Technology Shocks and Business Cycles: The Role of Processing Stages and Nominal Rigidities Staff Working Paper 2007-7 Louis Phaneuf, Nooman Rebei This paper develops and estimates a dynamic general equilibrium model that realistically accounts for an input-output linkage between firms operating at different stages of processing. Firms face technological change which is specific to their processing stage and charge new prices according to stage-specific Calvo-probabilities. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E3, E32
Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification Staff Working Paper 2022-24 Pablo Ottonello, Wenting Song We provide empirical evidence of effects to the aggregate economy from surprises about financial intermediaries’ net worth based on a high-frequency identification strategy. We estimate that news of a 1% decline in intermediaries’ net worth leads to a 0.2%–0.4% decrease in the market value of nonfinancial firms. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Business fluctuations and cycles, Credit and credit aggregates, Financial institutions, Financial markets, Financial system regulation and policies, Monetary and financial indicators JEL Code(s): E, E3, E32, E4, E44, E5, E51, G, G0, G01, G1, G12, G2, G21, G23, G24, G3, G32
The Endogenous Relative Price of Investment Staff Working Paper 2015-30 Joel Wagner This paper takes a full-information model-based approach to evaluate the link between investment-specific technology and the inverse of the relative price of investment. The two-sector model presented includes monopolistic competition where firms can vary the markup charged on their product depending on the number of firms competing. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles JEL Code(s): E, E3, E32, L, L1, L11, L16
Bank Capital, Agency Costs, and Monetary Policy Staff Working Paper 2004-6 Césaire Meh, Kevin Moran Evidence suggests that banks, like firms, face financial frictions when raising funds. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Financial institutions, Monetary policy transmission JEL Code(s): E, E4, E44, E5, E52, G, G2, G21
Estimation and Inference by the Method of Projection Minimum Distance Staff Working Paper 2007-56 Òscar Jordà, Sharon Kozicki A covariance-stationary vector of variables has a Wold representation whose coefficients can be semi-parametrically estimated by local projections (Jordà, 2005). Substituting the Wold representations for variables in model expressions generates restrictions that can be used by the method of minimum distance to estimate model parameters. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C5, C53, E, E4, E47
The Effect of Adjustment Costs and Organizational Change on Productivity in Canada: Evidence from Aggregate Data Staff Working Paper 2004-1 Danny Leung A basic neoclassical model of production is often used to assess the contribution of investment to output growth. In the model, investment raises the capital stock and output growth increases in proportion to the growth in capital. Content Type(s): Staff research, Staff working papers Research Topic(s): Productivity JEL Code(s): O, O3, O31, O4, O49
Analyzing Fiscal Sustainability Staff Working Paper 2013-27 Huixin Bi, Eric M. Leeper The authors study the implications of fiscal policy behaviour for sovereign risk in a framework that determines a country’s fiscal limit, the point at which, for economic or political reasons, taxes and spending can no longer adjust to stabilize debt. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Fiscal policy JEL Code(s): E, E6, E62, E65, H, H6, H63
Optimal Taylor Rules in an Estimated Model of a Small Open Economy Staff Working Paper 2004-36 Steve Ambler, Ali Dib, Nooman Rebei The authors compute welfare-maximizing Taylor rules in a dynamic general-equilibrium model of a small open economy. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Exchange rates, Inflation targets JEL Code(s): F, F2, F3, F31, F33
Market Valuation and Risk Assessment of Canadian Banks Staff Working Paper 2004-34 Ying Liu, Mingwei Yuan, Eli Papakirykos The authors apply the asset-valuation model developed by Rabinovitch (1989) to six publicly traded Canadian banks over the period 1982–2002. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions JEL Code(s): G, G1, G12, G2, G21
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