Electronic Money and Payments: Recent Developments and Issues Staff Discussion Paper 2014-2 Ben Fung, Miguel Molico, Gerald Stuber The authors review recent developments in retail payments in Canada and elsewhere, with a focus on e-money products, and assess their potential public policy implications. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Bank notes, Digital currencies and fintech, Financial services, Payment clearing and settlement systems JEL Code(s): E, E4, E41, E42
Bond Risk Premia and Gaussian Term Structure Models Staff Working Paper 2014-13 Bruno Feunou, Jean-Sébastien Fontaine Cochrane and Piazzesi (2005) show that (i) lagged forward rates improve the predictability of annual bond returns, adding to current forward rates, and that (ii) a Markovian model for monthly forward rates cannot generate the pattern of predictability in annual returns. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Interest rates JEL Code(s): E, E4, E43, E47, G, G1, G12
Do Sunspots Matter? Evidence from an Experimental Study of Bank Runs Staff Working Paper 2014-12 Jasmina Arifovic, Janet Hua Jiang A "sunspot" is a variable that has no direct impact on the economy’s fundamental condition, such as preferences, endowments or technologies, but may nonetheless affect economic outcomes through the expectations channel as a coordination device. This paper investigates how people react to sunspots in the context of a bank-run game in a controlled laboratory environment. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial stability JEL Code(s): C, C9, C91, C92, D, D8, D80, E, E5, E58, G, G2, G20
Labor Market Participation, Unemployment and Monetary Policy Staff Working Paper 2014-9 Alessia Campolmi, Stefano Gnocchi We incorporate a participation decision in a standard New Keynesian model with matching frictions and show that treating the labor force as constant leads to incorrect evaluation of alternative policies. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Labour markets, Monetary policy transmission JEL Code(s): E, E2, E24, E3, E32, E5, E52
Banks’ Financial Distress, Lending Supply and Consumption Expenditure Staff Working Paper 2014-7 H. Evren Damar, Reint Gropp, Adi Mordel The paper employs a unique identification strategy that links survey data on household consumption expenditure to bank-level data in order to estimate the effects of bank financial distress on consumer credit and consumption expenditures. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Domestic demand and components, Financial institutions JEL Code(s): E, E2, E21, E4, E44, G, G0, G01, G2, G21
A Policy Model to Analyze Macroprudential Regulations and Monetary Policy Staff Working Paper 2014-6 Sami Alpanda, Gino Cateau, Césaire Meh We construct a small-open-economy, New Keynesian dynamic stochastic general-equilibrium model with real-financial linkages to analyze the effects of financial shocks and macroprudential policies on the Canadian economy. Our model has four key features. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial system regulation and policies JEL Code(s): E, E1, E17, E3, E32, E4, E44, F, F4, F41
Technology Shocks, Labour Mobility and Aggregate Fluctuations Staff Working Paper 2014-4 Daniela Hauser We provide evidence regarding the dynamic behaviour of net labour flows across U.S. states in response to a positive technology shock. Technology shocks are identified as disturbances that increase relative state productivity in the long run for 226 state pairs, encompassing 80 per cent of labour flows across U.S. states in the 1976 - 2008 period. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Labour markets JEL Code(s): E, E2, E24, E3, E32, J, J6, J61
Search-for-Yield in Canadian Fixed-Income Mutual Funds and Monetary Policy Staff Working Paper 2014-3 Sermin Gungor, Jesus Sierra This paper investigates the effects of monetary policy on the risk-taking behavior of fixed-income mutual funds in Canada. We consider different measures of the stance of monetary policy and investigate active variation in mutual funds’ risk exposure in response to monetary policy. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Monetary policy transmission JEL Code(s): E, E5, E52, G, G2, G23
Household Risk Management and Actual Mortgage Choice in the Euro Area Staff Working Paper 2014-1 Michael Ehrmann, Michael Ziegelmeyer Mortgages constitute the largest part of household debt. An essential choice when taking out a mortgage is between fixed-interest-rate mortgages (FRMs) and adjustable-interest-rate mortgages (ARMs). However, so far, no comprehensive cross‐country study has analyzed what determines household demand for mortgage types, a task that this paper takes up using new data for the euro area. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Monetary policy transmission JEL Code(s): D, D1, D12, E, E4, E43, E5, E52, G, G2, G21
Cash Management and Payment Choices: A Simulation Model with International Comparisons Staff Working Paper 2013-53 Carlos Arango, Yassine Bouhdaoui, David Bounie, Martina Eschelbach, Lola Hernández Despite various payment innovations, today, cash is still heavily used to pay for low-value purchases. This paper develops a simulation model to test whether standard implications of the theory on cash management and payment choices can explain the use of payment instruments by transaction size. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Financial services, International topics JEL Code(s): C, C6, C61, E, E4, E41, E47