Lessons from the Financial Crisis: Bank Performance and Regulatory Reform Staff Discussion Paper 2013-4 Neville Arjani, Graydon Paulin The financial systems of some countries fared materially better than others during the global financial crisis of 2007-09. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial institutions, Financial system regulation and policies JEL Code(s): G, G2, G21, G28
Ambiguity, Nominal Bond Yields and Real Bond Yields Staff Working Paper 2018-24 Guihai Zhao Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal yield curves. We develop a model that can generate upward-sloping nominal and real yield curves by instead using ambiguity about inflation and growth. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets, Interest rates JEL Code(s): E, E4, E43, G, G0, G00, G1, G12
Inflation Targeting and Price-Level-Path Targeting in the GEM: Some Open Economy Considerations Staff Working Paper 2008-6 Donald Coletti, René Lalonde, Dirk Muir This paper compares the performance of simple inflation targeting (IT) and price-level path targeting (PLPT) rules to stabilize the macroeconomy, in response to a series of shocks, similar to those seen in Canada and the United States over the 1983 to 2004 period. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Inflation and prices, Inflation: costs and benefits, Monetary policy framework JEL Code(s): C, C5, C51, C52, E, E1, E17, E3, E31, E5, E52
Has Exchange Rate Pass-Through Really Declined in Canada? Staff Working Paper 2005-29 Hafedh Bouakez, Nooman Rebei Several empirical studies suggest that exchange rate pass-through has declined in recent years in industrialized countries. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Exchange rates, Inflation and prices, International topics JEL Code(s): F, F3, F4
Monetary Policy under Model and Data-Parameter Uncertainty Staff Working Paper 2005-6 Gino Cateau Policy-makers in the United States over the past 15 to 20 years seem to have been cautious in setting policy: empirical estimates of monetary policy rules such as Taylor's (1993) rule are much less aggressive than those derived from optimizing models. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy and uncertainty JEL Code(s): D, D8, D81, E, E5, E58
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
What Affects MFP in the Long-Run? Evidence from Canadian Industries Staff Working Paper 2008-4 Danny Leung, Yi Zheng In this paper we explore variables that may have an impact on multifactor productivity (MFP) in the long-run using the KLEMS database for Canada. We estimate a dynamic heterogeneous panel error-correction model of twelve 2-digit level industries. Content Type(s): Staff research, Staff working papers Research Topic(s): Productivity JEL Code(s): C, C2, C23, D, D2, D24, O, O3, O30
A Structural VAR Approach to the Intertemporal Model of the Current Account Staff Working Paper 2003-42 Takashi Kano The intertemporal current account approach predicts that the current account of a small open economy is independent of global shocks, and that responses of the current account to country-specific shocks depend on the persistence of the shocks. The author shows that these predictions impose cross-equation restrictions (CERS) on a structural vector autoregression (SVAR). Content Type(s): Staff research, Staff working papers Research Topic(s): Balance of payments and components, Monetary aggregates JEL Code(s): F, F3, F32, F4, F41
What Does Structural Analysis of the External Finance Premium Say About Financial Frictions? Staff Working Paper 2019-38 Jelena Zivanovic I use a structural vector autoregression (SVAR) with sign restrictions to provide conditional evidence on the behavior of the US external finance premium (EFP). The results indicate that the excess bond premium, a proxy for the EFP, reacts countercyclically to supply and monetary policy shocks and procyclically to demand shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial markets, Recent economic and financial developments JEL Code(s): E, E3, E32, E4, E44
Endogenously Segmented Asset Market in an Inventory Theoretic Model of Money Demand Staff Working Paper 2007-46 Jonathan Chiu This paper studies the effects of monetary policy in an inventory theoretic model of money demand. In this model, agents keep inventories of money, despite the fact that money is dominated in rate of return by interest bearing assets, because they must pay a fixed cost to transfer funds between the asset market and the goods market. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework, Monetary policy transmission JEL Code(s): E, E3, E31, E4, E41, E5, E50