Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1301
result(s)
Countercyclical Bank Capital Requirement and Optimized Monetary Policy Rules
Staff Working Paper 2013-8
Carlos De Resende,
Ali Dib,
René Lalonde,
Nikita Perevalov
Using BoC-GEM-Fin, a large-scale DSGE model with real, nominal and financial frictions featuring a banking sector, we explore the macroeconomic implications of various types of countercyclical bank capital regulations. Results suggest that countercyclical capital requirements have a significant stabilizing effect on key macroeconomic variables, but mostly after financial shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial institutions,
Financial stability,
International topics
JEL Code(s):
E,
E3,
E32,
E4,
E44,
E5,
G,
G1,
G2
A Tractable Monetary Model Under General Preferences
Staff Working Paper 2013-7
Tsz-Nga Wong
Consider the monetary model of Lagos and Wright (JPE 2005) but with general preferences and general production. I show that preferences satisfying UXXUHH – (UXH)2 = 0 is a sufficient condition for the existence and uniqueness of monetary equilibrium with degenerate money distribution.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models
JEL Code(s):
D,
D8,
D83,
E,
E4,
E40
To Link or Not To Link? Netting and Exposures Between Central Counterparties
Staff Working Paper 2013-6
Stacey Anderson,
Jean-Philippe Dion,
Héctor Pérez Saiz
This paper provides a framework to compare linked and unlinked CCP configurations in terms of total netting achieved by market participants and the total system default exposures that exist between participants and CCPs.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Payment clearing and settlement systems
JEL Code(s):
G,
G1,
G18,
G2,
G23
Market Structure and Cost Pass-Through in Retail
Staff Working Paper 2013-5
Gee Hee Hong,
Nicholas Li
We examine the extent to which vertical and horizontal market structure can together
explain incomplete retail pass-through.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Monetary policy transmission
JEL Code(s):
E,
E3,
E30,
E31,
L,
L1,
L11,
L16
Financial Development and the Volatility of Income
Staff Working Paper 2013-4
Tiago Pinheiro,
Francisco Rivadeneyra,
Marc Teignier
This paper presents a general equilibrium model with endogenous collateral constraints to study the relationship between financial development and business cycle fluctuations in a cross-section of economies with different sizes of their financial sector.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial stability
JEL Code(s):
E,
E3,
E32,
E6,
E60
Real-financial Linkages through Loan Default and Bank Capital
Staff Working Paper 2013-3
Tamon Takamura
Many studies in macroeconomics argue that financial frictions do not amplify the impacts of real shocks. This finding is based on models without endogenous default on loans and bank capital. Using a model featuring endogenous interactions between firm default and bank capital, this paper revisits the propagation mechanisms of real and financial shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies,
Interest rates
JEL Code(s):
E,
E3,
E32,
E4,
E44,
E6,
E69
House Prices, Consumption and the Role of Non-Mortgage Debt
Staff Working Paper 2013-2
Katya Kartashova,
Ben Tomlin
This paper examines the relationship between house prices and consumption, through the use of debt. Using unique Canadian household-level data that reports the uses of debt, we begin by looking at the relationship between house prices and debt.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Domestic demand and components
JEL Code(s):
D,
D1,
D10,
D14,
D3,
D31,
E,
E2,
E21
The Cyclicality of Sales, Regular and Effective Prices: Business Cycle and Policy Implications
Staff Working Paper 2013-1
Olivier Coibion,
Yuriy Gorodnichenko,
Gee Hee Hong
We study the cyclical properties of sales, regular price changes and average prices paid by consumers (“effective” prices) using data on prices and quantities sold for numerous retailers across many U.S. metropolitan areas.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
E,
E3,
E4,
E5
On the Welfare Effects of Credit Arrangements
Staff Working Paper 2012-43
Jonathan Chiu,
Mei Dong,
Enchuan Shao
This paper studies the welfare effects of different credit arrangements and how these effects depend on the trading mechanism and inflation. In a competitive market, a deviation from the Friedman rule is always sub-optimal. Moreover, credit arrangements can be welfare-reducing, because increased consumption by credit users will drive up the price level so that money users have to reduce consumption when facing a binding liquidity restraint.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E40,
E5,
E50