E3 - Prices, Business Fluctuations, and Cycles

• Optimal Capital Regulation

  Staff Working Paper 2017-6 Stéphane Moyen, Josef Schroth

  We study constrained-efficient bank capital regulation in a model with market-imposed equity requirements. Banks hold equity buffers to insure against sudden loss of access to funding. However, in the model, banks choose to only partially self-insure because equity is privately costly.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): E, E1, E13, E3, E32, E4, E44

• Price-Level Dispersion versus Inflation-Rate Dispersion: Evidence from Three Countries

  Staff Working Paper 2017-3 David Fielding, Christopher Hajzler, James (Jim) C. MacGee

  Inflation can affect both the dispersion of commodity-specific price levels across locations (relative price variability, RPV) and the dispersion of inflation rates (relative inflation variability, RIV). Some menu-cost models and models of consumer search suggest that the RIV-inflation relationship could differ from the RPV-inflation relationship.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices JEL Code(s): E, E3, E31, E5, E50

• A Dynamic Factor Model for Nowcasting Canadian GDP Growth

  Staff Working Paper 2017-2 Tony Chernis, Rodrigo Sekkel

  This paper estimates a dynamic factor model (DFM) for nowcasting Canadian gross domestic product. The model is estimated with a mix of soft and hard indicators, and it features a high share of international data.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, C38, C5, C53, E, E3, E37