November 18, 2010
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2333
result(s)
Understanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquid Asset Holdings
Staff Working Paper 2010-29
Céline Gauthier,
Zhongfang He,
Moez Souissi
We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory requirement proposals in a holistic way.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Financial system regulation and policies
JEL Code(s):
C,
C1,
C15,
C8,
C81,
E,
E4,
E44,
G,
G0,
G01,
G2,
G21
Trends in U.S. Hours and the Labor Wedge
Staff Working Paper 2010-28
Simona Cociuba,
Alexander Ueberfeldt
From 1980 until 2007, U.S. average hours worked increased by thirteen percent, due to a large increase in female hours. At the same time, the U.S. labor wedge, measured as the discrepancy between a representative household's marginal rate of substitution between consumption and leisure and the marginal product of labor, declined substantially.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Labour markets,
Potential output
JEL Code(s):
E,
E2,
E24,
H,
H2,
H20,
H3,
H31,
J,
J2,
J22
Has the Inclusion of Forward-Looking Statements in Monetary Policy Communications Made the Bank of Canada More Transparent?
Staff Discussion Paper 2010-15
Christine Fay,
Toni Gravelle
To investigate the extent to which the transparency of the Bank of Canada's monetary policy has improved, the authors examine empirically – over the period 30 October 2000 to 31 May 2007 – the reaction of Canadian financial markets to official Bank communications, and in particular their reaction to the recent inclusion of forward-looking policy-rate guidance in these communications.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Central bank research,
Interest rates,
Monetary policy communications,
Monetary policy transmission
JEL Code(s):
E,
E5,
E52,
E58
Stability versus Flexibility: The Role of Temporary Employment in Labour Adjustment
Staff Working Paper 2010-27
Shutao Cao,
Danny Leung
In Canada, temporary workers account for 14 per cent of jobs in the non-farm business sector, are present in a range of industries, and account for 40 per cent of the total job reallocation. Yet most models of job reallocation abstract from temporary workers.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Labour markets,
Productivity
JEL Code(s):
D,
D2,
D24,
J,
J3,
J32
Capital Requirement and Financial Frictions in Banking: Macroeconomic Implications
Staff Working Paper 2010-26
Ali Dib
The author develops a dynamic stochastic general-equilibrium model with an active banking sector, a financial accelerator, and financial frictions in the interbank and bank capital markets.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
Financial markets,
Financial stability
JEL Code(s):
E,
E3,
E32,
E4,
E44,
G,
G1
Losses from Simulated Defaults in Canada's Large Value Transfer System
Staff Discussion Paper 2010-14
Nellie Zhang,
Tom Hossfeld
The Large Value Transfer System (LVTS) loss-sharing mechanism was designed to ensure that, in the event of a one-participant default, the collateral pledged by direct members of the system would be sufficient to cover the largest possible net debit position of a defaulting participant. However, the situation may not hold if the indirect effects of the defaults are taken into consideration, or if two participants default during the same payment cycle.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E47,
G,
G2,
G21
The Effect of Exchange Rate Movements on Heterogeneous Plants: A Quantile Regression Analysis
Staff Working Paper 2010-25
Ben Tomlin,
Loretta Fung
In this paper, we examine how the effect of movements in the real exchange rate on manufacturing plants depends on the plant's placement within the productivity distribution. Appreciations of the local currency expose domestic plants to more competition from abroad as export opportunities shrink and import competition intensifies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Market structure and pricing,
Productivity
JEL Code(s):
D,
D2,
D21,
F,
F1,
L,
L1,
L16,
L6,
L60
Banks, Credit Market Frictions, and Business Cycles
Staff Working Paper 2010-24
Ali Dib
The author proposes a micro-founded framework that incorporates an active banking sector into a dynamic stochastic general-equilibrium model with a financial accelerator.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Economic models,
Financial stability
JEL Code(s):
E,
E3,
E32,
E4,
E44,
G,
G1
Central Bank Haircut Policy
Staff Working Paper 2010-23
James Chapman,
Jonathan Chiu,
Miguel Molico
We present a model of central bank collateralized lending to study the optimal choice of the haircut policy. We show that a lending facility provides a bundle of two types of insurance: insurance against liquidity risk as well as insurance against downside risk of the collateral.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Financial services,
Financial system regulation and policies,
Monetary policy implementation,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E40,
E5,
E50