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Working Papers

  1. Risk, Entropy, and the Transformation of Distributions

    Working Paper 2002-11 - Mark Reesor, Don McLeish

    The exponential family, relative entropy, and distortion are methods of transforming probability distributions. We establish a link between those methods, focusing on the relation between relative entropy and distortion.

    Topics: Econometric and statistical methods; Financial markets; Market structure and pricing

  2. La fiabilité des estimations de l'écart de production au Canada

    Working Paper 2002-10 - Jean-Philippe Cayen, Simon van Norden

    In this paper, we measure, with Canadian data, the scope of the revisions to real-time estimates of the output gap generated with several univariate and multivariate techniques. We also make an empirical evaluation of the usefulness of the output gap estimates for predicting inflation.

    Topics: Potential output

  3. The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ

    Working Paper 2002-9 - Toni Gravelle

    Although dealership government and equity securities have, on the surface, similar market structures, the author demonstrates that some subtle differences exist between them that are likely to significantly affect the way market-makers trade, and as such have an impact on the liquidity that they provide.

    Topics: Debt Management; Financial markets; Market structure and pricing

  4. Restructuring in the Canadian Economy: A Survey of Firms

    Working Paper 2002-8 - Carolyn Kwan

    The regional offices of the Bank conducted a survey of 140 Canadian companies (representing all non-government sectors of the economy) to study the effects of restructuring (defined as a major change in the way firms do business).

    Topics: Labour markets; Productivity; Regional economic developments
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