Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1295
result(s)
State-Dependent or Time-Dependent Pricing: Does It Matter for Recent U.S. Inflation?
Staff Working Paper 2005-4
Peter J. Klenow,
Oleksiy Kryvtsov
Inflation equals the product of two terms: an extensive margin (the fraction of items with price changes) and an intensive margin (the average size of those changes).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices
JEL Code(s):
E,
E3,
E31,
E32
Pre-Bid Run-Ups Ahead of Canadian Takeovers: How Big Is the Problem?
Staff Working Paper 2005-3
Michael R. King,
Maksym Padalko
The authors study the price - volume dynamics ahead of the first public announcement of a takeover for 420 Canadian firms from 1985 to 2002.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G14,
G18,
G3,
G34
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments
Staff Working Paper 2005-2
Fousseni Chabi-Yo,
René Garcia,
Eric Renault
The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
C,
C6,
C61,
G,
G1,
G11,
G12
Self-Enforcing Labour Contracts and the Dynamics Puzzle
Staff Working Paper 2005-1
Christian Calmès
To properly account for the dynamics of key macroeconomic variables, researchers incorporate various internal-propagation mechanisms in their models.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
Labour markets
JEL Code(s):
E,
E1,
E12,
E4,
E49,
J,
J3,
J30,
J31,
J4,
J41
Trade Credit and Credit Rationing in Canadian Firms
Staff Working Paper 2004-49
Rose Cunningham
Burkart and Ellingsen's (2004) model of trade credit and bank credit rationing predicts that trade credit will be used by medium-wealth and low-wealth firms to help ease bank credit rationing.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial markets
JEL Code(s):
G,
G1,
G14,
G2,
G21,
G3,
G32
An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates
Staff Working Paper 2004-48
David Bolder,
Adam Metzler,
Grahame Johnson
Zero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and economics.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Interest rates
JEL Code(s):
C,
C0,
C6,
E,
E4,
G,
G1
The Monetary Origins of Asymmetric Information in International Equity Markets
Staff Working Paper 2004-47
Gregory Bauer,
Clara Vega
Existing studies using low-frequency data show that macroeconomic shocks contribute little to international stock market covariation.
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
Une approche éclectique d'estimation du PIB potentiel pour le Royaume-Uni
Staff Working Paper 2004-46
Charles St-Arnaud
The author describes results obtained by using a new methodology to estimate potential output for the United Kingdom.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Potential output
JEL Code(s):
C,
C3,
C32,
E,
E2,
E23,
E3,
E32
Modelling the Evolution of Credit Spreads in the United States
Staff Working Paper 2004-45
Stuart Turnbull,
Jun Yang
The authors use Jarrow and Turnbull's (1995) reduced-form methodology to model the evolution of the term structure of interest rates in the United States for different credit classes and different industries.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G12,
G13