Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1290
result(s)
The Impact of the Global Business Cycle on Small Open Economies: A FAVAR Approach for Canada
Staff Working Paper 2011-2
Garima Vasishtha,
Philipp Maier
Building on the growing evidence on the importance of large data sets for empirical macroeconomic modeling, we use a factor-augmented VAR (FAVAR) model with more than 260 series for 20 OECD countries to analyze how global developments affect the Canadian economy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C3,
C32,
F,
F4,
F41
Building New Plants or Entering by Acquisition? Estimation of an Entry Model for the U.S. Cement Industry
Staff Working Paper 2011-1
Héctor Pérez Saiz
In many industries, firms usually have two choices when expanding into new markets: They can either build a new plant (greenfield entry) or they can acquire an existing incumbent. In the U.S. cement industry, the comparative advantage (e.g., TFP or size) of entrants versus incumbents and regulatory entry barriers are important factors that determine the means of expansion.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Market structure and pricing,
Productivity
JEL Code(s):
L,
L1,
L13,
L4,
L40,
L6,
L61
The Propagation of U.S. Shocks to Canada: Understanding the Role of Real-Financial Linkages
Staff Working Paper 2010-40
Kimberly Beaton,
René Lalonde,
Stephen Snudden
This paper examines the transmission of U.S. real and financial shocks to Canada and, in particular, the role of financial frictions in affecting the transmission of these shocks. These questions are addressed within the Bank of Canada's Global Economy Model (de Resende et al. forthcoming), a dynamic stochastic general-equilibrium model with an active banking sector and a detailed role for financial frictions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
International topics
JEL Code(s):
E,
E2,
E21,
E27,
E3,
E32,
F,
F3,
F36,
F4,
F40
Leverage, Balance Sheet Size and Wholesale Funding
Staff Working Paper 2010-39
H. Evren Damar,
Césaire Meh,
Yaz Terajima
Some evidence points to the procyclicality of leverage among financial institutions leading to aggregate volatility. This procyclicality occurs when financial institutions finance their assets with non-equity funding (i.e., debt financed asset expansions). Wholesale funding is an important source of market-based funding that allows some institutions to quickly adjust their leverage.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Financial system regulation and policies,
Recent economic and financial developments
JEL Code(s):
G,
G2,
G21,
G28
The Impact of Liquidity on Bank Profitability
Staff Working Paper 2010-38
Étienne Bordeleau,
Christopher Graham
The recent crisis has underlined the importance of sound bank liquidity management. In response, regulators are devising new liquidity standards with the aim of making the financial system more stable and resilient. In this paper, the authors analyse the impact of liquid asset holdings on bank profitability for a sample of large U.S. and Canadian banks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G3,
G32,
G33
'Lean' versus 'Rich' Data Sets: Forecasting during the Great Moderation and the Great Recession
Staff Working Paper 2010-37
Marco J. Lombardi,
Philipp Maier
We evaluate forecasts for the euro area in data-rich and ‘data-lean' environments by comparing three different approaches: a simple PMI model based on Purchasing Managers' Indices (PMIs), a dynamic factor model with euro area data, and a dynamic factor model with data from the euro plus data from national economies (pseudo-real time data).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C5,
C50,
C53,
E,
E3,
E37,
E4,
E47
Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach
Staff Working Paper 2010-36
Sermin Gungor,
Richard Luger
We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of non-normalities, heteroskedasticity, time-varying correlations, and even outliers in the asset returns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C12,
C14,
C3,
C33,
G,
G1,
G11,
G12
Bank Competition and International Financial Integration: Evidence Using a New Index
Staff Working Paper 2010-35
Gurnain Pasricha
This paper finds a strong empirical link between domestic banking sector competitiveness and de facto international integration. De-facto international integration is measured through a new index of financial integration, which measures, for deviations from covered interest parity, the size of no-arbitrage bands and the speed of arbitrage outside the no-arbitrage band.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
International topics
JEL Code(s):
F,
F3,
F32,
G,
G1,
G15,
G2,
G21
Semi-Structural Models for Inflation Forecasting
Staff Working Paper 2010-34
Maral Kichian,
Rumler Fabio,
Paul Corrigan
We propose alternative single-equation semi-structural models for forecasting inflation in Canada, whereby structural New Keynesian models are combined with time-series features in the data. Several marginal cost measures are used, including one that in addition to unit labour cost also integrates relative price shocks known to play an important role in open-economies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Inflation and prices
JEL Code(s):
C,
C1,
C13,
C5,
C53,
E,
E3,
E31