Research - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T08:16:56+00:00Demographics and the Demand for Currency
https://www.bankofcanada.ca/2014/12/working-paper-2014-59/
I use data from the Bank of Canada’s Bank Note Distribution System and exploit a natural experiment offered by the timing of Easter in the Gregorian calendar to analyze the effects of demographic change for currency demand.2014-12-22T15:47:53+00:00enDemographics and the Demand for Currency2014-12-22Bank notesEconometric and statistical methodsWorking Paper 2014-59https://www.bankofcanada.ca/wp-content/uploads/2014/12/wp2014-59.pdfDemographics and the Demand for CurrencyGeoffrey R. DunbarDecember 2014CC3C31C36EE4E41Addressing Household Indebtedness: Monetary, Fiscal or Macroprudential Policy?
https://www.bankofcanada.ca/2014/12/working-paper-2014-58/
In this paper, we build a dynamic stochastic general-equilibrium model with housing and household debt, and compare the effectiveness of monetary policy, housing-related fiscal policy, and macroprudential regulations in reducing household indebtedness.2014-12-22T15:43:55+00:00enAddressing Household Indebtedness: Monetary, Fiscal or Macroprudential Policy?2014-12-22Economic modelsFinancial system regulation and policiesHousingMonetary policy transmissionWorking Paper 2014-58https://www.bankofcanada.ca/wp-content/uploads/2014/12/wp2014-58.pdfAddressing Household Indebtedness: Monetary, Fiscal or Macroprudential Policy?Sami AlpandaSarah ZubairyDecember 2014EE5E52E6E62RR3R38International Spillovers of Policy Uncertainty
https://www.bankofcanada.ca/2014/12/working-paper-2014-57/
Using the Baker et al. (2013) index of policy uncertainty for six developed countries, this paper estimates spillovers of policy uncertainty. We find that spillovers account for slightly more than one-fourth of the dynamics of policy uncertainty in these countries, with this share rising to one-half during the financial crisis.2014-12-15T15:29:27+00:00enInternational Spillovers of Policy Uncertainty2014-12-15Econometric and statistical methodsWorking Paper 2014-57https://www.bankofcanada.ca/wp-content/uploads/2014/12/wp2014-57.pdfInternational Spillovers of Policy UncertaintyStefan KlößnerRodrigo SekkelDecember 2014CC3DD8D80FF4F42Why Do Canadian Firms Invest and Operate Abroad? Implications for Canadian Exports
https://www.bankofcanada.ca/2014/12/discussion-paper-2014-7/
Canadian foreign direct investment and sales of Canadian multinational firms’ operations abroad, particularly in the manufacturing industry and in the United States, have accelerated sharply over the past decade.2014-12-12T12:17:11+00:00enWhy Do Canadian Firms Invest and Operate Abroad? Implications for Canadian Exports2014-12-12International topicsRecent economic and financial developmentsDiscussion Paper 2014-7https://www.bankofcanada.ca/wp-content/uploads/2014/12/dp2014-7.pdfWhy Do Canadian Firms Invest and Operate Abroad? Implications for Canadian ExportsMartin CoiteuxPatrick RizzettoLena SuchanekJane VollDecember 2014FF1F10F2F21F23F4F41High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
https://www.bankofcanada.ca/2014/12/working-paper-2014-56/
This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i- Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and price efficiency.2014-12-12T11:10:12+00:00enHigh-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market2014-12-12Financial marketsWorking Paper 2014-56https://www.bankofcanada.ca/wp-content/uploads/2014/12/wp2014-56.pdfHigh-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury MarketGeorge JiangIngrid LoGiorgio ValenteDecember 2014GG1G10G12G14Persistent Leverage in Portfolio Sorts: An Artifact of Measurement Error?
https://www.bankofcanada.ca/2014/12/working-paper-2014-55/
Studies such as Lemmon, Roberts and Zender (2008) demonstrate how stable firms’ capital structures are over time, and raise the question of whether new theories of capital structure are needed to explain these phenomena.2014-12-12T11:06:38+00:00enPersistent Leverage in Portfolio Sorts: An Artifact of Measurement Error?2014-12-12Econometric and statistical methodsFinancial marketsWorking Paper 2014-55https://www.bankofcanada.ca/wp-content/uploads/2014/12/wp2014-55.pdfPersistent Leverage in Portfolio Sorts: An Artifact of Measurement Error?Michael MuellerDecember 2014CC1C18GG3G32International House Price Cycles, Monetary Policy and Risk Premiums
https://www.bankofcanada.ca/2014/12/working-paper-2014-54/
Using a panel logit framework, the paper provides an estimate of the likelihood of a house price correction in 18 OECD countries. The analysis shows that a simple measure of the degree of house price overvaluation contains a lot of information about subsequent price reversals.2014-12-10T09:13:11+00:00enInternational House Price Cycles, Monetary Policy and Risk Premiums2014-12-10Econometric and statistical methodsHousingWorking Paper 2014-54https://www.bankofcanada.ca/wp-content/uploads/2014/12/wp2014-54.pdfInternational House Price Cycles, Monetary Policy and Risk PremiumsGregory BauerDecember 2014CC2EE4E43RR2R21The Impact of U.S. Monetary Policy Normalization on Capital Flows to Emerging-Market Economies
https://www.bankofcanada.ca/2014/12/working-paper-2014-53/
The Federal Reserve’s path for withdrawal of monetary stimulus and eventually increasing interest rates could have substantial repercussions for capital flows to emerging-market economies (EMEs).2014-12-04T08:03:57+00:00enThe Impact of U.S. Monetary Policy Normalization on Capital Flows to Emerging-Market Economies2014-12-04International topicsMonetary policy transmissionWorking Paper 2014-53https://www.bankofcanada.ca/wp-content/uploads/2014/12/wp2014-53.pdfThe Impact of U.S. Monetary Policy Normalization on Capital Flows to Emerging-Market EconomiesTatjana DahlhausGarima VasishthaDecember 2014CC3C32EE5E52FF3F33F4F42Targeting Inflation from Below - How Do Inflation Expectations Behave?
https://www.bankofcanada.ca/2014/12/working-paper-2014-52/
Inflation targeting (IT) had originally been introduced as a device to bring inflation down and stabilize it at low levels. Given the current environment of persistently weak inflation in many advanced economies, IT central banks must now bring inflation up to target.2014-12-04T08:03:39+00:00enTargeting Inflation from Below - How Do Inflation Expectations Behave?2014-12-04Inflation and pricesInflation targetsWorking Paper 2014-52https://www.bankofcanada.ca/wp-content/uploads/2014/12/wp2014-52.pdfTargeting Inflation from Below - How Do Inflation Expectations Behave?Michael EhrmannDecember 2014CC5C53EE3E31E5E52E58Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
https://www.bankofcanada.ca/2014/11/working-paper-2014-51/
We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually.2014-11-19T11:56:03+00:00enBootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings2014-11-19Asset pricingEconometric and statistical methodsFinancial marketsWorking Paper 2014-51https://www.bankofcanada.ca/wp-content/uploads/2014/11/wp2014-51.pdfBootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio GroupingsSermin GungorRichard LugerNovember 2014CC1C12C14C15GG1G12