Liquidity Efficiency and Distribution in the LVTS: Non-Neutrality of System Changes under Network Asymmetry Staff Discussion Paper 2008-11 Sean O'Connor, James Chapman, Kirby Millar The authors consider the liquidity efficiency of Tranche 2 of the Large Value Transfer System (LVTS T2) by examining, through an empirical analysis, some plausible strategic reactions of individual participants to a systemwide shock to available liquidity in the system. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial institutions, Financial services, Payment clearing and settlement systems JEL Code(s): G, G2, G21, L, L1, L13, L14
December 9, 2010 The Countercyclical Bank Capital Buffer: Insights for Canada Financial System Review - December 2010 David Xiao Chen, Ian Christensen Content Type(s): Publications, Financial System Review articles
Option Valuation with Observable Volatility and Jump Dynamics Staff Working Paper 2015-39 Peter Christoffersen, Bruno Feunou, Yoontae Jeon Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity dynamics. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing JEL Code(s): G, G1, G12
The Term Structures of Loss and Gain Uncertainty Staff Working Paper 2020-19 Bruno Feunou, Ricardo Lopez Aliouchkin, Roméo Tedongap, Lai Xu We investigate the uncertainty around stock returns at different investment horizons. Since a return is either a loss or a gain, we categorize return uncertainty into two components—loss uncertainty and gain uncertainty. We then use these components to evaluate investment. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods JEL Code(s): G, G1, G12
Selection of the Truncation Lag in Structural VARs (or VECMs) with Long-Run Restrictions Staff Working Paper 1995-9 Alain DeSerres, Alain Guay authors examine the issue of lag-length selection in the context of a structural vector autoregression (VAR) and a vector error-correction model with long-run restrictions. First, they show that imposing long-run restrictions implies, in general, a moving-average (MA) component in the stationary multivariate representation. Then they examine the sensitivity of estimates of the permanent and transitory […] Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods
Persistent Leverage in Portfolio Sorts: An Artifact of Measurement Error? Staff Working Paper 2014-55 Michael Mueller Studies such as Lemmon, Roberts and Zender (2008) demonstrate how stable firms’ capital structures are over time, and raise the question of whether new theories of capital structure are needed to explain these phenomena. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C18, G, G3, G32
House Price Dynamics: Fundamentals and Expectations Staff Working Paper 2012-12 Eleonora Granziera, Sharon Kozicki We investigate whether expectations that are not fully rational have the potential to explain the evolution of house prices and the price-to-rent ratio in the United States. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Domestic demand and components, Economic models JEL Code(s): E, E3, E6, E65, R, R2, R21
Credit Card Minimum Payment Restrictions Staff Working Paper 2024-26 Jason Allen, Michael Boutros, Benedict Guttman-Kenney We study a government policy that restricts repayment choices with the aim of reducing credit card debt and estimate its effects by applying a difference-in-differences methodology to comprehensive credit-reporting data about Canadian consumers. We find the policy has trade-offs: reducing revolving debt comes at a cost of reducing credit access, and potentially increasing delinquency. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Financial system regulation and policies JEL Code(s): D, D1, D18, E, E2, E21, G, G2, G28, G5, G51
Government Debt and Deficits In Canada: A Macro Simulation Analysis Staff Working Paper 1995-4 Tiff Macklem, David Rose, Robert Tetlow This paper examines the macroeconomic implications of rising government debt in Canada and the short-run costs and long-run benefits of stemming the rise. The discussion begins with an evaluation of the long-run consequences of increasing government indebtedness, first based on the simple arithmetic of the government's long-run budget constraint, and then based on simulations of […] Content Type(s): Staff research, Staff working papers Research Topic(s): Fiscal policy
Financial Factors and Labour Market Fluctuations Staff Working Paper 2011-12 Yahong Zhang What are the effects of financial market imperfections on unemployment and vacancies? Since standard DSGE models do not typically model unemployment, they abstract from this issue. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial markets, Labour markets JEL Code(s): E, E3, E32, E4, E44, J, J6