Staff working papers - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T12:56:56+00:00Wage Dynamics and Returns to Unobserved Skill
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-61/
Economists disagree about the factors driving the substantial increase in residual wage inequality in the U.S. over the past few decades. We identify and estimate a general model of log wage residuals that incorporates: (i) changing returns to unobserved skills, (ii) a changing distribution of unobserved skills, and (iii) changing volatility in wages due to factors unrelated to skills.2017-12-27T10:25:24+00:00enWage Dynamics and Returns to Unobserved Skill2017-12-27Econometric and statistical methodsLabour marketsStaff Working Paper 2017-61https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-61.pdfWage Dynamics and Returns to Unobserved SkillLance LochnerYoungmin ParkYoungki ShinDecember 2017CC2C23JJ2J24J3J31Which Model to Forecast the Target Rate?
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-60/
Specifications of the Federal Reserve target rate that have more realistic features mitigate in-sample over-fitting and are favored in the data.2017-12-20T08:33:46+00:00enWhich Model to Forecast the Target Rate?2017-12-20Financial marketsInterest ratesStaff Working Paper 2017-60https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-60.pdfWhich Model to Forecast the Target Rate?Bruno FeunouJean-Sébastien FontaineJianjian JinDecember 2017EE4E43Credit Risk Transfer and Bank Insolvency Risk
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-59/
The present paper shows that, everything else equal, some transactions to transfer portfolio credit risk to third-party investors increase the insolvency risk of banks. This is particularly likely if a bank sells the senior tranche and retains a sufficiently large first-loss position.2017-12-19T14:37:59+00:00enCredit Risk Transfer and Bank Insolvency Risk2017-12-19Credit risk managementFinancial institutionsFinancial stabilityStaff Working Paper 2017-59https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-59.pdfCredit Risk Transfer and Bank Insolvency RiskMaarten van OordtDecember 2017GG2G21G28G3G32Variance Premium, Downside Risk and Expected Stock Returns
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-58/
We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large cross-section of firms.2017-12-19T14:27:16+00:00enVariance Premium, Downside Risk and Expected Stock Returns2017-12-19Asset pricingFinancial marketsStaff Working Paper 2017-58https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-58.pdfVariance Premium, Downside Risk and Expected Stock ReturnsBruno FeunouRicardo Lopez AliouchkinRoméo TedongapLai XiDecember 2017GG1G12Credit Crunches from Occasionally Binding Bank Borrowing Constraints
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-57/
We present a model in which banks and other financial intermediaries face both occasionally binding borrowing constraints and costs of equity issuance. Near the steady state, these intermediaries can raise equity finance at no cost through retained earnings.2017-12-19T09:52:31+00:00enCredit Crunches from Occasionally Binding Bank Borrowing Constraints2017-12-19Business fluctuations and cyclesCredit and credit aggregatesEconomic modelsFinancial marketsStaff Working Paper 2017-57https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-57.pdfCredit Crunches from Occasionally Binding Bank Borrowing ConstraintsTom D. HoldenPaul LevineJonathan SwarbrickDecember 2017EE2E22E3E32E5E51GG2Bitcoin Awareness and Usage in Canada
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-56/
There has been tremendous discussion of Bitcoin, digital currencies and FinTech. However, there is limited empirical evidence of Bitcoin’s adoption and usage. We propose a methodology to collect a nationally representative sample using the Bitcoin Omnibus Survey (BTCOS) to track the ubiquity and usage of Bitcoin in Canada.2017-12-08T12:00:03+00:00enBitcoin Awareness and Usage in Canada2017-12-08Bank notesDigital currencies and fintechEconometric and statistical methodsStaff Working Paper 2017-56https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-56.pdfBitcoin Awareness and Usage in CanadaChristopher HenryKim HuynhGradon NichollsDecember 2017CC1C12EE4Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-55/
This paper provides a novel methodology for estimating option pricing models based on risk-neutral moments. We synthesize the distribution extracted from a panel of option prices and exploit linear relationships between risk-neutral cumulants and latent factors within the continuous time affine stochastic volatility framework.2017-12-08T11:59:51+00:00enRisk-Neutral Moment-Based Estimation of Affine Option Pricing Models2017-12-08Asset pricingEconometric and statistical methodsStaff Working Paper 2017-55https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-55.pdfRisk-Neutral Moment-Based Estimation of Affine Option Pricing ModelsBruno FeunouCédric OkouDecember 2017GG1G12What Drives Episodes of Settlement Fails in the Government of Canada Bond Market?
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-54/
We study settlement fails for trades in the Government of Canada bond market. We find that settlement fails do not occur independently. Using a novel and comprehensive dataset, we examine three drivers of fails.2017-12-08T11:32:50+00:00enWhat Drives Episodes of Settlement Fails in the Government of Canada Bond Market?2017-12-08Financial marketsMarket structure and pricingPayment clearing and settlement systemsStaff Working Paper 2017-54https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-54.pdfWhat Drives Episodes of Settlement Fails in the Government of Canada Bond Market?Jean-Sébastien FontaineJames PinningtonAdrian WaltonDecember 2017EE4GG1G2G21LL1Competing Currencies in the Laboratory
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-53/
We investigate competition between two intrinsically worthless currencies as a result of decentralized interactions between human subjects. We design a laboratory experiment based on a simple two-country, two-currency search model to study factors that affect circulation patterns and equilibrium selection.2017-12-07T15:35:11+00:00enCompeting Currencies in the Laboratory2017-12-07Central bank researchDigital currencies and fintechStaff Working Paper 2017-53https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-53.pdfCompeting Currencies in the LaboratoryJanet Hua JiangCathy ZhangDecember 2017CC9C92DD8D83EE4E40Good Volatility, Bad Volatility and Option Pricing
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-52/
Advances in variance analysis permit the splitting of the total quadratic variation of a
jump diffusion process into upside and downside components. Recent studies establish
that this decomposition enhances volatility predictions, and highlight the
upside/downside variance spread as a driver of the asymmetry in stock price
distributions.2017-12-07T15:19:43+00:00enGood Volatility, Bad Volatility and Option Pricing2017-12-07Asset pricingEconometric and statistical methodsStaff Working Paper 2017-52https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-52.pdfGood Volatility, Bad Volatility and Option PricingBruno FeunouCédric OkouDecember 2017GG1G12