Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1290
result(s)
Liquidity Transformation and Bank Capital Requirements
Staff Working Paper 2010-22
Hajime Tomura
This paper presents a dynamic general equilibrium model where asymmetric information about asset quality leads to asset illiquidity. Banking arises endogenously in this environment as banks can pool illiquid assets to average out their idiosyncratic qualities and issue liquid liabilities backed by pooled assets whose total quality is public information.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Financial system regulation and policies
JEL Code(s):
D,
D8,
D82,
E,
E4,
E44,
G,
G2,
G21
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
An Assessment of the Bank of Canada's Term PRA Facility
Staff Working Paper 2010-20
Emanuella Enenajor,
Alex Sebastian,
Jonathan Witmer
This paper empirically assesses the effectiveness of the Bank of Canada's term Purchase and Resale Agreement (PRA) facility in reducing short-term bank funding pressures, as measured by the CDOR-OIS spread.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
E,
E5,
E58,
G,
G1,
G12,
G18
A Model of Housing Stock for Canada
Staff Working Paper 2010-19
David Dupuis,
Yi Zheng
Using an error-correction model (ECM) framework, the authors attempt to quantify the degree of disequilibrium in Canadian housing stock over the period 1961–2008 for the national aggregate and over 1981–2008 for the provinces.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Domestic demand and components
JEL Code(s):
E,
E2,
E21,
J,
J0,
J00
Exchange Rate Fluctuations, Plant Turnover and Productivity
Staff Working Paper 2010-18
Ben Tomlin
In a small open economy fluctuations in the real exchange rate can affect plant turnover, and thus aggregate productivity, by altering the makeup of plants that populate the market. An appreciation of the local currency increases the level of competition in the domestic market as import competition intensifies and export opportunities shrink, forcing less productive plants from the market and compelling new entrants to be more competitive than they otherwise would have been.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Market structure and pricing,
Productivity
JEL Code(s):
D,
D2,
D21,
D24,
L,
L1,
L11
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
Inflation and Unemployment in Competitive Search Equilibrium
Staff Working Paper 2010-15
Mei Dong
Using a monetary search model, Rocheteau, Rupert and Wright (2007) show that the relationship between inflation and unemployment can be positive or negative depending on the primitives of the model. The key features are indivisible labor, nonseparable preferences and bargaining.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation: costs and benefits
JEL Code(s):
E,
E1,
E12,
E13,
E4,
E40,
E5,
E52
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.