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1776
result(s)
Default Dependence: The Equity Default Relationship
Staff Working Paper 2008-1
Stuart Turnbull,
Jun Yang
The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
G,
G1,
G12,
G13
Electronic Transactions as High-Frequency Indicators of Economic Activity
Staff Working Paper 2007-58
John Galbraith,
Greg Tkacz
Since the advent of standard national accounts data over 60 years ago, economists have traditionally relied on monthly or quarterly data supplied by central statistical agencies for macroeconomic modelling and forecasting.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles
JEL Code(s):
E,
E1,
E17,
E2,
E27,
E6,
E66
Uncertainty and the Specificity of Human Capital
Staff Working Paper 2007-57
Martin Gervais,
Igor Livshits,
Césaire Meh
This paper studies the choice between general and specific human capital. A trade-off arises because general human capital, while less productive, can easily be reallocated across firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models
JEL Code(s):
D,
D9,
D92,
J,
J2,
J24,
J4,
J41,
J6,
J62
Estimation and Inference by the Method of Projection Minimum Distance
Staff Working Paper 2007-56
Òscar Jordà,
Sharon Kozicki
A covariance-stationary vector of variables has a Wold representation whose coefficients can be semi-parametrically estimated by local projections (Jordà, 2005). Substituting the Wold representations for variables in model expressions generates restrictions that can be used by the method of minimum distance to estimate model parameters.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C3,
C32,
C5,
C53,
E,
E4,
E47
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
Tracking Canadian Trend Productivity: A Dynamic Factor Model with Markov Switching
Staff Discussion Paper 2007-12
Michael Dolega
The author attempts to track Canadian labour productivity over the past four decades using a multivariate dynamic factor model that, in addition to the labour productivity series, includes aggregate compensation and consumption information. Productivity is assumed to switch between two regimes (the high-growth state and the low-growth state) with different trend growth rates according to […]
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Productivity
JEL Code(s):
C,
C3,
C32,
O,
O4,
O5,
O51
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