August 27, 2013 Exits, Spillovers and Monetary Policy Independence Remarks John Murray Canadian Association for Business Economics Kingston, Ontario Deputy Governor John Murray discusses exits from unconventional monetary policies, spillovers and monetary policy independence. Content Type(s): Press, Speeches and appearances, Remarks
Systematic Risk, Debt Maturity and the Term Structure of Credit Spreads Staff Working Paper 2012-27 Hui Chen, Yu Xu, Jun Yang We build a dynamic capital structure model to study the link between systematic risk exposure and debt maturity, as well as their joint impact on the term structure of credit spreads. Our model allows for time variation and lumpiness in the maturity structure. Relative to short-term debt, long-term debt is less prone to rollover risks, but its illiquidity raises the costs of financing. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Debt management JEL Code(s): G, G3, G32, G33
Risk Premium Shocks and the Zero Bound on Nominal Interest Rates Staff Working Paper 2009-27 Robert Amano, Malik Shukayev There appears to be a disconnect between the importance of the zero bound on nominal interest rates in the real-world and predictions from quantitative DSGE models. Recent economic events have reinforced the relevance of the zero bound for monetary policy whereas quantitative models suggest that the zero bound does not constrain (optimal) monetary policy. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework JEL Code(s): E, E3, E32, E5, E52
Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions Staff Working Paper 2017-33 Antonio Diez de los Rios This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian dynamic term structure models that is easy to compute and asymptotically efficient, even when the number of countries is relatively large—a situation in which other recently proposed approaches lose their tractability. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods, Exchange rates, Interest rates JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15
A Forecasting Model for Inventory Investments in Canada Staff Working Paper 2004-39 Marwan Chacra, Maral Kichian The authors present an empirical model to forecast short-run inventory investment behaviour for Canada. Content Type(s): Staff research, Staff working papers Research Topic(s): Domestic demand and components, Econometric and statistical methods JEL Code(s): C, C5, C53, E, E2, E22, E6, E62
Why Do Shoppers Use Cash? Evidence from Shopping Diary Data Staff Working Paper 2012-24 Naoki Wakamori, Angelika Welte Recent studies find that cash remains a dominant payment choice for small-value transactions despite the prevalence of alternative means of payment such as debit and credit cards. For policy makers an important question is whether consumers truly prefer using cash or merchants restrict card usage. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Econometric and statistical methods, Financial services JEL Code(s): C, C2, D, D1, G, G2
Estimating the Effect of Exchange Rate Changes on Total Exports Staff Working Paper 2019-17 Thierry Mayer, Walter Steingress This paper shows that real effective exchange rate (REER) regressions, the standard approach for estimating the response of aggregate exports to exchange rate changes, imply biased estimates of the underlying elasticities. We provide a new aggregate regression specification that is consistent with bilateral trade flows micro-founded by the gravity equation. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Exchange rates, International topics JEL Code(s): F, F1, F11, F12, F3, F31, F32
Can Media and Text Analytics Provide Insights into Labour Market Conditions in China? Staff Working Paper 2018-12 Jeannine Bailliu, Xinfen Han, Mark Kruger, Yu-Hsien Liu, Sri Thanabalasingam The official Chinese labour market indicators have been seen as problematic, given their small cyclical movement and their only-partial capture of the labour force. In our paper, we build a monthly Chinese labour market conditions index (LMCI) using text analytics applied to mainland Chinese-language newspapers over the period from 2003 to 2017. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics, Labour markets JEL Code(s): C, C3, C38, C5, C55, E, E2, E24, E27
On the Believable Benefits of Low Inflation Staff Working Paper 1998-15 Christopher Ragan This paper reviews the existing theoretical and empirical literature addressing the benefits of low inflation. The ultimate goal is to arrive at a set of benefits in which a monetary authority can have genuine confidence. I argue that the current state of economic research—both empirical and theoretical—provides little basis for believing in significant observable benefits […] Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation: costs and benefits JEL Code(s): E, E3, E31
Concentration in the market of authorized participants of US fixed-income exchange-traded funds Staff Analytical Note 2020-27 Rohan Arora, Sébastien Betermier, Guillaume Ouellet Leblanc, Adriano Palumbo, Ryan Shotlander We show that a small number of authorized participants (APs) actively create and redeem shares of US-listed fixed-income exchange-traded funds (FI-ETFs). In 2019, three APs performed 82 percent of gross creations and redemptions of FI-ETF shares. In contrast, the group of active APs for equity ETFs was much more diverse. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Coronavirus disease (COVID-19), Financial markets, Financial stability JEL Code(s): G, G1, G2, G20, G23