Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1298
result(s)
Liquidity and Central Clearing: Evidence from the CDS Market
Staff Working Paper 2012-38
Joshua Slive,
Jonathan Witmer,
Elizabeth Woodman
An international initiative to increase the use of central clearing for OTC derivatives emerged as one of the reactions to the 2008 financial crisis. The move to central clearing is a fundamental change in the structure of the market.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G3,
G30,
G38
Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields
Staff Working Paper 2012-37
Bruno Feunou,
Jean-Sébastien Fontaine
We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk premiums when real bonds or inflation swaps are unavailable or unreliable due to their relative illiquidity.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods,
Inflation and prices,
Interest rates
JEL Code(s):
E,
E4,
E43,
E47,
G,
G1,
G12
The Role of Credit in International Business Cycles
Staff Working Paper 2012-36
TengTeng Xu
This paper examines the role of bank credit in modeling and forecasting business cycle fluctuations, and investigates the international transmission of US credit shocks, using a global vector autoregressive (GVAR) framework and associated country-specific error correction models.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Econometric and statistical methods,
International financial markets
JEL Code(s):
C,
C3,
C32,
E,
E3,
E32,
E4,
E44,
G,
G2,
G21
When Lower Risk Increases Profit: Competition and Control of a Central Counterparty
Staff Working Paper 2012-35
Jean-Sébastien Fontaine,
Héctor Pérez Saiz,
Joshua Slive
We model the behavior of dealers in Over-the-Counter (OTC) derivatives markets where a small number of dealers trade with a continuum of heterogeneous clients (hedgers). Imperfect competition and (endogenous) default induce a familiar trade-off between competition and risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G1,
G10,
G18
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
Staff Working Paper 2012-34
Peter Christoffersen,
Bruno Feunou,
Kris Jacobs,
Nour Meddahi
Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods
JEL Code(s):
G,
G1,
G13
Financial Conditions and the Money-Output Relationship in Canada
Staff Working Paper 2012-33
Maral Kichian
We propose a drifting-coefficient model to empirically study the effect of money on output growth in Canada and to examine the role of prevailing financial conditions for that relationship. We show that such a time-varying approach can be a useful way of modelling the impact of money on growth, and can partly reconcile the lack of concensus in the literature on the question of whether money affects growth.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Monetary aggregates
JEL Code(s):
E,
E4,
E44,
E5,
E51
China’s Emergence in the World Economy and Business Cycles in Latin America
Staff Working Paper 2012-32
Ambrogio Cesa-Bianchi,
M. Hashem Pesaran,
Alessandro Rebucci,
TengTeng Xu
The international business cycle is very important for Latin America’s economic performance as the recent global crisis vividly illustrated. This paper investigates how changes in trade linkages between China, Latin America, and the rest of the world have altered the transmission mechanism of international business cycles to Latin America.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
International topics,
Recent economic and financial developments,
Regional economic developments
JEL Code(s):
C,
C3,
C32,
E,
E3,
E32,
F,
F4,
F44,
O,
O5,
O54
The Evolution of Canada’s Global Export Market Share
Staff Working Paper 2012-31
Daniel de Munnik,
Jocelyn Jacob,
Wesley Sze
Following gains during the 1990s, Canada’s global market share of goods exports has declined markedly in recent years. In this regard, the constant market share analysis framework is used to decompose changes in Canada’s global market share into competitiveness and structural effects over the 1990‐2010 period, as well as to draw some comparisons to a number of other countries.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Balance of payments and components,
Exchange rates,
International topics
JEL Code(s):
F,
F1,
F10,
F14,
F4,
F43
Price Negotiation in Differentiated Products Markets: Evidence from the Canadian Mortgage Market
Staff Working Paper 2012-30
Jason Allen,
Robert Clark,
Jean-François Houde
This paper measures market power in a decentralized market where contracts are determined through a search and negotiation process. The mortgage industry has many institutional features which suggest competitiveness: homogeneous contracts, negotiable rates, and, for a given consumer, common lending costs across lenders.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial services,
Market structure and pricing
JEL Code(s):
D,
D4,
G,
G2,
G21,
L,
L2,
L22