E32 - Business Fluctuations; Cycles

• Financial Frictions, Financial Shocks and Labour Market Fluctuations in Canada

  Staff Discussion Paper 2011-10 Yahong Zhang

  What are the effects of financial market imperfections on unemployment and vacancies in Canada? The author estimates the model of Zhang (2011) – a standard monetary dynamic stochastic general-equilibrium model augmented with explicit financial and labour market frictions – with Canadian data for the period 1984Q2–2010Q4, and uses it to examine the importance of financial shocks on labour market fluctuations in Canada.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Economic models, Financial markets, Labour markets JEL Code(s): E, E3, E32, E4, E44, J, J6

• The Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market

  Staff Working Paper 2011-28 Christiane Baumeister, Gert Peersman

  There has been a systematic increase in the volatility of the real price of crude oil since 1986, followed by a decline in the volatility of oil production since the early 1990s. We explore reasons for this evolution. We show that a likely explanation of this empirical fact is that both the short-run price elasticities of oil demand and of oil supply have declined considerably since the second half of the 1980s.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): E, E3, E31, E32, Q, Q4, Q43

• Price-Level Targeting and Inflation Expectations: Experimental Evidence

  Staff Working Paper 2011-18 Robert Amano, Jim Engle-Warnick, Malik Shukayev

  In this paper, we use an economics decision-making experiment to test a key assumption underpinning the efficacy of price-level targeting relative to inflation targeting for business cycle stabilization and mitigating the effects of the zero lower bound on nominal interest rates.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary policy framework JEL Code(s): E, E3, E32, E5, E52

• Real-Time Forecasts of the Real Price of Oil

  Staff Working Paper 2011-16 Christiane Baumeister, Lutz Kilian

  We construct a monthly real-time data set consisting of vintages for 1991.1-2010.12 that is suitable for generating forecasts of the real price of oil from a variety of models.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, E, E3, E32, Q, Q4, Q43

• Financial Factors and Labour Market Fluctuations

  Staff Working Paper 2011-12 Yahong Zhang

  What are the effects of financial market imperfections on unemployment and vacancies? Since standard DSGE models do not typically model unemployment, they abstract from this issue.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial markets, Labour markets JEL Code(s): E, E3, E32, E4, E44, J, J6

• Financial Spillovers Across Countries: The Case of Canada and the United States

  Staff Discussion Paper 2011-1 Kimberly Beaton, Brigitte Desroches

  The authors investigate financial spillovers across countries with an emphasis on the effect of shocks to financial conditions in the United States on financial conditions and economic activity in Canada. These questions are addressed within a global vector autoregression model.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, Economic models, Financial stability, International topics JEL Code(s): E, E2, E27, E3, E32, F, F3, F36, F4, F40