Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective
The primary objective of this paper is to compare a variety of joint models of the term structure of interest rates and the macroeconomy.
Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
Content older than 10 years is available on the Bank’s Open Access Repository.
1353
result(s)
Estimating and Comparing the Implied Cost of Equity for Canadian and U.S. Firms
Staff Working Paper 2007-48
Jonathan Witmer,
Lorie Zorn
This paper estimates the implied cost of equity for Canadian and U.S. firms using a methodology based on the dividend discount model and utilizing firms' current stock price and analysts' forecasted earnings.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G3,
G30,
G38
Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing
Staff Working Paper 2007-47
Fousseni Chabi-Yo,
Dietmar Leisen,
Eric Renault
Asymmetric shocks are common in markets; securities' payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous agents with preferences over mean, variance and skewness, and derives equilibrium prices.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
C,
C5,
C52,
D,
D5,
D58,
G,
G1,
G11,
G12
Endogenously Segmented Asset Market in an Inventory Theoretic Model of Money Demand
Staff Working Paper 2007-46
Jonathan Chiu
This paper studies the effects of monetary policy in an inventory theoretic model of money demand. In this model, agents keep inventories of money, despite the fact that money is dominated in rate of return by interest bearing assets, because they must pay a fixed cost to transfer funds between the asset market and the goods market.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
E,
E3,
E31,
E4,
E41,
E5,
E50
Canada's Pioneering Experience with a Flexible Exchange Rate in the 1950s: (Hard) Lessons Learned for Monetary Policy in a Small Open Economy
Staff Working Paper 2007-45
Michael Bordo,
Ali Dib,
Lawrence L. Schembri
This paper revisits Canada's pioneering experience with floating exchange rate over the period 1950–1962. It examines whether the floating rate was the best option for Canada in the 1950s by developing and estimating a New Keynesian small open economy model of the Canadian economy.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Economic models,
Exchange rates
JEL Code(s):
E,
E3,
E32,
E37,
F,
F3,
F31,
F32,
N,
N1
Cyclical Behavior of Debt and Equity Using a Panel of Canadian Firms
Staff Working Paper 2007-44
Francisco Covas,
Wouter den Haan
We document the cyclical behavior of debt, equity, and retained earnings for different firm categories using firm-level Canadian data.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Business fluctuations and cycles
JEL Code(s):
E,
E3,
E32,
G,
G3,
G32
Price Discovery in Canadian and U.S. 10-Year Government Bond Markets
Staff Working Paper 2007-43
Bryan Campbell,
Scott Hendry
This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information content of cash and futures prices in the market for Canadian Government bonds using futures market data from the Montreal Exchange and OTC cash market data reflecting the inter-dealer market covered by CanPx.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G12,
G13,
G14
Trend Inflation, Wage and Price Rigidities, and Welfare
Staff Working Paper 2007-42
Robert Amano,
Kevin Moran,
Stephen Murchison,
Andrew Rennison
This paper studies the steady-state costs of inflation in a general-equilibrium model with real per capita output growth and staggered nominal price and wage contracts.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Inflation: costs and benefits
JEL Code(s):
E,
E0,
E5
Multilateral Adjustment and Exchange Rate Dynamics: The Case of Three Commodity Currencies
Staff Working Paper 2007-41
Jeannine Bailliu,
Ali Dib,
Takashi Kano,
Lawrence L. Schembri
In this paper, we empirically investigate whether multilateral adjustment to large U.S. external imbalances can help explain movements in the bilateral exchange rates of three commodity currencies – the Australian, Canadian and New Zealand (ACNZ) dollars.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Econometric and statistical methods,
Exchange rates
JEL Code(s):
C,
C1,
C11,
C2,
C22,
F,
F3,
F31,
F32
Family Values: Ownership Structure, Performance and Capital Structure of Canadian Firms
Staff Working Paper 2007-40
Michael R. King,
Eric Santor
This study examines how family ownership affects the performance and capital structure of 613 Canadian firms using a panel dataset from 1998 to 2005.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G1,
G12,
G15