Research
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Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective
Modelling term-structure dynamics is an important component in measuring and managing the exposure of portfolios to adverse movements in interest rates. -
Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector
Stress testing, at its most general level, is an investigation of the performance of an entity under abnormal operating conditions. -
Survey-Based Estimates of the Term Structure of Expected U.S. Inflation
Surveys provide direct information on expectations, but only short histories are available at quarterly frequencies or for long-horizon expectations. -
The Role of Debt and Equity Finance over the Business Cycle
The authors show that debt and equity issuance are procyclical for most listed U.S. firms. -
The Long-Term Effects of Cross-Listing, Investor Recognition, and Ownership Structure on Valuation
The authors show that the widening of a foreign firm's U.S. investor base and the improved information environment associated with cross-listing on a U.S. exchange each have a separately identifiable effect on a firm's valuation. -
ToTEM: The Bank of Canada's New Quarterly Projection Model
The authors provide a detailed technical description of the Terms-of-Trade Economic Model (ToTEM), which replaced the Quarterly Projection Model (QPM) in December 2005 as the Bank's principal projection and policy-analysis model for the Canadian economy.