Staff working papers - Bank of Canada
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2024-03-29T14:00:04+00:00
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State-Dependent or Time-Dependent Pricing: Does It Matter for Recent U.S. Inflation?
https://www.bankofcanada.ca/2005/02/working-paper-2005-4/
Inflation equals the product of two terms: an extensive margin (the fraction of items with price changes) and an intensive margin (the average size of those changes).
2005-02-01T11:13:04+00:00
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State-Dependent or Time-Dependent Pricing: Does It Matter for Recent U.S. Inflation?
2005-02-01
Inflation and prices
Working Paper 2005-4
https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-4.pdf
State-Dependent or Time-Dependent Pricing: Does It Matter for Recent U.S. Inflation?
Peter J. Klenow
Oleksiy Kryvtsov
February 2005
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E3
E31
E32
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Pre-Bid Run-Ups Ahead of Canadian Takeovers: How Big Is the Problem?
https://www.bankofcanada.ca/2005/02/working-paper-2005-3/
The authors study the price - volume dynamics ahead of the first public announcement of a takeover for 420 Canadian firms from 1985 to 2002.
2005-02-01T11:02:16+00:00
en
Pre-Bid Run-Ups Ahead of Canadian Takeovers: How Big Is the Problem?
2005-02-01
Financial markets
Working Paper 2005-3
https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-3.pdf
Pre-Bid Run-Ups Ahead of Canadian Takeovers: How Big Is the Problem?
Michael R. King
Maksym Padalko
February 2005
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G1
G14
G18
G3
G34
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The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments
https://www.bankofcanada.ca/2005/02/working-paper-2005-2/
The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns.
2005-02-01T10:48:46+00:00
en
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments
2005-02-01
Financial markets
Market structure and pricing
Working Paper 2005-2
https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-2.pdf
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments
Fousseni Chabi-Yo
René Garcia
Eric Renault
February 2005
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C6
C61
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G1
G11
G12