Volatility Risk and Economic Welfare Staff working paper 2017-20 Shaofeng Xu This paper examines the effects of time-varying volatility on welfare. I construct a tractable endogenous growth model with recursive preferences, stochastic volatility, and capital adjustment costs. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E2, E3 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Economic models, Monetary policy, Real economy and forecasting
The Role of Corporate Saving over the Business Cycle: Shock Absorber or Amplifier? Staff working paper 2018-59 Xiaodan Gao, Shaofeng Xu We document countercyclical corporate saving behavior with the degree of countercyclicality varying nonmonotonically with firm size. We then develop a dynamic stochastic general equilibrium model with heterogeneous firms to explain the pattern and study its implications for business cycles. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E2, E20, E22, E3, E32, G, G3, G31, G32 Research Theme(s): Financial system, Financial institutions and intermediation, Household and business credit, Models and tools, Economic models, Monetary policy, Real economy and forecasting
The Distributional Effects of Conventional Monetary Policy and Quantitative Easing: Evidence from an Estimated DSGE Model Staff working paper 2019-6 Stefan Hohberger, Romanos Priftis, Lukas Vogel This paper compares the distributional effects of conventional monetary policy and quantitative easing (QE) within an estimated open-economy DSGE model of the euro area. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E44, E5, E52, F, F4, F41 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission, Monetary policy tools and implementation
August 18, 2010 Strengthening International Capital and Liquidity Standards: A Macroeconomic Impact Assessment for Canada G-20 leaders have agreed on comprehensive financial sector reforms to reduce the risk of future crises and to strengthen banking systems. Raising the amount and quality of capital and liquidity that financial institutions must carry is a central component of the reforms. The G-20 is developing a set of proposals for agreement by leaders at […]
April 7, 2009 Price-Level Uncertainty, Price-Level Targeting, and Nominal Debt Contracts Bank of Canada Review - Spring 2009 Allan Crawford, Césaire Meh, Yaz Terajima Many central banks around the world have embraced inflation targeting as a monetary policy framework. Interest is growing, however, in price-level targeting as an alternative. The choice of frameworks has important consequences for financial contracts, most of which are not fully indexed to the price level. Changes in the price level therefore lead to changes in the real value of contracts. Content Type(s): Publications, Bank of Canada Review articles
December 23, 2005 The Use of Microdata to Assess Risks in the Non-Financial Corporate Sector Financial System Review - December 2005 Meyer Aaron, Dylan Hogg Content Type(s): Publications, Financial System Review articles
May 13, 2004 Business Outlook Survey - Spring 2004 Businesses’ expectations for the pace of economic activity over the next 12 months remain positive, although somewhat less so than in the winter survey.Supplemental questions on the appreciation of the Canadian dollar - April 2004Supplemental questions on the appreciation of the Canadian dollar - February 2004 Content Type(s): Publications, Business Outlook Survey
September 18, 2017 How Canada’s International Trade is Changing with the Times Remarks Timothy Lane Saskatoon Regional Economic Development Authority Saskatoon, Saskatchewan Deputy Governor Timothy Lane discusses the changing nature of international trade and the factors that are propelling it. Content Type(s): Press, Speeches and appearances, Remarks Subject(s): Financial system, Financial markets, Financial stability, Monetary policy, Economy/Economic growth
The Macroeconomic Effects of Quantitative Easing in the Euro Area: Evidence from an Estimated DSGE Model Staff working paper 2018-11 Stefan Hohberger, Romanos Priftis, Lukas Vogel This paper estimates an open-economy dynamic stochastic general equilibrium model with Bayesian techniques to analyse the macroeconomic effects of the European Central Bank’s (ECB’s) quantitative easing (QE) programme. Using data on government debt stocks and yields across maturities, we identify the parameter governing portfolio adjustment in the private sector. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E44, E5, E52, F, F4, F41 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy tools and implementation
Limiting Sender’s Information in Bayesian Persuasion Staff working paper 2019-10 Shota Ichihashi This paper studies how the outcome of Bayesian persuasion depends on a sender’s information. I study a game in which, prior to the sender’s information disclosure, the designer can restrict the most informative signal that the sender can generate. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D8, D82, D83 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission