9 Works

Trend Inflation, Wage and Price Rigidities, and Welfare

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. Our analysis shows that trend inflation has important effects on the economy when combined with nominal contracts and real output growth. Steady-state output and welfare losses are quantitatively important even for low values of trend inflation. Further, we show that nominal wage contracting is quantitatively more important than nominal price...

Immigrants and Mortgage Delinquency in the United States

Zhenguo Lin, Yingchun Liu & Jia Xie
We investigate the relationship between immigrant status and mortgage delinquency in the United States. We find that after controlling for observables, newly arrived immigrants are likely to have a higher delinquency rate on mortgages than natives, while immigrants who have resided in the United States for more than 20 years are no different than natives in this regard. In addition, there is no evidence that the second generation of immigrants has a higher delinquency rate...

Exchange Rate Fluctuations and Labour Market Adjustments in Canadian Manufacturing Industries

Gabriel Bruneau & Kevin Moran
We estimate the link between exchange rate fluctuations and the labour input of Canadian manufacturing industries. The analysis is based on a dynamic model of labour demand, and the econometric strategy employs a panel two-step approach for cointegrating regressions. Our data are drawn from a panel of 20 manufacturing industries from the KLEMS database and cover a long sample period that includes two full cycles of appreciation and depreciation of the Canadian dollar. Our results...

The Determinants of Consumers’ Inflation Expectations: Evidence from the US and Canada

Charles Bellemare, Rolande Kpekou Tossou & Kevin Moran
Expectations about future inflation are of central importance for public policy and monetary authorities. The inflation expectations of consumers influence their economic choices related to wage negotiations, consumption and savings and, in turn, influence firms’ pricing decisions and aggregate price changes. Monitoring and analyzing consumer inflation expectations is a key aspect of monetary policy practice. This paper examines two current surveys—the Federal Reserve Bank of New York’s Survey of Consumer Expectations and the Bank of...

Inflation and Growth: A New Keynesian Perspective

Robert Amano, Thomas J. Carter & Kevin Moran
The long-run relation between growth and inflation has not yet been studied in the context of nominal price and wage rigidities, despite the fact that these rigidities now figure prominently in workhorse macroeconomic models. We therefore integrate staggered price- and wage-setting into an endogenous growth framework. In this setting, growth and inflation are linked via the incentive to innovate. For standard calibrations, the linkage is strong: as trend inflation shifts from –5 to 5 percent,...

Bank Leverage Regulation and Macroeconomic Dynamics

Ian Christensen, Cesaire Meh & Kevin Moran
This paper assesses the merits of countercyclical bank balance sheet regulation for the stabilization of financial and economic cycles and examines its interaction with monetary policy. The framework used is a dynamic stochastic general equilibrium model with banks and bank capital, in which bank capital solves an asymmetric information problem between banks and their creditors. In this economy, the lending decisions of individual banks affect the riskiness of the whole banking sector, though banks do...

Testing the Pricing-to-Market Hypothesis: Case of the Transportation Equipment Industry

Lynda Khalaf & Maral Kichian
Pricing-to-market (PTM) theory suggests that monopolistic firms which export adjust their destination-specific markups in reaction to exchange rate shocks. These adjustments limit changes in the price of their exports. Thus, important movements in the bilateral nominal exchange rate between two countries that trade are not necessarily fully reflected in the price of imports. Evidence in favour of PTM has been mostly obtained through hypothesis testing on the OLS, instrumental variable (IV), or single-equation error-correction estimates...

The Role of Bank Capital in the Propagation of Shocks

Cesaire Meh & Kevin Moran
Recent events in financial markets have underlined the importance of analyzing the link between the financial health of banks and real economic activity. This paper contributes to this analysis by constructing a dynamic general equilibrium model in which the balance sheet of banks affects the propagation of shocks. We use the model to conduct quantitative experiments on the economy's response to technology and monetary policy shocks, as well as to disturbances originating within the banking...

Small‐Sample Tests for Stock Return Predictability with Possibly Non‐Stationary Regressors and GARCH‐Type Effects

Sermin Gungor & Richard Luger
We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock returns. The usefulness of the new procedure is demonstrated both in a simulation study and by examining the ability of a group of financial variables to predict excess stock returns. We...

Registration Year

  • 2021

Resource Types

  • Text


  • Université Laval
  • Bank of Canada
  • Princeton University
  • California State University, Fullerton