Identifying Asymmetric Comovements of International Stock Market Returns Staff Working Paper 2010-21 Fuchun Li Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock market downturns will lead to stronger comovements than market upturns. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial stability, Financial system regulation and policies, International topics JEL Code(s): C, C4, C49, F, F2, F21, G, G1, G15, G19
The Transmission of Shocks to the Chinese Economy in a Global Context: A Model-Based Approach Staff Working Paper 2010-17 Jeannine Bailliu, Patrick Blagrave To better understand the dynamics of the Chinese economy and its interaction with the global economy, the authors incorporate China into an existing model for the G-3 economies (i.e., the United States, the euro area, and Japan), paying particular attention to modelling the exchange rate and monetary policy in China. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, Exchange rate regimes, International topics JEL Code(s): E, E3, E32, E5, E52, F, F4, F41
The Role of Expenditure Switching in the Global Imbalance Adjustment Staff Working Paper 2010-16 Wei Dong In theory, nominal exchange rate movements can lead to “expenditure switching” when they generate changes in the relative prices of goods across countries. This paper explores whether the expenditure-switching role of exchange rates has changed in the current episode of significant global imbalances. Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, International topics JEL Code(s): F, F3, F4
International Capital Flows and Bond Risk Premia Staff Working Paper 2010-14 Jesus Sierra This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): C, C2, C22, F, F3, F31, F32, F34, G, G1, G11, G12, G15
Prospects for Global Current Account Rebalancing Staff Discussion Paper 2010-4 Kimberly Beaton, Carlos De Resende, René Lalonde, Stephen Snudden The authors use the Bank of Canada's version of the Global Economy Model, a multi-country, multi-sector dynamic stochastic general-equilibrium model with an active banking system (the BoC-GEM-FIN), to study the evolution of global current account balances following the recent global financial crisis. Content Type(s): Staff research, Staff discussion papers Topic(s): Balance of payments and components, Business fluctuations and cycles, International topics, Recent economic and financial developments JEL Code(s): E, E2, E21, F, F0, F01, F3, F32
Le pouvoir de prévision des indices PMI Staff Discussion Paper 2010-3 Claudia Godbout, Jocelyn Jacob The forecast of world economic growth plays a key role in the conduct of Canadian monetary policy. In this context, the authors study the usefulness of the monthly Purchasing Managers’ Indexes (PMIs) in predicting short-term real GDP growth in the euro area, Japan, the United Kingdom, and China, as well as in the world economy. Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, International topics JEL Code(s): E, E3, E37, F, F4, F47
Alternative Optimized Monetary Policy Rules in Multi-Sector Small Open Economies: The Role of Real Rigidities Staff Working Paper 2010-9 Carlos De Resende, Ali Dib, Maral Kichian Inflation-targeting central banks around the world often state their inflation objectives with regard to the consumer price index (CPI). Yet the literature on optimal monetary policy based on models with nominal rigidities and more than one sector suggests that CPI inflation is not always the best choice from a social welfare perspective. Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Inflation targets, Inflation: costs and benefits, Monetary policy framework, Monetary policy implementation JEL Code(s): E, E4, E5, E52, F, F3, F4
Introducing the Bank of Canada's Projection Model for the Global Economy Technical Report No. 99 Jeannine Bailliu, Patrick Blagrave, James Rossiter To complement its existing set of tools to analyze and forecast developments in the global economy, the Bank of Canada recently developed a version of the Global Projection Model (GPM) jointly with staff at the International Monetary Fund. Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models, International topics JEL Code(s): C, C6, C68, E, E2, E27, E3, E37, F, F0, F01
The Power of Many: Assessing the Economic Impact of the Global Fiscal Stimulus Staff Discussion Paper 2010-1 Carlos De Resende, René Lalonde, Stephen Snudden The Bank of Canada Global Economy Model (BoC-GEM) is used to examine the effect of various types of discretionary fiscal policies on different regions of the globe. The BoC-GEM is a microfounded dynamic stochastic general-equilibrium global model with six regions, multiple sectors, and international linkages. Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, Fiscal policy, International topics, Recent economic and financial developments JEL Code(s): E, E5, E52, E58, E6, E61, E63, F, F4, F42
How Changes in Oil Prices Affect the Macroeconomy Staff Working Paper 2009-33 Brian DePratto, Carlos De Resende, Philipp Maier We estimate a New Keynesian general-equilibrium open economy model to examine how changes in oil prices affect the macroeconomy. Our model allows oil price changes to be transmitted through temporary demand and supply channels (affecting the output gap), as well as through persistent supply side effects (affecting trend growth). Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Interest rates, Monetary policy transmission, Potential output, Productivity JEL Code(s): F, F4, F41, Q, Q4, Q43