Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound Staff Working Paper 2012-21 Christiane Baumeister, Luca Benati We explore the macroeconomic effects of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a time-varying parameter structural VAR model. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Interest rates, Monetary policy framework, Monetary policy transmission JEL Code(s): C, C1, C11, C3, C32, E, E5, E52, E58
Identifying Asymmetric Comovements of International Stock Market Returns Staff Working Paper 2010-21 Fuchun Li Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock market downturns will lead to stronger comovements than market upturns. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial stability, Financial system regulation and policies, International topics JEL Code(s): C, C4, C49, F, F2, F21, G, G1, G15, G19
Labour Market Adjustments to Exchange Rate Fluctuations: Evidence from Canadian Manufacturing Industries Staff Working Paper 2005-14 Danny Leung, Terence Yuen The authors provide some of the first empirical evidence on labour market adjustments to exchange rate movements in Canadian manufacturing industries. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Labour markets JEL Code(s): E, E2, E23, F, F4
Natural Monopoly and Distorted Competition: Evidence from Unbundling Fiber-Optic Networks Staff Working Paper 2012-26 Naoaki Minamihashi Can regulation solve problems arising from a natural monopoly? This paper analyzes whether “unbundling,” referring to regulations that enforce sharing of natural monopolistic infrastructure, prevents entrants from building new infrastructure. Content Type(s): Staff research, Staff working papers Research Topic(s): Market structure and pricing, Productivity JEL Code(s): K, K2, K23, L, L4, L43, L9, L96
The Canadian Phillips Curve and Regime Shifting Staff Working Paper 2003-32 Frédérick Demers Phillips curves are generally estimated under the assumption of linearity and parameter constancy. Linear models of inflation, however, have recently been criticized for their poor forecasting performance. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C5, C52, E, E3, E31
Modelling Financial Instability: A Survey of the Literature Staff Working Paper 2002-12 Alexandra Lai The magnitude and frequency of recent financial crises underscore the importance of understanding financial instability for the purpose of crisis prevention and crisis management. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial markets, Financial services JEL Code(s): G, G2, G20, G21, G28
Fooled by Search: Housing Prices, Turnover and Bubbles Staff Working Paper 2012-3 Brian Peterson his paper develops and estimates a model to explain the behaviour of house prices in the United States. The main finding is that over 70% of the increase in house prices relative to trend during the increase of house prices in the United States from 1995 to 2006 can be explained by a pricing mechanism where market participants are ‘Fooled by Search.’ Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Business fluctuations and cycles JEL Code(s): E, E3, R, R2, R21
An Analysis of Closure Policy under Alternative Regulatory Structures Staff Working Paper 2005-11 Greg Caldwell The author develops a theoretical model of bank closure. The regulatory decision about bank failure consists of two parts: whether to close and how to close. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions JEL Code(s): G, G2, G21, G28
Understanding Post-COVID Inflation Dynamics Staff Working Paper 2022-50 Martin Harding, Jesper Lindé, Mathias Trabandt We propose a macroeconomic model with a nonlinear Phillips curve that has a flat slope when inflationary pressures are subdued and steepens when inflationary pressures are elevated. Our model can generate more sizable inflation surges due to cost-push and demand shocks than a standard linearized model when inflation is high. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Central bank research, Coronavirus disease (COVID-19), Economic models, Inflation and prices, Inflation: costs and benefits, Monetary policy, Monetary policy implementation JEL Code(s): E, E3, E30, E31, E32, E37, E4, E44, E5, E52
The Role of Beliefs in Entering and Exiting the Bitcoin Market Staff Working Paper 2024-22 Daniela Balutel, Christopher Henry, Jorge Vásquez, Marcel Voia We develop a model that links investors’ decisions to enter or exit the Bitcoin market with their beliefs about the survival of Bitcoin. Empirical testing using Canadian data reveals that beliefs strongly influence both entries and exits, and this impact varies with time and ownership status. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods JEL Code(s): D, D8, D83, E, E4, E41, O, O3, O33