Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1295
result(s)
Information Shocks, Jumps, and Price Discovery - Evidence from the U.S. Treasury Market
Staff Working Paper 2008-22
George Jiang,
Ingrid Lo,
Adrien Verdelhan
We examine large price changes, known as jumps, in the U.S. Treasury market. Using recently developed statistical tools, we identify price jumps in the 2-, 3-, 5-, 10-year notes and 30-year bond during the period of 2005-2006.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G14
The Cost of Equity in Canada: An International Comparison
Staff Working Paper 2008-21
Jonathan Witmer
This paper calculates an implied cost of equity for 19 developed countries from 1991 to 2006. During this period, there has been a decline in the cost of equity of about 10-15 bps per year, which can be partially attributed to declining government yields and declining inflation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G3,
G30,
G38
The Effect of the Sarbanes-Oxley Act on CEO Pay for Luck
Staff Working Paper 2008-20
Teodora Paligorova
According to the rent-extraction hypothesis, weak corporate governance allows entrenched CEOs to capture the pay-setting process and benefit from events outside of their control – get paid for luck.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Labour markets
JEL Code(s):
G,
G3,
G38,
J,
J3,
J33,
M,
M5,
M52
Inflation, Nominal Portfolios, and Wealth Redistribution in Canada
Staff Working Paper 2008-19
Césaire Meh,
Yaz Terajima
There is currently a policy debate on potential refinements to monetary policy regimes in countries with low and stable inflation such as the U.S. and Canada. For example, in Canada, a systematic review of the current inflation targeting framework is underway.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Inflation targets,
Inflation: costs and benefits,
Monetary policy framework,
Sectoral balance sheet
JEL Code(s):
D,
D3,
D31,
D5,
D58,
E,
E3,
E31,
E5,
E50
Empirical Likelihood Block Bootstrapping
Staff Working Paper 2008-18
Jason Allen,
Allan Gregory,
Katsumi Shimotsu
Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C1,
C14,
C2,
C22
Policy Coordination in an International Payment System
Staff Working Paper 2008-17
James Chapman
Given the increasing interdependence of both financial systems and attendant payment and settlement systems a vital question is what form should optimal policy take when there are two connected payment systems with separate regulators.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rate regimes,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E42,
E5,
E58,
F,
F3,
F31,
F33
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk
Staff Working Paper 2008-16
Fousseni Chabi-Yo,
Eric Ghysels,
Eric Renault
The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called twofund separation relies on special assumptions on either returns or preferences.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
C,
C5,
C52,
D,
D5,
D58,
G,
G1,
G11,
G12
Price Level versus Inflation Targeting under Model Uncertainty
Staff Working Paper 2008-15
Gino Cateau
The purpose of this paper is to make a quantitative contribution to the inflation versus price level targeting debate. It considers a policy-maker that can set policy either through an inflation targeting rule or a price level targeting rule to minimize a quadratic loss function using the actual projection model of the Bank of Canada (ToTEM).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy and uncertainty
JEL Code(s):
D,
D8,
D81,
E,
E5,
E58
Driving Forces of the Canadian Economy: An Accounting Exercise
Staff Working Paper 2008-14
Simona Cociuba,
Alexander Ueberfeldt
This paper analyses the Canadian economy for the post 1960 period. It uses an accounting procedure developed in Chari, Kehoe, and McGrattan (2006). The procedure identifies accounting factors that help align the predictions of the neoclassical growth model with macroeconomic variables observed in the data.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Labour markets,
Potential output,
Productivity
JEL Code(s):
E,
E2,
E24,
E6,
E65,
O,
O4,
O41,
O5,
O51