Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles? Staff Working Paper 1996-11 Simon van Norden, Robert Vigfusson Work on testing for bubbles has caused much debate, much of which has focussed on methodology. Monte Carlo simulations reported in Evans (1991) showed that standard tests for unit roots and cointegration frequently reject the presence of bubbles even when such bubbles are present by construction. Evans referred to this problem as the pitfall of testing for bubbles. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C52
Redemption Runs in Canadian Corporate Bond Funds? Staff Analytical Note 2018-21 Rohan Arora Mutual funds employ a host of tools to manage redemption run risk. However, our results suggest that Canadian corporate bond funds may be vulnerable to redemption runs, especially when they are less liquid and when market volatility is high. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Financial institutions, Financial markets JEL Code(s): G, G0, G01, G2, G23
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 Research Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C14, C2, C22
A Practical Guide to Swap Curve Construction Staff Working Paper 2000-17 Uri Ron The swap market has enjoyed tremendous growth in the last decade. With government issues shrinking in supply and increased price volatilities, the swap term structure has emerged as an alternative pricing, benchmark, and hedging mechanism to the government term structure. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, International financial markets JEL Code(s): G, G1, G12, G15
Monetary Policy, Uncertainty and the Presumption of Linearity Technical Report No. 63 Douglas Laxton, David Rose, Robert Tetlow This report shows that extreme conditions and volatility in markets are much more likely to result from systematic policy errors in gauging and responding to inflationary pressures in an economy than from unfortunate random shocks. We describe a simple model that incorporates the key features of the policy control process. We use two versions of […] Content Type(s): Staff research, Technical reports Research Topic(s): Economic models, Inflation and prices, Monetary policy and uncertainty JEL Code(s): E, E5, E52
Contribution of ICT Use to Output and Labour-Productivity Growth in Canada Staff Working Paper 2002-7 Hashmat Khan, Marjorie Santos There is ample evidence that information and communication technologies (ICT) contributed significantly to the surge in output and labour-productivity growth in the United States in the late 1990s. Content Type(s): Staff research, Staff working papers Research Topic(s): Productivity JEL Code(s): O, O4, O5
Assessing Indexation-Based Calvo Inflation Models Staff Working Paper 2009-7 Jean-Marie Dufour, Lynda Khalaf, Maral Kichian Using identification-robust methods, the authors estimate and evaluate for Canada and the United States various classes of inflation equations based on generalized structural Calvo-type models. The models allow for different forms of frictions and vary in their assumptions regarding the type of price indexation adopted by firms. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C13, C5, C52, E, E3, E31
Risk Sharing in the Presence of a Public Good Staff Working Paper 2015-27 Josef Schroth This paper studies an economy where agents can spend resources on consuming a private good and on funding a public good. There is asymmetric information regarding agents’ relative preference for private versus public good consumption. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, Financial system regulation and policies, Fiscal policy JEL Code(s): D, D8, D82, D86, E, E6, E62, H, H2, H21, H23, H7, H77
Inflation and Growth: A New Keynesian Perspective Staff Working Paper 2012-23 Robert Amano, Thomas J. Carter, Kevin Moran The long-run relation between growth and inflation has not yet been studied in the context of nominal price and wage rigidities, despite the fact that these rigidities now figure prominently in workhorse macroeconomic models. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation: costs and benefits JEL Code(s): E, E3, E31, E5, E52, O, O3, O31, O4, O42
Rollover Risk, Liquidity and Macroprudential Regulation Staff Working Paper 2014-23 Toni Ahnert I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex ante and are subject to fire sales ex post. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial system regulation and policies JEL Code(s): G, G0, G01, G1, G11, G2, G28