December 10, 2013 Assessing the Systemic Importance of Financial Institutions Financial System Review - December 2013 Éric Chouinard, Erik Ens Content Type(s): Publications, Financial System Review articles
Volatility Risk and Economic Welfare Staff Working Paper 2017-20 Shaofeng Xu This paper examines the effects of time-varying volatility on welfare. I construct a tractable endogenous growth model with recursive preferences, stochastic volatility, and capital adjustment costs. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E2, E3
High-Frequency Trading Competition Staff Working Paper 2014-19 Jonathan Brogaard, Corey Garriott, Anna Pomeranets We analyze trading dynamics as successive high-frequency trading (HFT) firms begin to trade stocks in an equity market. Entrants compete with incumbents for volume, and there is crowding out. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G14, G2, G20, L, L1
Estimating Systematic Risk Under Extremely Adverse Market Conditions Staff Working Paper 2016-22 Maarten van Oordt, Chen Zhou This paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We propose an estimator for the model coefficient by exploiting the tail dependence between the two variables and prove its asymptotic properties. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C14, G, G0, G01
Central Bank Communication or the Media’s Interpretation: What Moves Markets? Staff Working Paper 2012-9 Scott Hendry The goal of this paper is to investigate what type of information from Bank of Canada communication statements or the market commentary based on these statements has a significant effect on the volatility or level of returns in a short-term interest rate market. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets JEL Code(s): E, E5, E58, G, G1, G14
The Effects of Budget Rules on Fiscal Performance and Macroeconomic Stabilization Staff Working Paper 1997-15 Jonathan Millar Budget rules can be defined as legislated or constitutional constraints on government deficits, taxes, expenditures, or debt. This paper reviews the budget rules recently legislated in six of Canada's provinces and both of its territories, as well as budget rules in other OECD countries. Content Type(s): Staff research, Staff working papers Research Topic(s): Fiscal policy JEL Code(s): E, E6, E62, H, H3, H6, H61
Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility Staff Working Paper 2016-37 Michael Ehrmann, Jonathan Talmi Press releases announcing and explaining monetary policy decisions play a critical role in the communication strategy of central banks. Because of their market-moving potential, it is particularly important how they are drafted. Often, central banks start from the previous statement and update the earlier text with only small changes. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Financial markets, Interest rates JEL Code(s): E, E4, E43, E5, E52, E58
Did U.S. Consumers Respond to the 2014–2015 Oil Price Shock? Evidence from the Consumer Expenditure Survey Staff Working Paper 2018-13 Patrick Alexander, Louis Poirier The impact of oil price shocks on the U.S. economy is a topic of considerable debate. In this paper, we examine the response of U.S. consumers to the 2014–2015 negative oil price shock using representative survey data from the Consumer Expenditure Survey. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Domestic demand and components, Recent economic and financial developments JEL Code(s): D, D1, D12, E, E2, E21, Q, Q4, Q43
Firm-Specific Shocks and Aggregate Fluctuations Staff Working Paper 2016-51 Leonid Karasik, Danny Leung, Ben Tomlin In order to understand what drives aggregate fluctuations, many macroeconomic models point to aggregate shocks and discount the contribution of firm-specific shocks. Recent research from other developed countries, however, has found that aggregate fluctuations are in part driven by idiosyncratic shocks to large firms. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Firm dynamics, Market structure and pricing JEL Code(s): E, E2, E22, E23, E24, E3, L, L6
The Cost of the Government Bond Buyback and Switch Programs in Canada Staff Analytical Note 2018-41 Bo Young Chang, Jun Yang, Parker Liu This note examines the costs of the Government of Canada bond buyback and switch programs between 1998 and 2016. Our analysis indicates that the auction design of the buyback program was effective in retiring government debt with minimal costs resulting from bid shading in auctions and price impact. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Debt management JEL Code(s): D, D4, D44