Gregory Bauer - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T12:22:04+00:00Monetary Policy, Private Debt and Financial Stability Risks
https://www.bankofcanada.ca/2016/12/staff-working-paper-2016-59/
Can monetary policy be used to promote financial stability? We answer this question by estimating the impact of a monetary policy shock on private-sector leverage and the likelihood of a financial crisis. Impulse responses obtained from a panel VAR model of 18 advanced countries suggest that the debt-to-GDP ratio rises in the short run following an unexpected tightening in monetary policy.2016-12-19T13:17:39+00:00enMonetary Policy, Private Debt and Financial Stability Risks2016-12-19Credit and credit aggregatesFinancial stabilityMonetary policyMonetary policy transmissionStaff Working Paper 2016-59https://www.bankofcanada.ca/wp-content/uploads/2016/12/swp2016-59.pdfMonetary Policy, Private Debt and Financial Stability RisksGregory BauerEleonora GranzieraDecember 2016CC2C21C23EE5E52E58The Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open Economies
https://www.bankofcanada.ca/2016/08/staff-working-paper-2016-38/
This paper analyzes the implications of the global financial cycle for conventional and unconventional monetary policies and macroprudential policy in small, open economies such as Canada. The paper starts by summarizing recent work on financial cycles and their growing correlation across borders.2016-08-12T12:39:29+00:00enThe Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open Economies2016-08-12Financial stabilityHousingInternational financial marketsMonetary policy frameworkStaff Working Paper 2016-38https://www.bankofcanada.ca/wp-content/uploads/2016/08/swp2016-38.pdfThe Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open EconomiesGregory BauerGurnain PasrichaRodrigo SekkelYaz TerajimaAugust 2016EE4E42E43E44E5E52FF4F41International 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 2014CC2EE4E43RR2R21What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?
https://www.bankofcanada.ca/2014/09/working-paper-2014-42/
Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures the value of storing crude oil over the borrowing period.2014-09-09T07:55:42+00:00enWhat Does the Convenience Yield Curve Tell Us about the Crude Oil Market?2014-09-09Asset pricingInternational topicsWorking Paper 2014-42https://www.bankofcanada.ca/wp-content/uploads/2014/09/wp2014-42.pdfWhat Does the Convenience Yield Curve Tell Us about the Crude Oil Market?Ron AlquistGregory BauerAntonio Diez de los RiosSeptember 2014CC5C53GG1G12G13QQ4Q43An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks
https://www.bankofcanada.ca/2012/02/working-paper-2012-5/
We construct a multi-country affine term structure model that contains unspanned macroeconomic and foreign exchange risks. The canonical version of the model is derived and is shown to be easy to estimate.2012-02-17T10:49:19+00:00enAn International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks2012-02-17Asset pricingExchange ratesInterest ratesWorking Paper 2012-5https://www.bankofcanada.ca/wp-content/uploads/2012/02/wp2012-05.pdfAn International Dynamic Term Structure Model with Economic Restrictions and Unspanned RisksGregory BauerAntonio Diez de los RiosFebruary 2012EE4E43FF3F31GG1G12G15Multivariate Realized Stock Market Volatility
https://www.bankofcanada.ca/2007/03/working-paper-2007-20/
We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of both lagged volatility and returns.2007-03-07T15:39:50+00:00enMultivariate Realized Stock Market Volatility2007-03-07Econometric and statistical methodsFinancial marketsWorking Paper 2007-20 https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-20.pdfMultivariate Realized Stock Market VolatilityGregory BauerKeith VorkinkMarch 2007CC3C32C5C53GG1G14The Monetary Origins of Asymmetric Information in International Equity Markets
https://www.bankofcanada.ca/2004/12/working-paper-2004-47/
Existing studies using low-frequency data show that macroeconomic shocks contribute little to international stock market covariation.2004-12-01T09:57:47+00:00enThe Monetary Origins of Asymmetric Information in International Equity Markets2004-12-01Financial marketsInternational topicsMarket structure and pricingWorking Paper 2004-47 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-47.pdfThe Monetary Origins of Asymmetric Information in International Equity MarketsGregory BauerClara VegaDecember 2004FF3F30GG1G12G14G15International Equity Flows and Returns: A Quantitative Equilibrium Approach
https://www.bankofcanada.ca/2004/11/working-paper-2004-42/
The authors model trading by foreign and domestic investors in developed-country equity markets.2004-11-01T16:54:24+00:00enInternational Equity Flows and Returns: A Quantitative Equilibrium Approach2004-11-01Financial marketsInternational topicsMarket structure and pricingWorking Paper 2004-42 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-42.pdfInternational Equity Flows and Returns: A Quantitative Equilibrium ApproachRui AlbuquerqueMartin SchneiderGregory BauerNovember 2004FF3F30GG1G12G14G15