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2338
result(s)
Price Discovery in Canadian and U.S. 10-Year Government Bond Markets
Staff Working Paper 2007-43
Bryan Campbell,
Scott Hendry
This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information content of cash and futures prices in the market for Canadian Government bonds using futures market data from the Montreal Exchange and OTC cash market data reflecting the inter-dealer market covered by CanPx.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G12,
G13,
G14
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
Topic(s):
Inflation: costs and benefits
JEL Code(s):
E,
E0,
E5
Asset-Price Misalignments and Monetary Policy: How Flexible Should Inflation-Targeting Regimes Be?
Staff Discussion Paper 2007-6
Jack Selody,
Carolyn A. Wilkins
The authors analyze the extent to which inflation-targeting frameworks should incorporate flexibility in order to respond to asset-price misalignments and other atypical events. They examine the costs and benefits of adding flexibility to the Bank's current inflation-targeting framework, and conclude that maintaining low and stable consumer price inflation is the best contribution that monetary policy […]
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Inflation targets,
Monetary policy framework
JEL Code(s):
E,
E5,
E6
Multilateral Adjustment and Exchange Rate Dynamics: The Case of Three Commodity Currencies
Staff Working Paper 2007-41
Jeannine Bailliu,
Ali Dib,
Takashi Kano,
Lawrence L. Schembri
In this paper, we empirically investigate whether multilateral adjustment to large U.S. external imbalances can help explain movements in the bilateral exchange rates of three commodity currencies – the Australian, Canadian and New Zealand (ACNZ) dollars.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Exchange rates
JEL Code(s):
C,
C1,
C11,
C2,
C22,
F,
F3,
F31,
F32
Family Values: Ownership Structure, Performance and Capital Structure of Canadian Firms
Staff Working Paper 2007-40
Michael R. King,
Eric Santor
This study examines how family ownership affects the performance and capital structure of 613 Canadian firms using a panel dataset from 1998 to 2005.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G1,
G12,
G15
Liquidity, Redistribution, and the Welfare Cost of Inflation
Staff Working Paper 2007-39
Jonathan Chiu,
Miguel Molico
This paper studies the long run welfare costs of inflation in a micro-founded model with trading frictions and costly liquidity management.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation: costs and benefits
JEL Code(s):
E,
E4,
E40,
E5,
E50
The Canadian Business Cycle: A Comparison of Models
Staff Working Paper 2007-38
Frédérick Demers,
Ryan Macdonald
This paper examines the ability of linear and nonlinear models to replicate features of real Canadian GDP. We evaluate the models using various business-cycle metrics.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods
JEL Code(s):
C,
C3,
C32,
E,
E3,
E37