Research - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T14:33:07+00:00Cash Management and Payment Choices: A Simulation Model with International Comparisons
https://www.bankofcanada.ca/2013/12/working-paper-2013-53/
Despite various payment innovations, today, cash is still heavily used to pay for low-value purchases. This paper develops a simulation model to test whether standard implications of the theory on cash management and payment choices can explain the use of payment instruments by transaction size.2013-12-30T08:55:48+00:00enCash Management and Payment Choices: A Simulation Model with International Comparisons2013-12-30Bank notesFinancial servicesInternational topicsWorking Paper 2013-53https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-53.pdfCash Management and Payment Choices: A Simulation Model with International ComparisonsCarlos ArangoYassine BouhdaouiDavid BounieMartina EschelbachLola HernándezDecember 2013CC6C61EE4E41E47Do Oil Price Increases Cause Higher Food Prices?
https://www.bankofcanada.ca/2013/12/working-paper-2013-52/
U.S. retail food price increases in recent years may seem large in nominal terms, but after adjusting for inflation have been quite modest even after the change in U.S. biofuel policies in 2006. In contrast, increases in the real prices of corn, soybeans, wheat and rice received by U.S. farmers have been more substantial and can be linked in part to increases in the real price of oil.2013-12-30T08:21:24+00:00enDo Oil Price Increases Cause Higher Food Prices?2013-12-30Inflation and pricesInternational topicsWorking Paper 2013-52https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-52.pdfDo Oil Price Increases Cause Higher Food Prices?Christiane BaumeisterLutz KilianDecember 2013EE3E31QQ1Q11Q4Q42Q43Regime Switches in the Risk-Return Trade-Off
https://www.bankofcanada.ca/2013/12/working-paper-2013-51/
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification.2013-12-24T11:03:53+00:00enRegime Switches in the Risk-Return Trade-Off2013-12-24Econometric and statistical methodsFinancial marketsWorking Paper 2013-51https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-51.pdfRegime Switches in the Risk-Return Trade-OffEric GhyselsPierre GuérinMassimiliano MarcellinoDecember 2013GG1G10G12Funding Advantage and Market Discipline in the Canadian Banking Sector
https://www.bankofcanada.ca/2013/12/working-paper-2013-50/
We employ a comprehensive data set and a variety of methods to provide evidence on the magnitude of large banks’ funding advantage in Canada, and on the extent to which market discipline exists across different securities issued by the Canadian banks.2013-12-23T07:44:08+00:00enFunding Advantage and Market Discipline in the Canadian Banking Sector2013-12-23Financial institutionsInterest ratesWorking Paper 2013-50https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-50.pdfFunding Advantage and Market Discipline in the Canadian Banking SectorMehdi BeyhaghiChris D'SouzaGordon S. RobertsDecember 2013GG0G01G2G21G28G3G32G33A Distributional Approach to Realized Volatility
https://www.bankofcanada.ca/2013/12/working-paper-2013-49/
This paper proposes new measures of the integrated variance, measures which use high-frequency bid-ask spreads and quoted depths. The traditional approach assumes that the mid-quote is a good measure of frictionless price.2013-12-20T10:14:03+00:00enA Distributional Approach to Realized Volatility2013-12-20Econometric and statistical methodsFinancial marketsWorking Paper 2013-49https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-49.pdfA Distributional Approach to Realized VolatilitySelma ChakerNour MeddahiDecember 2013CC1C14C5C51C58Volatility Forecasting when the Noise Variance Is Time-Varying
https://www.bankofcanada.ca/2013/12/working-paper-2013-48/
This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the noise variance is related to the true return volatility.2013-12-20T10:13:05+00:00enVolatility Forecasting when the Noise Variance Is Time-Varying2013-12-20Econometric and statistical methodsFinancial marketsWorking Paper 2013-48https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-48.pdfVolatility Forecasting when the Noise Variance Is Time-VaryingSelma ChakerNour MeddahiDecember 2013CC1C14C5C51C58CoMargin
https://www.bankofcanada.ca/2013/12/working-paper-2013-47/
We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants.2013-12-20T10:09:24+00:00enCoMargin2013-12-20Econometric and statistical methodsFinancial institutionsFinancial marketsFinancial stabilityWorking Paper 2013-47https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-47.pdfCoMarginJorge Cruz LopezJeffrey H. HarrisChristophe HurlinChristophe PérignonDecember 2013GG1G13Heterogeneous Returns to U.S. College Selectivity and the Value of Graduate Degree Attainment
https://www.bankofcanada.ca/2013/12/working-paper-2013-46/
Existing studies on the returns to college selectivity have mixed results, mainly due to the difficulty of controlling for selection into more-selective colleges based on unobserved ability.2013-12-19T08:33:21+00:00enHeterogeneous Returns to U.S. College Selectivity and the Value of Graduate Degree Attainment2013-12-19Labour marketsWorking Paper 2013-46https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-46.pdfHeterogeneous Returns to U.S. College Selectivity and the Value of Graduate Degree AttainmentMai SekiDecember 2013CC3C30II2I21Lessons from the Financial Crisis: Bank Performance and Regulatory Reform
https://www.bankofcanada.ca/2013/12/discussion-paper-2013-4/
The financial systems of some countries fared materially better than others during the global financial crisis of 2007-09.2013-12-19T08:31:13+00:00enLessons from the Financial Crisis: Bank Performance and Regulatory Reform2013-12-19Financial institutionsFinancial system regulation and policiesDiscussion Paper 2013-04https://www.bankofcanada.ca/wp-content/uploads/2013/12/dp2013-04.pdfLessons from the Financial Crisis: Bank Performance and Regulatory ReformNeville ArjaniGraydon PaulinDecember 2013GG2G21G28Expansion of Higher Education, Employment and Wages: Evidence from the Russian Transition
https://www.bankofcanada.ca/2013/12/working-paper-2013-45/
This paper analyzes the effects of an educational system expansion on labour market outcomes, drawing upon a 15-year natural experiment in the Russian Federation. Regional increases in student intake capacities in Russian universities, a result of educational reforms, provide a plausibly exogenous variation in access to higher education.2013-12-13T11:52:56+00:00enExpansion of Higher Education, Employment and Wages: Evidence from the Russian Transition2013-12-13Development economicsLabour marketsWorking Paper 2013-45https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-45.pdfExpansion of Higher Education, Employment and Wages: Evidence from the Russian TransitionNatalia KyuiDecember 2013II2I20JJ2J24