Staff working papers - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T02:38:00+00:00Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis
https://www.bankofcanada.ca/2007/02/working-paper-2007-13/
The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt-management strategy provides a wide variety of useful information. It does not, however, assist in determining an optimal debt-management strategy for the government in its current form.2007-02-13T12:52:37+00:00enOptimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis2007-02-13Debt managementEconometric and statistical methodsFinancial marketsFiscal policyWorking Paper 2007-13 https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-13.pdfOptimization in a Simulation Setting: Use of Function Approximation in Debt Strategy AnalysisDavid BolderTiago RubinFebruary 2007CC0C1C14C15C5C51C52C6C61C65EE6GG1HH6H63Schooling, Inequality and Government Policy
https://www.bankofcanada.ca/2007/02/working-paper-2007-12/
This paper asks: What is the effect of government policy on output and inequality in an environment with education and labor-supply decisions? The answer is given in a general equilibrium model, consistent with the post 1960s facts on male wage inequality and labor supply in the U.S. In the model, education and labor-supply decisions depend on progressive income taxation, the education system, the social security system, and technology-driven wage differentials.2007-02-12T12:38:32+00:00enSchooling, Inequality and Government Policy2007-02-12Labour marketsPotential outputProductivityWorking Paper 2007-12 https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-12.pdfSchooling, Inequality and Government PolicyOleksiy KryvtsovAlexander UeberfeldtFebruary 2007HH5H52JJ3J31J38Uncollateralized Overnight Loans Settled in LVTS
https://www.bankofcanada.ca/2007/02/working-paper-2007-11/
Loan-level data on the uncollateralized overnight loan market is generated using payment data from Canada's Large Value Transfer System (LVTS) and a modified version of the methodology proposed in Furfine (1999). There were on average just under 100 loans extended in this market each day from March 2004 to March 2006 for a total daily value of about $5 billion.2007-02-11T12:24:35+00:00enUncollateralized Overnight Loans Settled in LVTS2007-02-11Financial marketsInterest ratesWorking Paper 2007-11 https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-11.pdfUncollateralized Overnight Loans Settled in LVTSScott HendryNadja KamhiFebruary 2007EE4E44E5E50GG1G12Do We Need the IMF to Resolve a Crisis? Lessons from Past Episodes of Debt Restructuring
https://www.bankofcanada.ca/2007/02/working-paper-2007-10/
This study investigate how debt restructurings have evolved over the decades. Debtors and creditors have a long history of engaging an outsider – a “third party”, such as the IMF – to organise and facilitate debt restructurings.2007-02-10T11:56:21+00:00enDo We Need the IMF to Resolve a Crisis? Lessons from Past Episodes of Debt Restructuring2007-02-10Financial stabilityInternational topicsWorking Paper 2007-10 https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-10.pdfDo We Need the IMF to Resolve a Crisis? Lessons from Past Episodes of Debt RestructuringPhilipp MaierFebruary 2007EE5FF3NN1N2Best Instruments for Market Discipline in Banking
https://www.bankofcanada.ca/2007/02/working-paper-2007-9/
The author develops a dynamic model of banking competition to determine which capital instrument is most effective in disciplining banks' risk choice. Comparisons are conducted between equity, subordinated debentures (SD), and uninsured deposits (UD) as funding sources.2007-02-09T11:19:52+00:00enBest Instruments for Market Discipline in Banking2007-02-09Financial institutionsWorking Paper 2007-9 https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-9.pdfBest Instruments for Market Discipline in BankingGreg CaldwellFebruary 2007GG2G21G28Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation
https://www.bankofcanada.ca/2007/02/working-paper-2007-8/
This paper evaluates the performance of static and dynamic factor models for forecasting Canadian real output growth and core inflation on a quarterly basis. We extract the common component from a large number of macroeconomic indicators, and use the estimates to compute out-of-sample forecasts under a recursive and a rolling scheme with different window sizes.2007-02-08T11:00:53+00:00enEvaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation2007-02-08Econometric and statistical methodsWorking Paper 2007-8 https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-8.pdfEvaluating Forecasts from Factor Models for Canadian GDP Growth and Core InflationFrédérick DemersCalista CheungFebruary 2007CC3C32EE3E37Technology Shocks and Business Cycles: The Role of Processing Stages and Nominal Rigidities
https://www.bankofcanada.ca/2007/02/working-paper-2007-7/
This paper develops and estimates a dynamic general equilibrium model that realistically accounts for an input-output linkage between firms operating at different stages of processing. Firms face technological change which is specific to their processing stage and charge new prices according to stage-specific Calvo-probabilities.2007-02-07T14:39:06+00:00enTechnology Shocks and Business Cycles: The Role of Processing Stages and Nominal Rigidities2007-02-07Business fluctuations and cyclesEconomic modelsWorking Paper 2007-7 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-7.pdfTechnology Shocks and Business Cycles: The Role of Processing Stages and Nominal RigiditiesLouis PhaneufNooman RebeiFebruary 2007EE3E32Monetary Policy Committees in Action: Is There Room for Improvement?
https://www.bankofcanada.ca/2007/02/working-paper-2007-6/
More than 80 central banks use a committee to take monetary policy decisions. The composition of the committee and the structure of the meeting can affect the quality of the decision making.2007-02-06T14:27:09+00:00enMonetary Policy Committees in Action: Is There Room for Improvement?2007-02-06Central bank researchMonetary policy frameworkWorking Paper 2007-6 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-6.pdfMonetary Policy Committees in Action: Is There Room for Improvement?Philipp MaierFebruary 2007CC9C92DD7D70EE5E58Impact of Electronic Trading Platforms on the Brokered Interdealer Market for Government of Canada Benchmark Bonds
https://www.bankofcanada.ca/2007/02/working-paper-2007-5/
This study examines the impact of increased transparency, brought about by the introduction of three electronic trading systems, on the brokered interdealer market for Government of Canada benchmark securities. Using the CanPX dataset for the 2-, 5-, 10-, and 30-year benchmarks, the paper finds some evidence of decreased bid-ask spreads for the 30-year benchmark in the months following the introduction of the electronic platforms.2007-02-05T12:10:18+00:00enImpact of Electronic Trading Platforms on the Brokered Interdealer Market for Government of Canada Benchmark Bonds2007-02-05Financial marketsMarket structure and pricingWorking Paper 2007-5 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-5.pdfImpact of Electronic Trading Platforms on the Brokered Interdealer Market for Government of Canada Benchmark BondsNatasha KhanFebruary 2007GG1G10G14Price Discovery in Canadian Government Bond Futures and Spot Markets
https://www.bankofcanada.ca/2007/02/working-paper-2007-4/
In this paper we look at the relative information content of cash and futures prices for Canadian Government bonds.
We follow the information-share approaches introduced by Hasbrouck (1995) and Harris et al (1995), applying the techniques in Gonzalo-Granger (1995), to evaluate the relative contributions of trading in the cash and futures markets to the price discovery process.2007-02-04T10:56:25+00:00enPrice Discovery in Canadian Government Bond Futures and Spot Markets2007-02-04Financial marketsMarket structure and pricingWorking Paper 2007-4 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-4.pdfPrice Discovery in Canadian Government Bond Futures and Spot MarketsChristopher ChungBryan CampbellScott HendryFebruary 2007GG1G12G13G14