On the Wedge Between the PPI and CPI Inflation Indicators Staff Working Paper 2022-5 Shang-Jin Wei, Yinxi Xie We find that the CPI and PPI inflation indexes co-moved strongly throughout the late 20th century, but their correlation has fallen substantially since the early 2000s. We offer a structural explanation for this divergence based on the growth of global supply chains since 2000. This finding offers a unique perspective for the future design of optimal monetary policy. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Inflation targets, International topics, Monetary policy JEL Code(s): E, E3, E31, E5, E52, E58, F, F1, F11, F12, F4, F41, F6, F62
Does the Buck Stop Here? A Comparison of Withdrawals from Money Market Mutual Funds with Floating and Constant Share Prices Staff Working Paper 2012-25 Jonathan Witmer Recent reform proposals call for an elimination of the constant net asset value (NAV) or “buck” in money market mutual funds to reduce the occurrence of runs. Outside the United States, there are several countries that have money market mutual funds with and without constant NAVs. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial stability, Market structure and pricing JEL Code(s): F, F3, F30, G, G0, G01, G1, G18, G2, G20
Interest on Cash, Fundamental Value Process and Bubble Formation on Experimental Asset Markets Staff Working Paper 2014-18 Giovanni Giusti, Janet Hua Jiang, Yiping Xu We study the formation of price bubbles on experimental asset markets where cash earns interest. There are two main conclusions. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets, Financial stability JEL Code(s): C, C9, C90, G, G1, G10
Y a-t-il eu surinvestissement au Canada durant la seconde moitié des années 1990? Staff Working Paper 2005-5 Sylvain Martel This study on overinvestment differs from the existing literature in that investment in machinery and equipment is modelled as a structural vector autoregression with identification achieved by imposing long-run restrictions, as in Blanchard and Quah (1989). Content Type(s): Staff research, Staff working papers Research Topic(s): Domestic demand and components JEL Code(s): C, C3, C32, E, E3, E37, F, F4, F47
Optimum Currency Areas and Shock Asymmetry: A Comparison of Europe and the United States Staff Working Paper 1994-1 Nick Chamie, Alain DeSerres, René Lalonde Since the early 1980s, models based on economic fundamentals have been poor at explaining the movements in the exchange rate (Messe 1990). In response to this problem, Frankel and Froot (1988) developed a model that uses two approaches to forecast the exchange rate: the fundamentalist approach, which bases the forecast on economic fundamentals, and the chartist approach, which bases the forecast on the past behaviour of the exchange rate. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial markets JEL Code(s): C, C4, C40, G, G1, G12
Asymmetric Systemic Risk Staff Working Paper 2022-19 Radoslav Raykov, Consuelo Silva-Buston Bank regulation presumes risks spill over more easily from large banks to the banking system than vice versa. Interestingly, we observe this is not the case. We find that the capacity to transmit risk is larger in the system-to-bank direction, leading to an increased default risk. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G1, G10, G2, G20
Labor Market Participation, Unemployment and Monetary Policy Staff Working Paper 2014-9 Alessia Campolmi, Stefano Gnocchi We incorporate a participation decision in a standard New Keynesian model with matching frictions and show that treating the labor force as constant leads to incorrect evaluation of alternative policies. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Labour markets, Monetary policy transmission JEL Code(s): E, E2, E24, E3, E32, E5, E52
An Assessment of the Bank of Canada's Term PRA Facility Staff Working Paper 2010-20 Emanuella Enenajor, Alex Sebastian, Jonathan Witmer This paper empirically assesses the effectiveness of the Bank of Canada's term Purchase and Resale Agreement (PRA) facility in reducing short-term bank funding pressures, as measured by the CDOR-OIS spread. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial stability JEL Code(s): E, E5, E58, G, G1, G12, G18
An Empirical Investigation into Government Spending and Private Sector Behaviour Staff Working Paper 1994-8 Robert Amano, Tony S. Wirjanto We examine whether there is a significant relationship between government and private consumption for Canada. We derive estimating equations between the two types of consumption under both cointegration and no-cointegration assumptions. Content Type(s): Staff research, Staff working papers Research Topic(s): Recent economic and financial developments
Identifying Policy-makers' Objectives: An Application to the Bank of Canada Staff Working Paper 2000-11 Nicholas Rowe, James Yetman In this paper, we develop a new way to test hypotheses about policy-makers' targets, and we implement that test for Canadian monetary policy. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation targets JEL Code(s): E, E5, E52, E6, E61