Fire Sales and Liquidity Requirements Staff Working Paper 2024-18 Yuteng Cheng, Roberto Robatto We study liquidity requirements in a framework with fire sales. The framework nests three common pricing mechanisms and produces the same observables. Absent risk-sharing considerations, the equilibrium is efficient with cash-in-the-market pricing; a liquidity requirement is optimal with second-best-use pricing; and a liquidity ceiling (i.e., a cap on liquid assets) is optimal with adverse selection. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets, Financial system regulation and policies JEL Code(s): G, G1, G12, G2, G23, G28
On the Essentiality of E-Money Staff Working Paper 2015-43 Jonathan Chiu, Tsz-Nga Wong Recent years have witnessed the advances of e-money systems such as Bitcoin, PayPal and various forms of stored-value cards. This paper adopts a mechanism design approach to identify some essential features of different payment systems that implement and improve the constrained optimal resource allocation. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Payment clearing and settlement systems JEL Code(s): E, E4, E42, E5, E58, L, L5, L51
Natural Monopoly and Distorted Competition: Evidence from Unbundling Fiber-Optic Networks Staff Working Paper 2012-26 Naoaki Minamihashi Can regulation solve problems arising from a natural monopoly? This paper analyzes whether “unbundling,” referring to regulations that enforce sharing of natural monopolistic infrastructure, prevents entrants from building new infrastructure. Content Type(s): Staff research, Staff working papers Research Topic(s): Market structure and pricing, Productivity JEL Code(s): K, K2, K23, L, L4, L43, L9, L96
Agency Costs, Risk Shocks and International Cycles Staff Working Paper 2016-2 Marc-André Letendre, Joel Wagner We add agency costs as in Carlstrom and Fuerst (1997) into a two-country, two-good international business-cycle model. In our model, changes in the relative price of investment arise endogenously. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, International topics JEL Code(s): E, E2, E22, E3, E32, E4, E44, F, F4, F44
December 21, 2008 A Model of Housing Boom and Bust in a Small Open Economy Financial System Review - December 2008 Hajime Tomura Content Type(s): Publications, Financial System Review articles
June 23, 2003 Financial System Review - June 2003 This section of the Financial System Review examines the recent performance of the Canadian financial system and the factors, both domestic and international, that are influencing it. Content Type(s): Publications, Financial Stability Report
Liquidity Effects and Market Frictions Staff Working Paper 1998-11 Scott Hendry, Guang-Jia Zhang The goal of this paper is to shed light on the nature of the monetary transmission mechanism. Specifically, we attempt to tackle two problems in standard limited-participation models: (1) the interest rate liquidity effect is not as persistent as in the data; and (2) some nominal variables are unrealistically volatile. To address these problems, we […] Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy transmission JEL Code(s): E, E5
May 13, 2014 The Art and Science of Forecasting the Real Price of Oil Bank of Canada Review - Spring 2014 Christiane Baumeister Forecasts of the price of crude oil play a significant role in the conduct of monetary policy, especially for commodity producers such as Canada. This article presents a range of recently developed forecasting models that, when pooled together, can generate, on average, more accurate forecasts of the price of oil than the oil futures curve. It also illustrates how policy-makers can evaluate the risks associated with the baseline oil price forecast and how they can determine the causes of past oil price fluctuations. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, E, E3, E32, Q, Q4, Q43
Furor over the Fed : Presidential Tweets and Central Bank Independence Staff Analytical Note 2019-33 Antoine Camous, Dmitry Matveev We illustrate how market data can be informative about the interactions between monetary and fiscal policy. Federal funds futures are private contracts that reflect investor’s expectations about monetary policy decisions. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Central bank research, Credibility, Financial markets, Monetary policy JEL Code(s): E, E4, E44, E5, E52, E58
Global Trade Flows: Revisiting the Exchange Rate Elasticities Staff Working Paper 2017-41 Matthieu Bussière, Guillaume Gaulier, Walter Steingress This paper contributes to the debate on the magnitude of exchange rate elasticities by providing a set of price and quantity elasticities for 51 advanced and emerging-market economies. Specifically, for each of these countries we report the elasticity of trade prices and trade quantities on both the export and on the import sides, as well as the reaction of the trade balance. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Inflation and prices, International topics JEL Code(s): C, C5, C51, F, F1, F14, F3, F31, F33, F4, F41