Trade Flows and Exchange Rates: Importers, Exporters and Products Staff Working Paper 2019-41 Michael Devereux, Wei Dong, Ben Tomlin Using highly disaggregated transaction-level trade data, we document the importance of new firm-level trade partner relationships and the addition of new products to existing relationships in driving aggregate trade flows. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Firm dynamics, International topics JEL Code(s): F, F1, F4
Computing Optimal Policy in a Timeless-Perspective: An Application to a Small-Open Economy Staff Working Paper 2007-32 Michel Juillard, Florian Pelgrin Since the contribution of Kydland and Prescott (1977), it is well known that the optimal Ramsey policy is time inconsistent. In a series of recent contributions, Woodford (2003) proposes a new methodology to circumvent this problem, namely the timeless perspective solution. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework JEL Code(s): C, C6, E, E5, E6
Inventories, Stockouts, and ToTEM Staff Discussion Paper 2010-8 Oleksiy Kryvtsov, Yang Zhang Inventory investment is an important component of the Canadian business cycle. Despite its small average size – less than 1 per cent of output – it exhibits volatile procyclical fluctuations, accounting for almost one-third of output variance. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Business fluctuations and cycles, Monetary policy transmission JEL Code(s): E, E3, E31, E32
Home Equity Extraction and the Boom-Bust Cycle in Consumption and Residential Investment Staff Working Paper 2018-6 Xiaoqing Zhou The consumption boom-bust cycle in the 2000s coincided with large fluctuations in the volume of home equity borrowing. Contrary to conventional wisdom, I show that homeowners largely borrowed for residential investment and not consumption. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Economic models, Housing JEL Code(s): D, D1, E, E2, E3
Habit Formation and the Persistence of Monetary Shocks Staff Working Paper 2002-27 Hafedh Bouakez, Emanuela Cardia, Francisco Ruge-Murcia This paper studies the persistent effects of monetary shocks on output. Previous empirical literature documents this persistence, but standard general-equilibrium models with sticky prices fail to generate output responses beyond the duration of nominal contracts. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Monetary policy transmission JEL Code(s): E, E3, E4, E5
The Role of Long-Term Contracting in Business Lending Staff Working Paper 2024-2 Phoebe Tian This paper examines inefficiencies arising from a lack of long-term contracting in small business lending in China. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions JEL Code(s): D, D8, D83, D86, G, G2, G21, L, L1, L14, L2, L26
Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances Staff Working Paper 2013-16 Sermin Gungor, Richard Luger We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C15, C3, C33, G, G1, G11, G12
McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates Staff Working Paper 2008-43 Antonio Diez de los Rios McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Interest rates, Monetary policy transmission JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15
Three things we learned about the Lynx payment system Staff Analytical Note 2023-14 Nikil Chande, Zhentong Lu, Hiru Rodrigo, Phoebe Tian Canada transitioned to a new wholesale payment system, Lynx, in August 2021. Lynx is based on a real-time settlement model that eliminates credit risk in the system. This model can require more liquidity; however, Lynx’s design allows Canada’s wholesale payments to settle efficiently. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Financial institutions, Financial services, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): C, C1, C10, E, E4, E42, G, G2, G28
Trend Inflation, Wage and Price Rigidities, and Welfare Staff Working Paper 2007-42 Robert Amano, Kevin Moran, Stephen Murchison, Andrew Rennison This paper studies the steady-state costs of inflation in a general-equilibrium model with real per capita output growth and staggered nominal price and wage contracts. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation: costs and benefits JEL Code(s): E, E0, E5