The Extensive Margin of Trade and Monetary Policy Staff Working Paper 2018-37 Yuko Imura, Malik Shukayev This paper studies the effects of monetary policy shocks on firms’ participation in exporting. We develop a two-country dynamic stochastic general equilibrium model in which heterogeneous firms make forward-looking decisions on whether to participate in the export market and prices are staggered across firms and time. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Firm dynamics, International topics, Monetary policy JEL Code(s): E, E5, E52, F, F1, F12, F4, F44
Understanding Trend Inflation Through the Lens of the Goods and Services Sectors Staff Working Paper 2020-45 Yunjong Eo, Luis Uzeda, Benjamin Wong The goods and services sectors have experienced considerably different dynamics over the past three decades. Our goal in this paper is to understand how such contrasting behaviors at the sectoral level affect the aggregate level of trend inflation dynamics. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices, Monetary policy transmission JEL Code(s): C, C1, C11, C3, C32, E, E3, E31, E5, E52
Testing the Parametric Specification of the Diffusion Function in a Diffusion Process Staff Working Paper 2005-35 Fuchun Li A new consistent test is proposed for the parametric specification of the diffusion function in a diffusion process without any restrictions on the functional form of the drift function. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C12, C14
Privacy as a Public Good: A Case for Electronic Cash Staff Working Paper 2019-24 Rodney J. Garratt, Maarten van Oordt Cash gives users a high level of privacy when making payments, but the use of cash to make payments is declining. People increasingly use debit cards, credit cards or other methods to pay. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Central bank research, Digital currencies and fintech, Payment clearing and settlement systems JEL Code(s): E, E4, E42, G, G2, G28
The Secular Decline of Forecasted Interest Rates Staff Analytical Note 2019-1 Bruno Feunou, Jean-Sébastien Fontaine Canadian interest rates show a secular decline since the 1980s. Long-term survey-based forecasts of interest rates also declined, but less so and were more gradual. Our model-based estimates show an endpoint shifting over time in three phases: a decline between 1990 and 1995, a period of stability between 1996 and 2007, and a further decline since 2008. The current endpoint estimate remains clouded with uncertainty; this is an active area of research. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Financial markets, Interest rates JEL Code(s): E, E4, E43, G, G1, G12
Generalized Autoregressive Gamma Processes Staff Working Paper 2023-40 Bruno Feunou We introduce generalized autoregressive gamma (GARG) processes, a class of autoregressive and moving-average processes in which each conditional moment dynamic is driven by a different and identifiable moving average of the variable of interest. We show that using GARG processes reduces pricing errors by substantially more than using existing autoregressive gamma processes does. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods JEL Code(s): C, C5, C58, G, G1, G12
Model Uncertainty and Wealth Distribution Staff Working Paper 2019-48 Edouard Djeutem, Shaofeng Xu This paper studies the implications of model uncertainty for wealth distribution in a tractable general equilibrium model with a borrowing constraint and robustness à la Hansen and Sargent (2008). Households confront model uncertainty about the process driving the return of the risky asset, and they choose robust policies. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Business fluctuations and cycles, Economic models JEL Code(s): D, D3, D8, E, E2
An Examination of Canadian Firms Delisting from U.S. Exchanges Staff Working Paper 2008-11 Jonathan Witmer This paper examines Canadian and other foreign firms that have been involuntarily delisted from major U.S. exchanges. I find that, for most countries, less than 10% of firms get delisted from a U.S. exchange during my sample period. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, International topics JEL Code(s): G, G3, G30, G38
Trend Inflation, Wage and Price Rigidities, and Welfare Staff Working Paper 2007-42 Robert Amano, Kevin Moran, Stephen Murchison, Andrew Rennison This paper studies the steady-state costs of inflation in a general-equilibrium model with real per capita output growth and staggered nominal price and wage contracts. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation: costs and benefits JEL Code(s): E, E0, E5
Self-Enforcing Labour Contracts and the Dynamics Puzzle Staff Working Paper 2005-1 Christian Calmès To properly account for the dynamics of key macroeconomic variables, researchers incorporate various internal-propagation mechanisms in their models. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Labour markets JEL Code(s): E, E1, E12, E4, E49, J, J3, J30, J31, J4, J41