Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model Staff Working Paper 2006-42 Céline Gauthier, Fuchun Li The authors estimate a small monthly macroeconometric model (BEAM, for bonds, equity, and money) of the Canadian economy built around three cointegrating relationships linking financial and real variables over the 1975–2002 period. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial stability JEL Code(s): C, C5, E, E4
Canadian City Housing Prices and Urban Market Segmentation Staff Working Paper 2006-49 Jason Allen, Robert Amano, David Byrne, Allan Gregory The authors provide a detailed empirical analysis of Canadian city housing prices. They examine the long-run relationship between city house prices in Canada from 1981 to 2005 as well as idiosyncratic relations between city prices and city-specific variables. Content Type(s): Staff research, Staff working papers Research Topic(s): Regional economic developments JEL Code(s): C, C2, C22, C3, C32, R, R2
Predetermined Prices and the Persistent Effects of Money on Output Staff Working Paper 2001-13 Michael Devereux, James Yetman This paper illustrates a model of predetermined pricing, where firms set a fixed schedule of nominal prices at the time of price readjustment, based on the work of Fischer (1977). This type of price-setting specification cannot produce any excess persistence in a fixed-duration model of staggered prices, but we show that with a probabilistic model of price adjustment, as in Calvo (1983), a predetermined pricing specification can produce excess persistence. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy transmission JEL Code(s): E, E3, E30
Implementation of Monetary Policy in a Regime with Zero Reserve Requirements Staff Working Paper 1997-8 Kevin Clinton Monetary policy can be implemented effectively without reserve requirements as long as cost incentives ensure a predictable demand for settlement balances. A central bank can then achieve the level of short-term interest rates that it desires, using market-oriented instruments only. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy implementation JEL Code(s): E, E5, E52
Benchmark Index of Risk Appetite Staff Working Paper 2006-16 Miroslav Misina Changes in investors' risk appetite have been used to explain a variety of phenomena in asset markets. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial markets JEL Code(s): G, G1, G12
Quantitative Easing and Long‐Term Yields in Small Open Economies Staff Working Paper 2017-26 Antonio Diez de los Rios, Maral Shamloo We compare the Federal Reserve’s asset purchase programs with those implemented by the Bank of England and the Swedish Riksbank, and the Swiss National Bank’s reserve expansion program. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Interest rates, Monetary policy JEL Code(s): E, E4, E43, E5, E52, E58, G, G1, G12
Real-financial Linkages through Loan Default and Bank Capital Staff Working Paper 2013-3 Tamon Takamura Many studies in macroeconomics argue that financial frictions do not amplify the impacts of real shocks. This finding is based on models without endogenous default on loans and bank capital. Using a model featuring endogenous interactions between firm default and bank capital, this paper revisits the propagation mechanisms of real and financial shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability, Financial system regulation and policies, Interest rates JEL Code(s): E, E3, E32, E4, E44, E6, E69
Stability versus Flexibility: The Role of Temporary Employment in Labour Adjustment Staff Working Paper 2010-27 Shutao Cao, Danny Leung In Canada, temporary workers account for 14 per cent of jobs in the non-farm business sector, are present in a range of industries, and account for 40 per cent of the total job reallocation. Yet most models of job reallocation abstract from temporary workers. Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets, Productivity JEL Code(s): D, D2, D24, J, J3, J32
Estimating One-Factor Models of Short-Term Interest Rates Staff Working Paper 1999-18 Des Mc Manus, David Watt There currently exists in the literature several continuous-time one-factor models for short-term interest rates. This paper considers a wide range of these models that are nested into one general model. These models are approximated using both a discrete-time model and a model that accounts for aggregation effects over time, and are estimated by both the […] Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Interest rates JEL Code(s): C, C5, C52, G, G1, G10
The Impact of Unemployment Insurance and Unsecured Credit on Business Cycles Staff Working Paper 2023-22 Michael Irwin This paper studies how unsecured consumer credit impacts the extent to which unemployment insurance (UI) policies smooth aggregate consumption fluctuations over the business cycle. Using a general equilibrium real business cycle model, I find that unsecured credit amplifies the extent to which UI smooths cyclical consumption fluctuations. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Fiscal policy, Labour markets JEL Code(s): E, E2, E21, E24, E3, E32, E4, E44, E6, E62