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1776
result(s)
Multivariate Realized Stock Market Volatility
Staff Working Paper 2007-20
Gregory Bauer,
Keith Vorkink
We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of both lagged volatility and returns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C3,
C32,
C5,
C53,
G,
G1,
G14
The Zero Bound on Nominal Interest Rates: Implications for the Optimal Monetary Policy in Canada
Staff Discussion Paper 2007-1
Claude Lavoie,
Hope Pioro
The authors assess the performance of the Canadian economy under a variety of interest rate rules when the zero bound on nominal interest rates can bind. Their assessment is based on numerical simulations of a dynamic stochastic general-equilibrium model in a stochastic environment. Consistent with the literature, the authors find that the probability and consequences […]
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Inflation: costs and benefits,
Interest rates,
Monetary policy framework
JEL Code(s):
E,
E4,
E43,
E47,
E5,
E52
Perhaps the FOMC Did What It Said It Did: An Alternative Interpretation of the Great Inflation
Staff Working Paper 2007-19
Sharon Kozicki,
P. A. Tinsley
This paper uses real-time briefing forecasts prepared for the Federal Open Market Committee (FOMC) to provide estimates of historical changes in the design of U.S. monetary policy and in the implied central-bank target for inflation. Empirical results support a description of policy with an effective inflation target of roughly 7 percent in the 1970s.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Monetary aggregates,
Monetary policy implementation
JEL Code(s):
E,
E3,
E5,
N,
N1
Central Bank Performance under Inflation Targeting
Staff Working Paper 2007-18
Marc-André Gosselin
The inflation targeting (IT) regime is 17 years old. With practice of IT now in more than 21 countries, there is enough evidence gathered to take stock of the IT experience. In this paper, we analyze the inflation record of IT central banks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Inflation targets,
Monetary policy framework
JEL Code(s):
E,
E3,
E31,
E5,
E52,
E58
Firms Dynamics, Bankruptcy Laws and Total Factor Productivity
Staff Working Paper 2007-17
Hajime Tomura
This paper analyzes endogenous fluctuations in total factor productivity (TFP) in a dynamic general equilibrium model with heterogeneous agents, and illustrates the interaction of credit market frictions, asset prices, the entry and exit of firms, and fluctuations in TFP in response to firm-level productivity and aggregate credit-market shocks. I also analyze the effect of bankruptcy and foreclosure laws on fluctuations in TFP through their effect on credit market frictions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Productivity
JEL Code(s):
D,
D2,
D24,
E,
E4,
E44,
G,
G3,
G33
World Real Interest Rates: A Global Savings and Investment Perspective
Staff Working Paper 2007-16
Brigitte Desroches,
Michael Francis
Over the past 15 years, long-term interest rates have declined to levels not seen since the 1970s. This paper explores possible shifts in global savings and investment that have led to this fall in the world real interest rate.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Interest rates,
International topics
JEL Code(s):
E,
E2,
E4,
F,
F3
Does Indexation Bias the Estimated Frequency of Price Adjustment?
Staff Working Paper 2007-15
Maral Kichian,
Oleksiy Kryvtsov
We assess the implications of price indexation for estimated frequency of price adjustment in sticky price models of business cycles. These models predominantly assume that non-reoptimized prices are indexed to lagged or average inflation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Economic models,
Inflation and prices
JEL Code(s):
E,
E3,
E31,
E37
Exporting and FDI with Endogenous Productivity
Staff Working Paper 2007-14
Oana Secrieru,
Marianne Vigneault
This paper provides an analysis of how a firm’s decision to serve a foreign market by exporting or by engaging in foreign direct investment (FDI) affects firm productivity, when productivity is endogeneous as a function of training. The main result of our paper is that, with endogeneous productivity, exporting results in lower productivity than does FDI, but exporting may result in higher or lower employment and output than does FDI.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics,
Labour markets,
Productivity
JEL Code(s):
F,
F2,
F22,
F23
Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis
Staff Working Paper 2007-13
David Bolder,
Tiago Rubin
The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt-management strategy provides a wide variety of useful information. It does not, however, assist in determining an optimal debt-management strategy for the government in its current form.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Econometric and statistical methods,
Financial markets,
Fiscal policy
JEL Code(s):
C,
C0,
C1,
C14,
C15,
C5,
C51,
C52,
C6,
C61,
C65,
E,
E6,
G,
G1,
H,
H6,
H63