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
A Model of the EFA Liabilities Staff Discussion Paper 2011-11 Francisco Rivadeneyra, Oumar Dissou The authors describe the liabilities model of the Exchange Fund Account (EFA). The EFA is managed using an asset-liability matching framework that requires currency and duration matching of both sides of the balance sheet. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Debt management, Foreign reserves management JEL Code(s): G, G1, G12, G3, G32
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
A Market Microstructure Analysis of Foreign Exchange Intervention in Canada Staff Working Paper 2002-16 Chris D'Souza This paper clarifies the role and the impact of foreign exchange dealers in the relationship between foreign exchange intervention and nominal exchange rates using a unique dataset that disaggregates trades by dealer and by type of trade. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial institutions, Financial markets JEL Code(s): F, F3, F31, G, G1, G14, G2, G21
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
A Stochastic Volatility Model with Conditional Skewness Staff Working Paper 2011-20 Bruno Feunou, Roméo Tedongap We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods JEL Code(s): C, C1, C5, G, G1, G12
Credit in a Tiered Payments System Staff Working Paper 2006-36 Alexandra Lai, Nikil Chande, Sean O'Connor Payments systems are typically characterized by some degree of tiering, with upstream firms (clearing agents) providing settlement accounts to downstream institutions that wish to clear and settle payments indirectly in these systems (indirect clearers). Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial services, Market structure and pricing, Payment clearing and settlement systems JEL Code(s): G, G2, G21, L, L1, L12, L13, L2, L22
Monetary Policy Transmission during Financial Crises: An Empirical Analysis Staff Working Paper 2014-21 Tatjana Dahlhaus This paper studies the effects of a monetary policy expansion in the United States during times of high financial stress. The analysis is carried out by introducing a smooth transition factor model where the transition between states (“normal” and high financial stress) depends on a financial conditions index. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, Monetary policy transmission JEL Code(s): C, C1, C11, C3, C32, E, E3, E32, E4, E44, G, G0, G01
Central Bank Digital Currency and Banking: Macroeconomic Benefits of a Cash-Like Design Staff Working Paper 2021-63 Jonathan Chiu, Mohammad Davoodalhosseini Should a CBDC be more like cash or bank deposits? An interest-bearing, cash-like CBDC not only makes payments more efficient but also increases total demand. This has positive effects on other transactions, inducing more deposit taking and lending and, thus, bank intermediation. Content Type(s): Staff research, Staff working papers Research Topic(s): Digital currencies and fintech, Monetary policy, Monetary policy framework JEL Code(s): E, E5, E50, E58
GAUSS™ Programs for the Estimation of State-Space Models with ARCH Errors: A User's Guide Staff Working Paper 2000-2 Maral Kichian State-space models have long been popular in explaining the evolution of various economic variables. This is mainly because they generally have more economic content than do others in their class of parsimonious models (for example, VARs). Yet, in spite of their advantages, use of these models until recently was limited by the assumption that all […] Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C8, C82, C87, C89