Staff research
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ToTEM: The Bank of Canada's New Quarterly Projection Model
The authors provide a detailed technical description of the Terms-of-Trade Economic Model (ToTEM), which replaced the Quarterly Projection Model (QPM) in December 2005 as the Bank's principal projection and policy-analysis model for the Canadian economy. -
Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets
The authors use the efficient hedging methodology for optimal pricing and hedging of equity-linked life insurance contracts whose payoff depends on the performance of several risky assets. -
Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model
The authors estimate a small monthly macroeconometric model (BEAM, for bonds, equity, and money) of the Canadian economy built around three cointegrating relationships linking financial and real variables over the 1975–2002 period. -
An Optimized Monetary Policy Rule for ToTEM
The authors propose a monetary policy rule for the Terms-of-Trade Economic Model (ToTEM), the Bank of Canada's new projection and policy-analysis model for the Canadian economy. -
Education and Self-Employment: Changes in Earnings and Wealth Inequality
The author quantitatively studies the interaction between education and occupation choices and its implication for the relationship between the changes in earnings inequality and the changes in wealth inequality in the United States over the 1983–2001 period. -
Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices
The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns. -
Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence
The author develops a strategy for utilizing higher moments and conditioning information efficiently, and hence improves on the variance bounds computed by Hansen and Jagannathan (1991, the HJ bound) and Gallant, Hansen, and Tauchen (1990, the GHT bound). -
Endogenous Borrowing Constraints and Consumption Volatility in a Small Open Economy
Consumption volatility relative to output volatility is consistently higher in emerging economies than in developed economies. -
Credit in a Tiered Payments System
Payments systems are typically characterized by some degree of tiering, with upstream firms (clearing agents) providing settlement accounts to downstream institutions that wish to clear and settle payments indirectly in these systems (indirect clearers).