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1012
result(s)
Market Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate
Staff Discussion Paper 2010-2
Alejandro García,
Andrei Prokopiw
Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract this information, a model is required that relates market prices to the desired information, and that ideally can be implemented using timely and low-cost methods.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Econometric and statistical methods,
Exchange rates,
Financial markets
JEL Code(s):
C,
C0,
C00,
C02,
G,
G1,
G13
March 9, 2010
Inflation Expectations and the Conduct of Monetary Policy: A Review of Recent Evidence and Experience
This article explores the role of inflation expectations in the conduct of monetary policy. It reviews the various measures of inflation expectations used by central banks, including surveys and market-based indicators, and considers their advantages and disadvantages. It examines the critical role of inflation expectations in the framework that central banks use to understand, forecast, and control inflation. It also looks at their role as an indicator of central bank credibility. The behaviour of inflation expectations over the past two years is analyzed and policy conclusions are offered.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Inflation targets,
Monetary policy implementation
Macroprudential Regulation and Systemic Capital Requirements
Staff Working Paper 2010-4
Céline Gauthier,
Alfred Lehar,
Moez Souissi
In the aftermath of the financial crisis, there is interest in reforming bank regulation such that capital requirements are more closely linked to a bank's contribution to the overall risk of the financial system. In our paper we compare alternative mechanisms for allocating the overall risk of a banking system to its member banks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability
JEL Code(s):
C,
C1,
C15,
C8,
C81,
E,
E4,
E44,
G,
G2,
G21
Corporate Risk Taking and Ownership Structure
Staff Working Paper 2010-3
Teodora Paligorova
This paper investigates the determinants of corporate risk taking. Shareholders with substantial equity ownership in a single company may advocate conservative investment policies due to greater exposure to firm risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G3,
G31,
G34
Search Frictions and Asset Price Volatility
Staff Working Paper 2010-1
B. Ravikumar,
Enchuan Shao
We examine the quantitative effect of search frictions in product markets on asset price volatility. We combine several features from Shi (1997) and Lagos and Wright (2002) in a model without money. Households prefer special goods and general goods.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
E,
E4,
E44,
G,
G1,
G12
Regulatory Constraints on Bank Leverage: Issues and Lessons from the Canadian Experience
Staff Discussion Paper 2009-15
Étienne Bordeleau,
Allan Crawford,
Christopher Graham
The Basel capital framework plays an important role in risk management by linking a bank's minimum capital requirements to the riskiness of its assets. Nevertheless, the risk estimates underlying these calculations may be imperfect, and it appears that a cyclical bias in measures of risk-adjusted capital contributed to procyclical increases in global leverage prior to the recent financial crisis.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G0,
G01,
G2,
G21,
G28
Market Timing of Long-Term Debt Issuance
Staff Discussion Paper 2009-14
Jonathan Witmer
The literature on market timing of long-term debt issuance yields mixed evidence that managers can successfully time their debt-maturity issuance. The early results that are indicative of debt-maturity timing are not robust to accounting for structural breaks or to other measures of debt maturity from firm-level data that account for call and put provisions in […]
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G3,
G30,
G38
Network Analysis and Canada's Large Value Transfer System
Staff Discussion Paper 2009-13
Lana Embree,
Tom Roberts
Analysis of the characteristics and structure of a network of financial institutions can provide insight into the complex relationships and interdependencies that exist in a payment, clearing, and settlement system (PCSS), and allow an intuitive understanding of the PCSS's efficiency, stability, and resiliency.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
D,
D8,
D85,
G,
G1,
G10
Optimal Monetary Policy during Endogenous Housing-Market Boom-Bust Cycles
Staff Working Paper 2009-32
Hajime Tomura
This paper uses a small-open economy model for the Canadian economy to examine the optimal Taylor-type monetary policy rule that stabilizes output and inflation in an environment where endogenous boom-bust cycles in house prices can occur.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial stability,
Inflation targets
JEL Code(s):
E,
E4,
E44,
E5,
E52