Improving Public Equity Markets? No Pain, No Gain Staff Working Paper 2014-41 Katya Kartashova This paper quantifies the effects of improving public equity markets on macroeconomic aggregates and welfare. I use an open-economy extension of Angeletos (2007), where entrepreneurs face idiosyncratic productivity risk in privately held firms. Content Type(s): Staff research, Staff working papers Research Topic(s): Development economics, Financial institutions, Financial markets JEL Code(s): E, E4, E44, G, G1, G11, O, O1, O11, O16
Fragility of Resale Markets for Securitized Assets and Policy of Asset Purchases Staff Working Paper 2016-46 Martin Kuncl Markets for securitized assets were characterized by high liquidity prior to the recent financial crisis and by a sudden market dry-up at the onset of the crisis. A general equilibrium model with heterogeneous investment opportunities and information frictions predicts that, in boom periods or mild recessions, the degree of adverse selection in resale markets for securitized assets is limited because of the reputation-based guarantees by asset originators. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial markets, Financial stability, Financial system regulation and policies JEL Code(s): E, E3, E32, E5, G, G0, G01, G2
Measuring Potential Output within a State-Space Framework Staff Working Paper 1999-9 Maral Kichian In this paper we measure potential output (and consequently the output gap) using state-space models. Given that the estimated output gap is used as an indicator to measure the extent of inflationary pressures in the economy, we evaluate the use of such models for the implementation of monetary policy. Our starting point is the Gerlach […] Content Type(s): Staff research, Staff working papers Research Topic(s): Potential output JEL Code(s): D, D2, D24
Monetary Policy Lag, Zero Lower Bound, and Inflation Targeting Staff Working Paper 2009-2 Shin-Ichi Nishiyama Although the concept of monetary policy lag has historical roots deep in the monetary economics literature, relatively little attention has been paid to the idea. In this paper, we build on Svensson's (1997) inflation targeting framework by explicitly taking into account the lagged effect of monetary policy and characterize the optimal monetary policy reaction function both in the absence and in the presence of the zero lower bound on the nominal interest rate. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation targets, Monetary policy framework, Monetary policy implementation JEL Code(s): C, C6, C63, E, E5, E52, E58
Relative Prices, Trading Gains, and Real GDI: The Case of Canada Staff Discussion Paper 2009-4 Yi Zheng Treating imports as intermediate inputs to domestic production, the author adopts the translog function approach to model real gross domestic income (GDI) in Canada over the 1961–2006 period. She explores the role of price ratios, such as terms of trade and the real effective exchange rate, in explaining changes in real GDI, trade openness, trade […] Content Type(s): Staff research, Staff discussion papers Research Topic(s): Econometric and statistical methods, Productivity JEL Code(s): C, C4, C43, D, D3, D33, F, F1, F10, O, O4, O47
When Lower Risk Increases Profit: Competition and Control of a Central Counterparty Staff Working Paper 2012-35 Jean-Sébastien Fontaine, Héctor Pérez Saiz, Joshua Slive We model the behavior of dealers in Over-the-Counter (OTC) derivatives markets where a small number of dealers trade with a continuum of heterogeneous clients (hedgers). Imperfect competition and (endogenous) default induce a familiar trade-off between competition and risk. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial stability, Financial system regulation and policies JEL Code(s): G, G1, G10, G18
Addressing Household Indebtedness: Monetary, Fiscal or Macroprudential Policy? Staff Working Paper 2014-58 Sami Alpanda, Sarah Zubairy In this paper, we build a dynamic stochastic general-equilibrium model with housing and household debt, and compare the effectiveness of monetary policy, housing-related fiscal policy, and macroprudential regulations in reducing household indebtedness. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial system regulation and policies, Housing, Monetary policy transmission JEL Code(s): E, E5, E52, E6, E62, R, R3, R38
Alternative Public Spending Rules and Output Volatility Staff Working Paper 2002-37 Jean-Paul Lam, William Scarth One of the central lessons learned from the Great Depression was that adjusting government spending each year to balance the budget increases the volatility of output. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Fiscal policy, Monetary policy transmission JEL Code(s): E, E5, E52, E58, E6, E62
On the Amplification Role of Collateral Constraints Staff Working Paper 2008-23 Caterina Mendicino Following the seminal contribution of Kiyotaki and Moore (1997), the role of collateral constraints for business cycle fluctuations has been highlighted by several authors and collateralized debt is becoming a popular feature of business cycle models. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates JEL Code(s): E, E2, E20, E3, E32
Sample Calibration of the Online CFM Survey Technical Report No. 118 Marie-Hélène Felt, David Laferrière The Canadian Financial Monitor (CFM) survey uses non-probability sampling for data collection, so selection bias is likely. We outline methods for obtaining survey weights and discuss the conditions necessary for these weights to eliminate selection bias. We obtain calibration weights for the 2018 and 2019 online CFM samples. Content Type(s): Staff research, Technical reports Research Topic(s): Econometric and statistical methods JEL Code(s): C, C8, C81, C83