On the Importance of Sales for Aggregate Price Flexibility Staff Working Paper 2014-45 Oleksiy Kryvtsov, Nicolas Vincent Macroeconomists have traditionally ignored the behavior of temporary price markdowns (“sales”) by retailers. Although sales are common in the micro price data, they are assumed to be unrelated to macroeconomic phenomena and generally filtered out. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Inflation and prices, Market structure and pricing, Monetary policy transmission JEL Code(s): E, E3, E31, E32, E5, E52, L, L1, L11, L2, L25, L8, L81, M, M3, M31
A Stochastic Simulation Framework for the Government of Canada's Debt Strategy Staff Working Paper 2003-10 David Bolder Debt strategy is defined as the manner in which a government finances an excess of government expenditures over revenues and any maturing debt issued in previous periods. The author gives a thorough qualitative description of the complexities of debt strategy analysis and then demonstrates that it is, in fact, a problem in stochastic optimal control. Content Type(s): Staff research, Staff working papers Research Topic(s): Debt management, Econometric and statistical methods, Economic models JEL Code(s): C, C0, C1, C15, C5, C52, H, H6, H63
Labour Supply and Firm Size Staff Working Paper 2023-47 Lin Shao, Faisal Sohail, Emircan Yurdagul This paper documents a systematic pattern of how wages, hours and their relationship vary across firms of different sizes. Using a model with heterogeneous firms and workers, we show how the interplay between wages, hours and firm size affect worker sorting and inequality. Content Type(s): Staff research, Staff working papers Research Topic(s): Firm dynamics, Labour markets JEL Code(s): E, E2, E24, J, J2, J3, J31
Fiscal Stimulus and Skill Accumulation over the Life Cycle Staff Working Paper 2023-9 Laure Simon Using micro data from the U.S. Consumer Expenditure Survey and Current Population Survey, I document that government spending shocks affect individuals differently over the life cycle. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Fiscal policy, Productivity JEL Code(s): D, D1, D12, D15, E, E2, E21, E6, E62, J, J1, J11, J2, J24
Which Parametric Model for Conditional Skewness? Staff Working Paper 2013-32 Bruno Feunou, Mohammad R. Jahan-Parvar, Roméo Tedongap This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness models. This procedure is based on regressing the realized skewness measures on model-implied conditional skewness values. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C51, G, G1, G12, G15
Do Sunspots Matter? Evidence from an Experimental Study of Bank Runs Staff Working Paper 2014-12 Jasmina Arifovic, Janet Hua Jiang A "sunspot" is a variable that has no direct impact on the economy’s fundamental condition, such as preferences, endowments or technologies, but may nonetheless affect economic outcomes through the expectations channel as a coordination device. This paper investigates how people react to sunspots in the context of a bank-run game in a controlled laboratory environment. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial stability JEL Code(s): C, C9, C91, C92, D, D8, D80, E, E5, E58, G, G2, G20
Relationships in the Interbank Market Staff Working Paper 2016-33 Jonathan Chiu, Cyril Monnet In the interbank market, banks will sometimes trade below the central bank's deposit rate. We explain this anomaly using a theory based on market frictions and relationship lending. Content Type(s): Staff research, Staff working papers Research Topic(s): Interest rates, Monetary policy implementation, Monetary policy transmission JEL Code(s): E, E4, E5
Managerial Compensation Duration and Stock Price Manipulation Staff Working Paper 2015-25 Josef Schroth I build a model of optimal managerial compensation where managers each have a privately observed propensity to manipulate short-term stock prices. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Labour markets, Recent economic and financial developments JEL Code(s): D, D8, D82, G, G1, G14, G3, G30, M, M1, M12
Empirical Likelihood Block Bootstrapping Staff Working Paper 2008-18 Jason Allen, Allan Gregory, Katsumi Shimotsu Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C14, C2, C22
Price Level Targeting: What Is the Right Price? Staff Working Paper 2010-8 Malik Shukayev, Alexander Ueberfeldt Various papers have suggested that Price-Level targeting is a welfare improving policy relative to Inflation targeting. From a practical standpoint, this raises an important yet unanswered question: What is the optimal price index to target? Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework JEL Code(s): E, E3, E32, E5, E52