Economic models

• November 13, 2015

  Innovation, Central-Bank Style

  Remarks Carolyn A. Wilkins Rotman School of Management and Munk School of Global Affairs Toronto, Ontario

  Senior Deputy Governor Wilkins discusses how the Bank is tackling the most important strategic challenges facing central banks today and how innovative thinking is critical to its success.

  Content Type(s): Press, Speeches and appearances, Remarks Topic(s): Central bank research, Credibility, Economic models, Exchange rate regimes, Inflation targets, Monetary policy framework

• Credit Conditions and Consumption, House Prices and Debt: What Makes Canada Different?

  Staff Working Paper 2015-40 John Muellbauer, Pierre St-Amant, David Williams

  There is widespread agreement that, in the United States, higher house prices raise consumption via collateral or possibly wealth effects. The presence of similar channels in Canada would have important implications for monetary policy transmission.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Domestic demand and components, Economic models, Financial institutions, Financial stability, Financial system regulation and policies, Housing, Monetary policy transmission JEL Code(s): E, E0, E02, E2, E21, E4, E44, G, G2, G21, R, R2, R21, R3, R31

• Public Policy Objectives and the Next Generation of CPA Systems: An Analytical Framework

  Staff Discussion Paper 2015-6 James Chapman, Jonathan Chiu, Sajjad Jafri, Héctor Pérez Saiz

  The payments landscape in Canada is rapidly changing and will continue to evolve, fuelled by strong and persistent drivers. In Canada, the Canadian Payments Association (CPA) is on a path to modernize Canada’s core payment systems.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Economic models, Financial services, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): E, E4, E42, L, L1, L14, L15, L5, L52

• On the Welfare Cost of Rare Housing Disasters

  Staff Working Paper 2015-26 Shaofeng Xu

  This paper examines the welfare cost of rare housing disasters characterized by large drops in house prices. I construct an overlapping generations general equilibrium model with recursive preferences and housing disaster shocks.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Economic models, Housing JEL Code(s): E, E2, E21, E4, E44, G, G1, G11, R, R2, R21

• Managerial Compensation Duration and Stock Price Manipulation

  Staff Working Paper 2015-25 Josef Schroth

  I build a model of optimal managerial compensation where managers each have a privately observed propensity to manipulate short-term stock prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Labour markets, Recent economic and financial developments JEL Code(s): D, D8, D82, G, G1, G14, G3, G30, M, M1, M12

• Productive Misallocation and International Transmission of Credit Shocks

  Staff Working Paper 2015-19 Yuko Imura, Julia Thomas

  We develop an asymmetric, two-country equilibrium business cycle model to study the role of international trade in transmitting and propagating the real effects of global financial shocks. Our model predicts that a recession in a large economy considerably alters a recession in its smaller trade partner, with distinct investment dynamics driving the transmission.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, Financial markets, Financial stability, International topics JEL Code(s): E, E2, E22, E3, E32, E4, E44, F, F4, F41, F44

• 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