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Showing 1-10 of 1265

Bond Risk Premia and Gaussian Term Structure Models

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): Research, Working Papers 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

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): Research, Working Papers Topic(s): Financial markets, Financial stability JEL Code(s): C, C9, C91, C92, D, D8, D80, E, E5, E58, G, G2, G20

Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work

The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast monthly and quarterly oil prices. There also has been increased interest in the link between financial markets and oil markets, including the question of whether financial market information helps forecast the real price of oil in physical markets.
Content Type(s): Research, Working Papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, G, G1, G14, Q, Q4, Q43

Macroeconomic Experiences and Risk Taking of Euro Area Households

Working Paper 2014-10 Miguel Ampudia, Michael Ehrmann
This paper studies to what extent the experiences of households shape their willingness to take financial risks. It follows the methodology of Malmendier and Nagel (2011) and applies it to a novel data set on household finances covering euro area households.
Content Type(s): Research, Working Papers Topic(s): Sectoral balance sheet JEL Code(s): D, D0, D03, D1, D14, D8, D83, G, G1, G11

Labor Market Participation, Unemployment and Monetary Policy

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.

Rollover Risk and the Maturity Transformation Function of Banks

Working Paper 2014-8 Teodora Paligorova, João Santos
This paper shows that banks that rely heavily on short-term funding engage less in maturity transformation in an attempt to decrease their exposure to rollover risk. These banks shorten both the maturity of their portfolio of loans as well as the maturity of newly issued loans. We find that the loan yield curve becomes steeper with banks’ increasing use of short-term funding.
Content Type(s): Research, Working Papers Topic(s): Financial stability JEL Code(s): G, G2, G21

Introducing a New Database of Sovereign Defaults

Technical Report No. 101 David Beers, Jean-Sébastien Nadeau
Until recently, there have been few efforts to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada’s Credit Rating Assessment Group (CRAG) has developed a comprehensive database of sovereign defaults posted on the Bank of Canada’s website.

Banks’ Financial Distress, Lending Supply and Consumption Expenditure

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.

A Policy Model to Analyze Macroprudential Regulations and Monetary Policy

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): Research, Working Papers Topic(s): Economic models, Financial system regulation and policies JEL Code(s): E, E1, E17, E3, E32, E4, E44, F, F4, F41

Corporate Governance, Product Market Competition and Debt Financing

Working Paper 2014-5 Teodora Paligorova, Jun Yang
This paper examines the impact of product market competition and corporate governance on the cost of debt financing and the use of bond covenants. We find that more anti-takeover provisions are associated with a lower cost of debt only in competitive industries.
Content Type(s): Research, Working Papers Topic(s): Financial markets JEL Code(s): G, G1, G12, G3, G34

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