Find Bank of Canada research by keyword, author, content type, JEL code, topic or date of publication.
Receive notification by email whenever new research is added to the website.
2445
result(s)
June 20, 2010
The Role of Securities Lending in Market Liquidity
Content Type(s):
Publications,
Financial System Review articles
Inflation and Unemployment in Competitive Search Equilibrium
Staff Working Paper 2010-15
Mei Dong
Using a monetary search model, Rocheteau, Rupert and Wright (2007) show that the relationship between inflation and unemployment can be positive or negative depending on the primitives of the model. The key features are indivisible labor, nonseparable preferences and bargaining.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Inflation: costs and benefits
JEL Code(s):
E,
E1,
E12,
E13,
E4,
E40,
E5,
E52
International Capital Flows and Bond Risk Premia
Staff Working Paper 2010-14
Jesus Sierra
This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008.
June 9, 2010
Crude Oil Futures: A Crystal Ball?
Based on recent research, this article discusses three ways that oil-futures prices can improve our understanding of current conditions and future prospects in the global market for crude oil. First, the response of the oil-futures curve can be used to identify the persistence of oil-price shocks and to obtain an indicator of the rate at which they will diminish. Second, the spread between the current futures price and the spot price of oil can be interpreted as an indicator of the precautionary demand for oil. Third, because oil-futures prices are volatile, forecasts of the future spot price of oil using futures prices should be supplemented with other information to improve their accuracy.
Content Type(s):
Publications,
Bank of Canada Review articles
Research Topic(s):
Econometric and statistical methods,
Market structure and pricing
Estimating the Structure of the Payment Network in the LVTS: An Application of Estimating Communities in Network Data
Staff Working Paper 2010-13
James Chapman,
Nellie Zhang
In the Canadian large value payment system an important goal is to understand how liquidity is transferred through the system and hence how efficient the system is in settling payments. Understanding the structure of the underlying network of relationships between participants in the payment system is a crucial step in achieving the goal.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
C,
C1,
C11,
D,
D8,
D85,
G,
G2,
G20
Financial Stress, Monetary Policy, and Economic Activity
Staff Working Paper 2010-12
Fuchun Li,
Pierre St-Amant
This paper examines empirically the impact of financial stress on the transmission of monetary policy shocks in Canada. The model used is a threshold vector autoregression in which a regime change occurs if financial stress conditions cross a critical threshold.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Financial stability,
Monetary policy and uncertainty
JEL Code(s):
C,
C0,
C01,
E,
E5,
E50,
G,
G0,
G01
Idiosyncratic Coskewness and Equity Return Anomalies
Staff Working Paper 2010-11
Fousseni Chabi-Yo,
Jun Yang
In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Economic models,
Financial markets
JEL Code(s):
G,
G1,
G11,
G12,
G14,
G3,
G33