November 20, 2004
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768
result(s)
International Equity Flows and Returns: A Quantitative Equilibrium Approach
Staff Working Paper 2004-42
Rui Albuquerque,
Martin Schneider,
Gregory Bauer
The authors model trading by foreign and domestic investors in developed-country equity markets.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics,
Market structure and pricing
JEL Code(s):
F,
F3,
F30,
G,
G1,
G12,
G14,
G15
The New Basel Capital Accord and the Cyclical Behaviour of Bank Capital
Staff Working Paper 2004-30
Mark Illing,
Graydon Paulin
The authors conduct a counterfactual simulation of the proposed rules under the new Basel Capital Accord (Basel II), including the revised treatment of expected and unexpected credit losses proposed by the Basel Committee in October 2003.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions
JEL Code(s):
G,
G2,
G21,
G28,
K,
K2,
K23
Convergence of Government Bond Yields in the Euro Zone: The Role of Policy Harmonization
Staff Working Paper 2004-23
Denise Côté,
Christopher Graham
Since the early 1980s, long-term government bond yields in the euro zone have declined, in line with those in other industrialized countries.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Interest rates,
International topics
JEL Code(s):
C,
C2,
C23,
E,
E4,
E43,
E44,
F,
F3,
F36
Financial Conditions Indexes for Canada
Staff Working Paper 2004-22
Céline Gauthier,
Christopher Graham,
Ying Liu
The authors construct three financial conditions indexes (FCIs) for Canada based on three approaches: an IS-curve-based model, generalized impulse-response functions, and factor analysis.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary and financial indicators,
Monetary conditions index
JEL Code(s):
E,
E4,
E44,
E5,
E52
Exchange Rate Pass-Through and the Inflation Environment in Industrialized Countries: An Empirical Investigation
Staff Working Paper 2004-21
Jeannine Bailliu,
Eiji Fujii
This paper investigates the question of whether a transition to a low-inflation environment, induced by a shift in monetary policy, results in a decline in the degree of pass-through of exchange rate movements to consumer prices.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Inflation and prices,
International topics
JEL Code(s):
E,
E3,
E31,
E4,
E42,
F,
F3,
F31
Commodity-Linked Bonds: A Potential Means for Less-Developed Countries to Raise Foreign Capital
Staff Working Paper 2004-20
Joseph Atta-Mensah
The author suggests that commodity-linked bonds could provide a potential means for less-developed countries (LDCs) to raise money on the international capital markets, rather than through standard forms of financing.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Development economics,
Financial markets,
International topics
JEL Code(s):
F,
F3,
F30,
F34,
F4,
F49,
G,
G1,
G11,
G13,
O,
O1,
O16
May 22, 2004
Exchange Rate Pass-Through in Industrialized Countries
Economists' long-standing interest in the degree to which exchange rate movements are reflected in prices was rekindled in the 1970s by a combination of rising inflation and the adoption of more flexible exchange rate regimes in many industrialized countries. Specifically, there were concerns that a large currency depreciation could degenerate into an inflationary spiral. Such fears were curtailed in the 1980s and early 1990s as industrialized countries began to reduce and stabilize their inflation rates. The low-inflation period most industrialized countries entered approximately a decade ago coincided with significant exchange rate depreciations that had much smaller effects on consumer prices than expected. This led to a belief that the extent to which exchange rate movements are passed through to consumer prices has declined. In this article, the authors examine why pass-through could be incomplete and review empirical estimates to determine whether pass-through has indeed declined, suggesting possible reasons for this decline and discussing the implications for monetary policy.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Exchange rates,
Inflation and prices,
Monetary policy framework
International Cross-Listing and the Bonding Hypothesis
Staff Working Paper 2004-17
Michael R. King,
Dan Segal
The authors describe a new view of cross-listing that links the impact on firm valuation to the firm's ability to develop an active secondary market for its shares in the U.S. markets.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G1,
G12,
G15
Structural Change and Forecasting Long-Run Energy Prices
Staff Working Paper 2004-5
Jean-Thomas Bernard,
Lynda Khalaf,
Maral Kichian
The authors test the statistical significance of Pindyck's (1999) suggested class of econometric equations that model the behaviour of long-run real energy prices.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C2,
C22,
C5,
C52,
C53,
Q,
Q4,
Q40