Are Canadian Banks Efficient? A Canada–U.S. Comparison
The authors compare the efficiency of Canada's largest banks with U.S. commercial banks over the past 20 years. Efficiency is measured in three ways.
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1348
result(s)
Governance and the IMF: Does the Fund Follow Corporate Best Practice?
Staff Working Paper 2006-32
Eric Santor
The governance challenges facing the International Monetary Fund (IMF) are not simply limited to representation and voice, and the associated question of quota allocation.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
International topics
JEL Code(s):
F,
F3
Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns
Staff Working Paper 2006-31
Antonio Diez de los Rios,
René Garcia
Several studies have put forward the non-linear structure and option-like features of returns associated with hedge fund strategies.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Econometric and statistical methods,
Financial institutions
JEL Code(s):
C,
C1,
C5,
G,
G1
Multinationals and Exchange Rate Pass-Through
Staff Working Paper 2006-30
Alexandra Lai,
Oana Secrieru
The authors examine the impact of multinational enterprises (MNEs) on exchange rate pass-through in an environment where an MNE engages in Cournot (quantity) competition with domestic and foreign rivals.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Economic models,
Exchange rates,
Market structure and pricing
JEL Code(s):
F,
F2,
F23,
L,
L1,
L16
The Turning Black Tide: Energy Prices and the Canadian Dollar
Staff Working Paper 2006-29
Ramzi Issa,
Robert Lafrance,
John Murray
The authors revisit the relationship between energy prices and the Canadian dollar in the Amano and van Norden (1995) equation, which shows a negative relationship such that higher real energy prices lead to a depreciation of the Canadian dollar.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Econometric and statistical methods,
Exchange rates
JEL Code(s):
F,
F3,
F31
Estimation of the Default Risk of Publicly Traded Canadian Companies
Staff Working Paper 2006-28
Georges Dionne,
Sadok Laajimi,
Sofiane Mejri,
Madalina Petrescu
Two models of default risk are prominent in the financial literature: Merton's structural model and Altman's non-structural model.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Credit and credit aggregates,
Debt management,
Econometric and statistical methods,
Financial markets,
Recent economic and financial developments
JEL Code(s):
G,
G2,
G21,
G24,
G28,
G3,
G33
Can Affine Term Structure Models Help Us Predict Exchange Rates?
Staff Working Paper 2006-27
Antonio Diez de los Rios
The author proposes an arbitrage-free model of the joint behaviour of interest and exchange rates whose exchange rate forecasts outperform those produced by a random-walk model, a vector autoregression on the forward premiums and the rate of depreciation, and the standard forward premium regression.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Econometric and statistical methods,
Exchange rates,
Interest rates
JEL Code(s):
E,
E4,
E43,
F,
F3,
F31,
G,
G1,
G12,
G15
Using Monthly Indicators to Predict Quarterly GDP
Staff Working Paper 2006-26
Yi Zheng,
James Rossiter
The authors build a model for predicting current-quarter real gross domestic product (GDP) growth using anywhere from zero to three months of indicators from that quarter.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Econometric and statistical methods,
Economic models
JEL Code(s):
C,
C2,
C22,
C5,
C53
Linear and Threshold Forecasts of Output and Inflation with Stock and Housing Prices
Staff Working Paper 2006-25
Greg Tkacz,
Carolyn A. Wilkins
The authors examine whether simple measures of Canadian equity and housing price misalignments contain leading information about output growth and inflation.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Business fluctuations and cycles,
Inflation and prices
JEL Code(s):
C,
C5,
C53,
E,
E4
Are Average Growth Rate and Volatility Related?
Staff Working Paper 2006-24
Partha Chatterjee,
Malik Shukayev
The empirical relationship between the average growth rate and the volatility of growth rates, both over time and across countries, has important policy implications, which depend critically on the sign of the relationship.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Business fluctuations and cycles
JEL Code(s):
E,
E3,
E32