge in output and labour-productivity growth in the United States in the late 1990s. Content Type(s): Staff research, Staff working papers Research Topic(s): Productivity JEL Code(s): O, O4, O5
How Do Households Respond to Expected Inflation? An Investigation of Transmission Mechanisms Staff Working Paper 2024-44 Janet Hua Jiang, Rupal Kamdar, Kelin Lu, Daniela Puzzello We conduct surveys to study how consumer spending responds to higher inflation expectations. Most respondents spend the same, sticking to fixed budget plans or not considering inflation for spending decisions. About 20% decrease spending because they feel poorer and cut spending to invest in inflation-proof assets. Very few increase spending. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Inflation and prices, Inflation targets, Monetary policy, Monetary policy transmission JEL Code(s): D, D1, D15, D8, D84, E, E2, E5, E52, E7
Monetary Policy and the Persistent Aggregate Effects of Wealth Redistribution Staff Working Paper 2021-38 Martin Kuncl, Alexander Ueberfeldt Monetary policy in the presence of nominal debt and labour supply heterogeneity creates a policy trade-off: a short-term economic stimulus leads to persistently reduced output over the medium term. Price-level targeting weakens this trade-off and is better able to stabilize inflation and output than inflation targeting. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework, Monetary policy transmission JEL Code(s): E, E2, E21, E5, E50
Empirical Likelihood Block Bootstrapping Staff Working Paper 2008-18 Jason Allen, Allan Gregory, Katsumi Shimotsu Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C14, C2, C22
What To Do about Bilateral Credit Limits in the LVTS When a Closure Is Anticipated: Risk versus Liquidity Sharing among LVTS Participants Staff Discussion Paper 2008-13 Sean O'Connor, Greg Caldwell The authors examine the effect of a trade-off between shared credit risk and liquidity efficiency, among participants in Tranche 2 of the Large Value Transfer System (LVTS T2), on their decisions to leave open, or close, their bilateral credit limits (BCLs) to a participant at risk of imminent closure. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial institutions, Financial services, Payment clearing and settlement systems JEL Code(s): G, G2, G21, L, L1, L13, L14
The Fisher BCPI: The Bank of Canada’s New Commodity Price Index Staff Discussion Paper 2010-6 Ilan Kolet, Ryan Macdonald The prices of commodities produced in Canada have important implications for the performance of the Canadian economy and the conduct of monetary policy. The authors explain an important change to the methodology used to construct the Bank of Canada commodity price index (BCPI). Content Type(s): Staff research, Staff discussion papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, E, E3
Persistent Leverage in Portfolio Sorts: An Artifact of Measurement Error? Staff Working Paper 2014-55 Michael Mueller Studies such as Lemmon, Roberts and Zender (2008) demonstrate how stable firms’ capital structures are over time, and raise the question of whether new theories of capital structure are needed to explain these phenomena. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C18, G, G3, G32
Selection of the Truncation Lag in Structural VARs (or VECMs) with Long-Run Restrictions Staff Working Paper 1995-9 Alain DeSerres, Alain Guay authors examine the issue of lag-length selection in the context of a structural vector autoregression (VAR) and a vector error-correction model with long-run restrictions. First, they show that imposing long-run restrictions implies, in general, a moving-average (MA) component in the stationary multivariate representation. Then they examine the sensitivity of estimates of the permanent and transitory […] Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods