Securitization under Asymmetric Information over the Business Cycle Staff Working Paper 2015-9 Martin Kuncl This paper studies the efficiency of financial intermediation through securitization in a model with heterogeneous investment projects and asymmetric information about the quality of securitized assets. I show that when retaining part of the risk, the issuer of securitized assets may credibly signal its quality. Content Type(s): Staff research, Staff working papers 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, E4, E44, G, G0, G01, G2, G20
Information, Risk Sharing and Incentives in Agency Problems Staff Working Paper 2015-7 Jia Xie This paper studies the use of information for incentives and risk sharing in agency problems. When the principal is risk neutral or the outcome is contractible, risk sharing is unnecessary or completely taken care of by a contract on the outcome. Content Type(s): Staff research, Staff working papers Topic(s): Economic models JEL Code(s): D, D8
International Spillovers of Large-Scale Asset Purchases Staff Working Paper 2015-2 Sami Alpanda, Serdar Kabaca This paper evaluates the international spillover effects of large-scale asset purchases (LSAPs) using a two-country dynamic stochastic general-equilibrium model with nominal and real rigidities, and portfolio balance effects. Content Type(s): Staff research, Staff working papers Topic(s): Economic models, International topics, Monetary policy transmission JEL Code(s): E, E5, E52, F, F4, F41
Measuring Potential Output at the Bank of Canada: The Extended Multivariate Filter and the Integrated Framework Staff Discussion Paper 2015-1 Lise Pichette, Pierre St-Amant, Ben Tomlin, Karine Anoma Estimating potential output and the output gap - the difference between actual output and its potential - is important for the proper conduct of monetary policy. However, the measurement and interpretation of potential output, and hence the output gap, is fraught with uncertainty, since it is unobservable. Content Type(s): Staff research, Staff discussion papers Topic(s): Economic models, Inflation and prices, Labour markets, Productivity JEL Code(s): E, E0, E3, E31, E5, E52
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 Topic(s): Economic models, Financial system regulation and policies, Housing, Monetary policy transmission JEL Code(s): E, E5, E52, E6, E62, R, R3, R38
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 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
Integrating Uncertainty and Monetary Policy-Making: A Practitioner’s Perspective Staff Discussion Paper 2014-6 Stephen S. Poloz This paper discusses how central banking is evolving in light of recent experience, with particular emphasis on the incorporation of uncertainty into policy decision-making. Content Type(s): Staff research, Staff discussion papers Topic(s): Economic models, Financial stability, Monetary policy and uncertainty, Monetary policy communications, Monetary policy framework JEL Code(s): C, C5, C50, E, E3, E37, E5, E6, E61
Commodity Price Co-Movement and Global Economic Activity Staff Working Paper 2014-32 Ron Alquist, Olivier Coibion Guided by a macroeconomic model in which non-energy commodity prices are endogenously determined, we apply a new factor-based identification strategy to decompose the historical sources of changes in commodity prices and global economic activity. Content Type(s): Staff research, Staff working papers Topic(s): Economic models, International topics JEL Code(s): E, E3, F, F4
Analyzing and Forecasting the Canadian Economy through the LENS Model Technical Report No. 102 Olivier Gervais, Marc-André Gosselin The authors describe the key features of a new large-scale Canadian macroeconomic forecasting model developed over the past two years at the Bank of Canada. Content Type(s): Staff research, Technical reports Topic(s): Econometric and statistical methods, Economic models JEL Code(s): C, C5, C53, E, E1, E17, E2, E27, E3, E37, F, F1, F17
Optimal Margining and Margin Relief in Centrally Cleared Derivatives Markets Staff Working Paper 2014-29 Radoslav Raykov A major policy challenge posed by derivatives clearinghouses is that their collateral requirements can rise sharply in times of stress, reducing market liquidity and further exacerbating downturns. Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Payment clearing and settlement systems JEL Code(s): G, G1, G19, G2, G21