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1010
result(s)
An Assessment of the Bank of Canada's Term PRA Facility
Staff Working Paper 2010-20
Emanuella Enenajor,
Alex Sebastian,
Jonathan Witmer
This paper empirically assesses the effectiveness of the Bank of Canada's term Purchase and Resale Agreement (PRA) facility in reducing short-term bank funding pressures, as measured by the CDOR-OIS spread.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
E,
E5,
E58,
G,
G1,
G12,
G18
Exchange Rate Fluctuations, Plant Turnover and Productivity
Staff Working Paper 2010-18
Ben Tomlin
In a small open economy fluctuations in the real exchange rate can affect plant turnover, and thus aggregate productivity, by altering the makeup of plants that populate the market. An appreciation of the local currency increases the level of competition in the domestic market as import competition intensifies and export opportunities shrink, forcing less productive plants from the market and compelling new entrants to be more competitive than they otherwise would have been.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Market structure and pricing,
Productivity
JEL Code(s):
D,
D2,
D21,
D24,
L,
L1,
L11
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
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
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
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
Topic(s):
Economic models,
Financial markets
JEL Code(s):
G,
G1,
G11,
G12,
G14,
G3,
G33
Alternative Optimized Monetary Policy Rules in Multi-Sector Small Open Economies: The Role of Real Rigidities
Staff Working Paper 2010-9
Carlos De Resende,
Ali Dib,
Maral Kichian
Inflation-targeting central banks around the world often state their inflation objectives with regard to the consumer price index (CPI). Yet the literature on optimal monetary policy based on models with nominal rigidities and more than one sector suggests that CPI inflation is not always the best choice from a social welfare perspective.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Inflation targets,
Inflation: costs and benefits,
Monetary policy framework,
Monetary policy implementation
JEL Code(s):
E,
E4,
E5,
E52,
F,
F3,
F4
Market Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate
Staff Discussion Paper 2010-2
Alejandro García,
Andrei Prokopiw
Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract this information, a model is required that relates market prices to the desired information, and that ideally can be implemented using timely and low-cost methods.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Econometric and statistical methods,
Exchange rates,
Financial markets
JEL Code(s):
C,
C0,
C00,
C02,
G,
G1,
G13