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1320
result(s)
The Impact of Emerging Asia on Commodity Prices
Staff Working Paper 2007-55
Sylvie Morin,
Calista Cheung
Over the past 5 years, real energy and non-energy commodity prices have trended sharply higher. These relative price movements have had important implications for inflation and economic activity in both Canada and the rest of the world. China has accounted for the bulk of incremental demand for oil and many base metals over this period.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
International topics
JEL Code(s):
E,
E3,
F,
F4,
O,
O1,
O19,
Q,
Q1,
Q11
Expenditure-Switching Effect and the Choice of Exchange Rate Regime
Staff Working Paper 2007-54
Wei Dong
The author investigates the quantitative importance of the expenditure-switching effect by developing and estimating a structural sticky-price model nesting both producer currency pricing (PCP) and local currency pricing (LCP) settings.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rate regimes,
International topics
JEL Code(s):
F,
F3,
F4
Testing Uncovered Interest Parity: A Continuous-Time Approach
Staff Working Paper 2007-53
Antonio Diez de los Rios,
Enrique Sentana
Nowadays researchers can choose the sampling frequency of exchange rates and interest rates.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Exchange rates
JEL Code(s):
F,
F3,
F31,
G,
G1,
G15
Where Does Price Discovery Occur in FX Markets?
Staff Working Paper 2007-52
Chris D'Souza
Trades in foreign exchange markets are initiated around the world and around the clock. This study illustrates that trades are more informative when initiated in a local country or in major foreign exchange centers like London and New York.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial markets,
Market structure and pricing
JEL Code(s):
F,
F3,
F31,
G,
G1,
G15
Rediscounting Under Aggregate Risk with Moral Hazard
Staff Working Paper 2007-51
James Chapman,
Antoine Martin
Freeman (1999) proposes a model in which discount window lending and open market operations have different effects. This is important because in most of the literature, these policies are indistinguishable.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Financial markets,
Payment clearing and settlement systems
JEL Code(s):
E,
E5,
E58,
G,
G2,
G20
Do Firms Adjust Toward a Target Leverage Level?
Staff Working Paper 2007-50
Zhaoxia Xu
This paper studies capital structure adjustment mechanisms of firms that experience substantial changes in leverage.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G3,
G32
Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective
Staff Working Paper 2007-49
David Bolder,
Shudan Liu
The primary objective of this paper is to compare a variety of joint models of the term structure of interest rates and the macroeconomy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Interest rates
JEL Code(s):
C,
C0,
C6,
E,
E4,
G,
G1
Estimating and Comparing the Implied Cost of Equity for Canadian and U.S. Firms
Staff Working Paper 2007-48
Jonathan Witmer,
Lorie Zorn
This paper estimates the implied cost of equity for Canadian and U.S. firms using a methodology based on the dividend discount model and utilizing firms' current stock price and analysts' forecasted earnings.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G3,
G30,
G38
Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing
Staff Working Paper 2007-47
Fousseni Chabi-Yo,
Dietmar Leisen,
Eric Renault
Asymmetric shocks are common in markets; securities' payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous agents with preferences over mean, variance and skewness, and derives equilibrium prices.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
C,
C5,
C52,
D,
D5,
D58,
G,
G1,
G11,
G12