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2333
result(s)
Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults
Staff Working Paper 2013-19
M. Hashem Pesaran,
TengTeng Xu
This paper proposes a theoretical framework to analyze the relationship between credit shocks, firm defaults and volatility, and to study the impact of credit shocks on business cycle dynamics.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Economic models,
Financial institutions
JEL Code(s):
E,
E3,
E32,
E4,
E44,
G,
G2,
G21
Booms and Busts in House Prices Explained by Constraints in Housing Supply
Staff Working Paper 2013-18
Narayan Bulusu,
Jefferson Duarte,
Carles Vergara-Alert
We study the importance of supply constraints in explaining the heterogeneity in house price cycles across geographies in the United States.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Economic models
JEL Code(s):
R,
R3,
R31
Fire-Sale FDI or Business as Usual?
Staff Working Paper 2013-17
Ron Alquist,
Rahul Mukherjee,
Linda Tesar
Using a new data set, we examine the characteristics and dynamics of cross-border mergers and acquisitions during emerging-market financial crises, that is, so-called “fire-sale FDI.” Our findings shed fresh light on whether the transactions undertaken during crisis periods differ in fundamental ways from those undertaken during more tranquil periods.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International financial markets,
International topics
JEL Code(s):
F,
F2,
F21,
G,
G0,
G01,
G3,
G34
Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances
Staff Working Paper 2013-16
Sermin Gungor,
Richard Luger
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C12,
C15,
C3,
C33,
G,
G1,
G11,
G12
What Central Bankers Need to Know about Forecasting Oil Prices
Staff Working Paper 2013-15
Christiane Baumeister,
Lutz Kilian
Forecasts of the quarterly real price of oil are routinely used by international organizations and central banks worldwide in assessing the global and domestic economic outlook, yet little is known about how best to generate such forecasts. Our analysis breaks new ground in several dimensions.
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
Are Sunspots Learnable? An Experimental Investigation in a Simple General-Equilibrium Model
Staff Working Paper 2013-14
Jasmina Arifovic,
George Evans,
Olena Kostyshyna
We conduct experiments with human subjects in a model with a positive production externality in which productivity is a non-decreasing function of the average level of employment of other firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models
JEL Code(s):
D,
D8,
D83,
G,
G2,
G20
May 16, 2013
Unconventional Monetary Policies: Evolving Practices, Their Effects and Potential Costs
Following the recent financial crisis, major central banks have introduced several types of unconventional monetary policy measures, including liquidity and credit facilities, asset purchases and forward guidance. To date, these measures appear to have been successful. They restored market functioning, facilitated the transmission of monetary policy and supported economic activity. They have potential costs, however, including challenges related to the greatly expanded balance sheets of central banks and the eventual exit from these measures, as well as the vulnerabilities that can arise from prolonged monetary accommodation.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Central bank research,
Financial markets,
International topics,
Monetary policy framework
JEL Code(s):
E,
E5,
E52,
E58,
E6,
E65
May 16, 2013
Explaining Canada’s Regional Migration Patterns
Understanding the factors that determine the migration of labour between regions is crucial for assessing the economy’s response to macroeconomic shocks and identifying policies that will encourage an efficient reallocation of labour. By examining the determinants of migration within Canada from 1991 to 2006, this article provides evidence that regional differences in employment rates and household incomes tend to increase labour migration, and that provincial borders and language differences are barriers to migration.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Econometric and statistical methods,
Labour markets,
Regional economic developments
JEL Code(s):
J,
J6,
J61,
R,
R2,
R23
May 16, 2013
Modelling the Asset-Allocation and Liability Strategy for Canada’s Foreign Exchange Reserves
Bank of Canada Review - Spring 2013
Francisco Rivadeneyra,
Jianjian Jin,
Narayan Bulusu,
Lukasz Pomorski
The Bank of Canada recently developed an asset-liability-matching model to aid in the management of Canada’s foreign exchange reserves. The model allows policy-makers at the Bank and the Department of Finance to analyze asset-allocation and funding-mix decisions by quantifying both the risk-return and liquidity trade-offs for the assets, as well as the risk-cost trade-offs of the funding liabilities.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Debt management,
Foreign reserves management
JEL Code(s):
F,
F3,
F31,
G,
G1,
G11,
G18