Mingwei Yuan

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Staff Working Papers

Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model

Staff Working Paper 1999-19 John Knight, Fuchun Li, Mingwei Yuan
Diffusion functions in term-structure models are measures of uncertainty about future price movements and are directly related to the risk associated with holding financial securities. Correct specification of diffusion functions is crucial in pricing options and other derivative securities. In contrast to the standard parametric two-factor models, we propose a non-parametric two-factor term-structure model that […]

Dynamic Employment and Hours Effects of Government Spending Shocks

Staff Working Paper 1999-1 Mingwei Yuan, Wenli Li
In this paper, we analyze the dynamic behaviour of employment and hours worked per worker in a stochastic general equilibrium model with a matching mechanism between vacancies and unemployed workers. The model is estimated for the United States using the Generalized Methods of Moments (GMM) estimation technique. An increase in government spending raises hours worked […]
Content Type(s): Staff Research, Staff Working Papers Topic(s): Fiscal policy, Labour markets JEL Code(s): E, E2, E24, E3, E32, E6, E62, J, J6, J64

Can a Matching Model Explain the Long-Run Increase in Canada's Unemployment Rate?

Staff Working Paper 1998-19 Andreas Hornstein, Mingwei Yuan
The authors construct a simple general equilibrium model of unemployment and calibrate it to the Canadian economy. Job creation and destruction are endogenous. In this model, they consider several potential factors that could contribute to the long-run increase in the Canadian unempoloyment rate: a more generous unemployment insurance system, higher layoff costs, higher discretionary taxes, […]
Content Type(s): Staff Research, Staff Working Papers Topic(s): Economic models, Fiscal policy, Labour markets JEL Code(s): E, E2, E6, J, J4

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