Central Bank Haircut Policy Staff Working Paper 2010-23 James Chapman, Jonathan Chiu, Miguel Molico We present a model of central bank collateralized lending to study the optimal choice of the haircut policy. We show that a lending facility provides a bundle of two types of insurance: insurance against liquidity risk as well as insurance against downside risk of the collateral. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Financial services, Financial system regulation and policies, Monetary policy implementation, Payment clearing and settlement systems JEL Code(s): E, E4, E40, E5, E50
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
The Bank of Canada's New Quarterly Projection Model, Part 1. The Steady-State Model: SSQPM Technical Report No. 72 Richard Black, Douglas Laxton, David Rose, Robert Tetlow This report is the first documenting the Bank of Canada's new model of the Canadian economy, the Quarterly Projection Model (QPM). QPM is used at the Bank of Canada for both economic projections and policy analysis. Here the authors focus on the model's long-run properties, describing SSQPM, a model of the steady state of QPM […] Content Type(s): Staff research, Technical reports Research Topic(s): Economic models JEL Code(s): C, C5, C51, E, E1, E13
Consumption, Housing Collateral, and the Canadian Business Cycle Staff Working Paper 2009-26 Ian Christensen, Paul Corrigan, Caterina Mendicino, Shin-Ichi Nishiyama Using Bayesian methods, we estimate a small open economy model in which consumers face limits to credit determined by the value of their housing stock. The purpose of this paper is to quantify the role of collateralized household debt in the Canadian business cycle. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Monetary policy transmission JEL Code(s): E, E2, E21, E3, E32, E4, E44, E5, E52, R, R2, R21
The Turning Black Tide: Energy Prices and the Canadian Dollar Staff Working Paper 2006-29 Ramzi Issa, Robert Lafrance, John Murray The authors revisit the relationship between energy prices and the Canadian dollar in the Amano and van Norden (1995) equation, which shows a negative relationship such that higher real energy prices lead to a depreciation of the Canadian dollar. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Exchange rates JEL Code(s): F, F3, F31
Exporting and Investment Under Credit Constraints Staff Working Paper 2023-10 Kim Huynh, Robert Petrunia, Joel Rodrigue, Walter Steingress We examine the relationship between firms’ performance and credit constraints affecting export market entry. Using administrative Canadian firm-level data, our findings show that new exporters (a) increase their productivity, (b) raise their leverage ratio and (c) increase investment. We estimate that 48 percent of Canadian manufacturers face binding credit constraints when deciding whether to enter export markets. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Firm dynamics, International topics, Productivity JEL Code(s): F, F1, F10, F14, F3, F36, G, G2, G20, G28, G3, G32
Volatility Risk and Economic Welfare Staff Working Paper 2017-20 Shaofeng Xu This paper examines the effects of time-varying volatility on welfare. I construct a tractable endogenous growth model with recursive preferences, stochastic volatility, and capital adjustment costs. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E2, E3
An Introduction to Wavelets for Economists Staff Working Paper 2002-3 Christoph Schleicher Wavelets are mathematical expansions that transform data from the time domain into different layers of frequency levels. Compared to standard Fourier analysis, they have the advantage of being localized both in time and in the frequency domain, and enable the researcher to observe and analyze data at different scales. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C1
Interpreting Volatility Shocks as Preference Shocks Staff Working Paper 2016-45 Shaofeng Xu This paper examines the relationship between volatility shocks and preference shocks in an analytically tractable endogenous growth model with recursive preferences and stochastic volatility. I show that there exists an explicit mapping between volatility shocks and preference shocks, and a rise in volatility generates the same impulse responses of macroeconomic aggregates as a negative preference shock. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E2, E3
Portfolio Considerations in Differentiated Product Purchases: An Application to the Japanese Automobile Market Staff Working Paper 2011-27 Naoki Wakamori Consumers often purchase more than one differentiated product, assembling a portfolio, which might potentially affect substitution patterns of demand and, as a consequence, oligopolistic firms’ pricing strategies. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Market structure and pricing JEL Code(s): D, D4, L, L5, Q, Q5