Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices
The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns.
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.
1344
result(s)
Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence
Staff Working Paper 2006-38
Fousseni Chabi-Yo
The author develops a strategy for utilizing higher moments and conditioning information efficiently, and hence improves on the variance bounds computed by Hansen and Jagannathan (1991, the HJ bound) and Gallant, Hansen, and Tauchen (1990, the GHT bound).
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
C,
C6,
C61,
G,
G1,
G12,
G13
Endogenous Borrowing Constraints and Consumption Volatility in a Small Open Economy
Staff Working Paper 2006-37
Carlos De Resende
Consumption volatility relative to output volatility is consistently higher in emerging economies than in developed economies.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
International topics
JEL Code(s):
F,
F3,
F32,
F34,
F4,
F41
Credit in a Tiered Payments System
Staff Working Paper 2006-36
Alexandra Lai,
Nikil Chande,
Sean O'Connor
Payments systems are typically characterized by some degree of tiering, with upstream firms (clearing agents) providing settlement accounts to downstream institutions that wish to clear and settle payments indirectly in these systems (indirect clearers).
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Financial institutions,
Financial services,
Market structure and pricing,
Payment clearing and settlement systems
JEL Code(s):
G,
G2,
G21,
L,
L1,
L12,
L13,
L2,
L22
Survey of Price-Setting Behaviour of Canadian Companies
Staff Working Paper 2006-35
David Amirault,
Carolyn Kwan,
Gordon Wilkinson
In many mainstream macroeconomic models, sticky prices play an important role in explaining the effects of monetary policy on the economy.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Inflation and prices,
Monetary policy transmission
JEL Code(s):
D,
D4,
D40,
E,
E3,
E30,
L,
L1,
L11
The Macroeconomic Effects of Non-Zero Trend Inflation
Staff Working Paper 2006-34
Robert Amano,
Steve Ambler,
Nooman Rebei
The authors study the macroeconomic effects of non-zero trend inflation in a simple dynamic stochastic general-equilibrium model with sticky prices.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Business fluctuations and cycles,
Economic models,
Inflation and prices,
Inflation targets
JEL Code(s):
E,
E2,
E24,
E3,
E32
Are Canadian Banks Efficient? A Canada–U.S. Comparison
Staff Working Paper 2006-33
Jason Allen,
Walter Engert,
Ying Liu
The authors compare the efficiency of Canada's largest banks with U.S. commercial banks over the past 20 years. Efficiency is measured in three ways.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Financial institutions
JEL Code(s):
C,
C3,
C33,
D,
D2,
D24,
G,
G2,
G21
Governance and the IMF: Does the Fund Follow Corporate Best Practice?
Staff Working Paper 2006-32
Eric Santor
The governance challenges facing the International Monetary Fund (IMF) are not simply limited to representation and voice, and the associated question of quota allocation.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
International topics
JEL Code(s):
F,
F3
Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns
Staff Working Paper 2006-31
Antonio Diez de los Rios,
René Garcia
Several studies have put forward the non-linear structure and option-like features of returns associated with hedge fund strategies.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Econometric and statistical methods,
Financial institutions
JEL Code(s):
C,
C1,
C5,
G,
G1
Multinationals and Exchange Rate Pass-Through
Staff Working Paper 2006-30
Alexandra Lai,
Oana Secrieru
The authors examine the impact of multinational enterprises (MNEs) on exchange rate pass-through in an environment where an MNE engages in Cournot (quantity) competition with domestic and foreign rivals.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Economic models,
Exchange rates,
Market structure and pricing
JEL Code(s):
F,
F2,
F23,
L,
L1,
L16