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3046 Results

What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks

Staff Working Paper 2016-25 Laurent Ferrara, Pierre Guérin
This paper evaluates the effects of high-frequency uncertainty shocks on a set of low-frequency macroeconomic variables that are representative of the U.S. economy. Rather than estimating models at the same common low-frequency, we use recently developed econometric models, which allows us to deal with data of different sampling frequencies.

Safe Payments

In a cashless economy, would the private sector invest in the optimal level of safety in a deposit-based payment system? In general, because of externalities, the answer is no. While the private sector could over- or under-invest in safety, the government can use taxes or subsidies to correct private incentives.

Blockchain-Based Settlement for Asset Trading

Staff Working Paper 2018-45 Jonathan Chiu, Thorsten Koeppl
Can securities be settled on a blockchain and, if so, what are the gains relative to existing settlement systems? We consider a blockchain that ensures delivery versus payment by linking transfers of assets with payments and operates using a proof-of-work protocol. The main benefit of a blockchain is faster and more flexible settlement, whereas the challenge is to avoid settlement fails when participants fork the chain to get rid of trading losses.

Options Decimalization

Staff Working Paper 2016-57 Faith Chin, Corey Garriott
We document the outcome of an options decimalization pilot on Canada’s derivatives exchange. Decimalization improves measures of liquidity and price efficiency. The impact differs by the moneyness of an option and is greatest for out-of-the-money options.

The Monetary Transmission Mechanism at the Sectoral Level

Staff Working Paper 2001-27 Jean Farès, Gabriel Srour
This paper relies on simple vector autoregressions to investigate the monetary transmission mechanism in broad sectors of the Canadian economy. Two types of disaggregation are considered: one at the level of final expenditures, and one at the level of production.
Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy transmission JEL Code(s): E, E5, E52

Understanding the Time Variation in Exchange Rate Pass-Through to Import Prices

Staff Discussion Paper 2017-12 Rose Cunningham, Min Jae Kim, Christian Friedrich, Kristina Hess
In this paper, we analyze the presence of time variation in the pass-through from the nominal effective exchange rate to import prices for 24 advanced economies over the period 1995–2015. In line with earlier studies in the literature, we find substantial heterogeneity in the level of exchange rate pass-through across countries.

An Econometric Examination of the Trend Unemployment Rate in Canada

Staff Working Paper 1996-7 Denise Côté, Doug Hostland
This paper attempts to identify the trend unemployment rate, an empirical concept, using cointegration theory. The authors examine whether there is a cointegrating relationship between the observed unemployment rate and various structural factors, focussing neither on the non-accelerating-inflation rate of unemployment (NAIRU) nor on the natural rate of unemployment, but rather on the trend unemployment rate, which they define in terms of cointegration.
Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets JEL Code(s): E, E2, E24

BoC–BoE Sovereign Default Database: Appendix and References

Technical Report No. 125 David Beers, Obiageri Ndukwe, Joe Berry
Since 2014, the Bank of Canada (BoC) has maintained a comprehensive database of sovereign defaults to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. The database is posted on the BoC’s website and is updated annually in partnership with the Bank of England (BoE).

Canadian Labour Market Dispersion: Mind the (Shrinking) Gap

Staff Analytical Note 2016-3 David Amirault, Naveen Rai
Shocks to a currency area can and often do have asymmetric impacts on its regions that, in the absence of perfect labour mobility, lead to gaps in relative labour market performance. Witness, for example, the effects of the 2008/09 recession and subsequent financial crisis in Europe on the dispersion of employment rates across the euro area – and to a lesser extent the United States.
Content Type(s): Staff research, Staff analytical notes Research Topic(s): Labour markets, Regional economic developments JEL Code(s): J, J0, J01, R, R2, R23
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