Commodity Price Co-Movement and Global Economic Activity Staff Working Paper 2014-32 Ron Alquist, Olivier Coibion Guided by a macroeconomic model in which non-energy commodity prices are endogenously determined, we apply a new factor-based identification strategy to decompose the historical sources of changes in commodity prices and global economic activity. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, International topics JEL Code(s): E, E3, F, F4
Technology Adoption in Input-Output Networks Staff Working Paper 2019-51 Xintong Han, Lei Xu We study how input-output networks affect the speed of technology adoption. In particular, we model the decision to adopt the programming language Python 3 by software packages. Python 3 provides advanced features but is not backward compatible with Python 2, which implies it comes with adoption costs. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Firm dynamics, Productivity JEL Code(s): C, C6, C61, L, L2, L23, L8, L86, O, O1, O14, O3, O33
Tracking Canadian Trend Productivity: A Dynamic Factor Model with Markov Switching Staff Discussion Paper 2007-12 Michael Dolega The author attempts to track Canadian labour productivity over the past four decades using a multivariate dynamic factor model that, in addition to the labour productivity series, includes aggregate compensation and consumption information. Productivity is assumed to switch between two regimes (the high-growth state and the low-growth state) with different trend growth rates according to […] Content Type(s): Staff research, Staff discussion papers Research Topic(s): Productivity JEL Code(s): C, C3, C32, O, O4, O5, O51
Financial Frictions, Financial Shocks and Labour Market Fluctuations in Canada Staff Discussion Paper 2011-10 Yahong Zhang What are the effects of financial market imperfections on unemployment and vacancies in Canada? The author estimates the model of Zhang (2011) – a standard monetary dynamic stochastic general-equilibrium model augmented with explicit financial and labour market frictions – with Canadian data for the period 1984Q2–2010Q4, and uses it to examine the importance of financial shocks on labour market fluctuations in Canada. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Economic models, Financial markets, Labour markets JEL Code(s): E, E3, E32, E4, E44, J, J6
Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis Staff Working Paper 2013-25 Christiane Baumeister, Lutz Kilian, Xiaoqing Zhou Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of oil which has not been studied systematically to date. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, G, G1, G15, Q, Q4, Q43
Frictional Capital Reallocation I: Ex Ante Heterogeneity Staff Working Paper 2019-4 Randall Wright, Sylvia Xiaolin Xiao, Yu Zhu This paper studies dynamic general equilibrium models where firms trade capital in frictional markets. Gains from trade arise due to ex ante heterogeneity: some firms are better at investment, so they build capital in the primary market; others acquire it in the secondary market. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy JEL Code(s): E, E2, E22, E4, E44
January 26, 2012 Collateral Valuation for Extreme Market Events Financial System Review - December 2006 Alejandro García, Ramazan Gençay Content Type(s): Publications, Financial System Review articles
Interconnected Banks and Systemically Important Exposures Staff Working Paper 2019-44 Alan Roncoroni, Stefano Battiston, Marco D’Errico, Grzegorz Halaj, Christoffer Kok How do banks' interconnections in the euro area contribute to the vulnerability of the banking system? We study both the direct interconnections (banks lend to each other) and the indirect interconnections (banks are exposed to similar sectors of the economy). These complex linkages make the banking system more vulnerable to contagion risks. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability JEL Code(s): C, C6, C63, G, G1, G15, G2, G21
Consumer Cash Withdrawal Behaviour: Branch Networks and Online Financial Innovation Staff Working Paper 2021-28 Heng Chen, Matthew Strathearn, Marcel Voia The physical network of bank branches is important in how consumers manage their cash holdings. This paper estimates how consumer withdrawal behaviour responds to the distance they must travel to their branch. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech JEL Code(s): G, G2, G21, R, R2, R22
December 10, 2013 The Residential Mortgage Market in Canada: A Primer Financial System Review - December 2013 Allan Crawford, Césaire Meh, Jie Zhou Content Type(s): Publications, Financial System Review articles