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
Liquidity, Redistribution, and the Welfare Cost of Inflation Staff Working Paper 2007-39 Jonathan Chiu, Miguel Molico This paper studies the long run welfare costs of inflation in a micro-founded model with trading frictions and costly liquidity management. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation: costs and benefits JEL Code(s): E, E4, E40, E5, E50
The Canadian Business Cycle: A Comparison of Models Staff Working Paper 2007-38 Frédérick Demers, Ryan Macdonald This paper examines the ability of linear and nonlinear models to replicate features of real Canadian GDP. We evaluate the models using various business-cycle metrics. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E37
A vision for IMF Surveillance Staff Working Paper 2007-37 Robert Lavigne, Philipp Maier, Eric Santor The ongoing review of the IMF, initiated in 2005 by Managing Director De Rato, presents an excellent opportunity to re-examine the role, functions and governance of the Fund. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, International topics JEL Code(s): F, F3, F33
Cross-Country Estimates of the Degree of Fiscal Dominance and Central Bank Independence Staff Working Paper 2007-36 Carlos De Resende This paper studies the interdependence between fiscal and monetary policies, and their joint role in the determination of the price level. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Fiscal policy, Inflation: costs and benefits JEL Code(s): E, E3, E31, E4, E42, E5, E50, E6, E63
Gold Prices and Inflation Staff Working Paper 2007-35 Greg Tkacz Using data for 14 countries over the 1994 to 2005 period, we assess the leading indicator properties of gold at horizons ranging from 6 to 24 months. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Inflation and prices JEL Code(s): E, E3, E31, E4, E44