Composition of International Capital Flows: A Survey Staff Working Paper 2010-33 Koralai Kirabaeva, Assaf Razin We survey several key mechanisms that explain the composition of international capital flows: foreign direct investment, foreign portfolio investment and debt flows (bank loans and bonds). In particular, we focus on the following market frictions: asymmetric information in capital markets and exposure to liquidity shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): International topics JEL Code(s): D, D8, D82, F, F2, F21, F3, F34
Adverse Selection, Liquidity, and Market Breakdown Staff Working Paper 2010-32 Koralai Kirabaeva This paper studies the interaction between adverse selection, liquidity risk and beliefs about systemic risk in determining market liquidity, asset prices and welfare. Even a small amount of adverse selection in the asset market can lead to fire-sale pricing and possibly to a market breakdown if it is accompanied by a flight-to-liquidity, a misassessment of systemic risk, or uncertainty about asset values. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial markets, Financial stability JEL Code(s): D, D8, D82, G, G0, G01, G1, G11
Text Mining and the Information Content of Bank of Canada Communications Staff Working Paper 2010-31 Scott Hendry, Alison Madeley This paper uses Latent Semantic Analysis to extract information from Bank of Canada communication statements and investigates what type of information affects returns and volatility in short-term as well as long-term interest rate markets over the 2002-2008 period. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Monetary policy implementation JEL Code(s): E, E5, E58, G, G1, G14
On Fiscal Multipliers: Estimates from a Medium Scale DSGE Model Staff Working Paper 2010-30 Sarah Zubairy This paper contributes to the debate on fiscal multipliers, in the context of a structural model. I estimate a micro-founded dynamic stochastic general equilibrium model, that features a rich fiscal policy block and a transmission mechanism for government spending shocks, using Bayesian techniques for US data. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Fiscal policy JEL Code(s): C, C1, C11, E, E3, E32, E6, E62, H, H3, H30
Understanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquid Asset Holdings Staff Working Paper 2010-29 Céline Gauthier, Zhongfang He, Moez Souissi We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory requirement proposals in a holistic way. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): C, C1, C15, C8, C81, E, E4, E44, G, G0, G01, G2, G21
Trends in U.S. Hours and the Labor Wedge Staff Working Paper 2010-28 Simona Cociuba, Alexander Ueberfeldt From 1980 until 2007, U.S. average hours worked increased by thirteen percent, due to a large increase in female hours. At the same time, the U.S. labor wedge, measured as the discrepancy between a representative household's marginal rate of substitution between consumption and leisure and the marginal product of labor, declined substantially. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Labour markets, Potential output JEL Code(s): E, E2, E24, H, H2, H20, H3, H31, J, J2, J22
Stability versus Flexibility: The Role of Temporary Employment in Labour Adjustment Staff Working Paper 2010-27 Shutao Cao, Danny Leung In Canada, temporary workers account for 14 per cent of jobs in the non-farm business sector, are present in a range of industries, and account for 40 per cent of the total job reallocation. Yet most models of job reallocation abstract from temporary workers. Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets, Productivity JEL Code(s): D, D2, D24, J, J3, J32
Capital Requirement and Financial Frictions in Banking: Macroeconomic Implications Staff Working Paper 2010-26 Ali Dib The author develops a dynamic stochastic general-equilibrium model with an active banking sector, a financial accelerator, and financial frictions in the interbank and bank capital markets. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Financial markets, Financial stability JEL Code(s): E, E3, E32, E4, E44, G, G1
The Effect of Exchange Rate Movements on Heterogeneous Plants: A Quantile Regression Analysis Staff Working Paper 2010-25 Ben Tomlin, Loretta Fung In this paper, we examine how the effect of movements in the real exchange rate on manufacturing plants depends on the plant's placement within the productivity distribution. Appreciations of the local currency expose domestic plants to more competition from abroad as export opportunities shrink and import competition intensifies. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Market structure and pricing, Productivity JEL Code(s): D, D2, D21, F, F1, L, L1, L16, L6, L60
Banks, Credit Market Frictions, and Business Cycles Staff Working Paper 2010-24 Ali Dib The author proposes a micro-founded framework that incorporates an active banking sector into a dynamic stochastic general-equilibrium model with a financial accelerator. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial stability JEL Code(s): E, E3, E32, E4, E44, G, G1