Staff research

• Sluggish Exports in Advanced Economies: How Much Is Due to Demand?

  Staff Discussion Paper 2015-3 Louis Morel

  Exports in advanced economies have been relatively sluggish since 2011, growing at a much slower pace than observed before the global financial crisis.

  Content Type(s): Staff research, Staff discussion papers Research Topic(s): International topics, Recent economic and financial developments JEL Code(s): F, F1, F4

• Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns

  Staff Working Paper 2015-12 Jean-Sébastien Fontaine, René Garcia, Sermin Gungor

  Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets JEL Code(s): E, E4, E43, H, H1, H12

• Fourier Inversion Formulas for Multiple-Asset Option Pricing

  Staff Working Paper 2015-11 Bruno Feunou, Ernest Tafolong

  Plain vanilla options have a single underlying asset and a single condition on the payoff at the expiration date. For this class of options, a well-known result of Duffie, Pan and Singleton (2000) shows how to invert the characteristic function to obtain a closed-form formula for their prices.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing JEL Code(s): G, G1, G12

• Effects of Funding Portfolios on the Credit Supply of Canadian Banks

  Staff Working Paper 2015-10 H. Evren Damar, Césaire Meh, Yaz Terajima

  This paper studies how banks simultaneously manage the two sides of their balance sheet and its implications for bank risk taking and real economic activity. First, we analyze how changes in funding affect the supply of bank loans.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability, Financial system regulation and policies, Monetary policy implementation JEL Code(s): E, E5, E52, G, G2, G21
• February 28, 2015

  Research Update - February 2015

  This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website.

  Content Type(s): Staff research, Research newsletters

• Securitization under Asymmetric Information over the Business Cycle

  Staff Working Paper 2015-9 Martin Kuncl

  This paper studies the efficiency of financial intermediation through securitization in a model with heterogeneous investment projects and asymmetric information about the quality of securitized assets. I show that when retaining part of the risk, the issuer of securitized assets may credibly signal its quality.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial markets, Financial stability, Financial system regulation and policies JEL Code(s): E, E3, E32, E4, E44, G, G0, G01, G2, G20

• What Drives Bank-Intermediated Trade Finance? Evidence from Cross-Country Analysis

  Staff Working Paper 2015-8 Jose Maria Serena, Garima Vasishtha

  Empirical work on the underlying causes of the recent dislocations in bank-intermediated trade finance has been limited by the poor availability of hard data. This paper analyzes the key determinants of bank-intermediated trade finance using a novel data set covering ten banking jurisdictions.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International financial markets, International topics JEL Code(s): F, F1, F14, F19

• Information, Risk Sharing and Incentives in Agency Problems

  Staff Working Paper 2015-7 Jia Xie

  This paper studies the use of information for incentives and risk sharing in agency problems. When the principal is risk neutral or the outcome is contractible, risk sharing is unnecessary or completely taken care of by a contract on the outcome.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models JEL Code(s): D, D8

• Changing Labour Market Participation Since the Great Recession: A Regional Perspective

  Staff Discussion Paper 2015-2 Calista Cheung, Dmitry Granovsky, Gabriella Velasco

  This paper discusses broad trends in labour force participation and part-time employment across different age groups since the Great Recession and uses provincial data to identify changes related to population aging, cyclical effects and other factors.

  Content Type(s): Staff research, Staff discussion papers Research Topic(s): Labour markets, Recent economic and financial developments, Regional economic developments JEL Code(s): E, E2, E24, E3, E32, J, J1, J2, J21, J6

• A New Data Set of Quarterly Total Factor Productivity in the Canadian Business Sector

  Staff Working Paper 2015-6 Shutao Cao, Sharon Kozicki

  In this paper, a quarterly growth-accounting data set is built for the Canadian business sector with the top-down approach of Diewert and Yu (2012). Inputs and outputs are measured and used to estimate the quarterly total factor productivity (TFP).

  Content Type(s): Staff research, Staff working papers Research Topic(s): Productivity JEL Code(s): D, D2, D24, F, F4, F43, O, O4, O47