Does Outward Foreign Investment Matter for Canadian Productivity? Evidence from Greenfield Investments Staff Working Paper 2018-31 Naveen Rai, Lena Suchanek, Maria Bernier This paper seeks to understand how outward foreign direct investment (FDI) affects the productivity of Canadian firms. We estimate the impact of outward greenfield investment on measures of firm-level productivity using FDI data from roughly 2,000 Canadian firms and more than 4,000 outward FDI projects over the 2003–14 period. Content Type(s): Staff research, Staff working papers Research Topic(s): Firm dynamics, Productivity JEL Code(s): D, D2, D24, F, F2, F21, F23
Uncertain Fiscal Consolidations Staff Working Paper 2013-26 Huixin Bi, Eric M. Leeper, Campbell Leith The paper explores the macroeconomic consequences of fiscal consolidations whose timing and composition - either tax- or spending-based - are uncertain. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Fiscal policy, Monetary policy and uncertainty JEL Code(s): E, E6, E62, E63, H, H3, H30, H6, H60
Foreign Exchange Fixings and Returns Around the Clock Staff Working Paper 2021-48 Ingomar Krohn, Philippe Mueller, Paul Whelan We document a new empirical finding in the foreign exchange market: currency returns show systematic reversals around the benchmark fixings. Specifically, the US dollar, on average, appreciates in the hours before fixes and depreciates after fixes. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): F, F3, F31, G, G1, G15
How to Manage Macroeconomic and Financial Stability Risks: A New Framework Staff Analytical Note 2018-11 Alexander Ueberfeldt, Thibaut Duprey Financial system vulnerabilities increase the downside risk to future GDP growth. Macroprudential tightening significantly reduces financial stability risks associated with vulnerabilities. Monetary policy faces a trade-off between financial stability and macroeconomic risks. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Central bank research, Economic models, Financial stability, Financial system regulation and policies, Interest rates, Monetary policy, Monetary policy framework JEL Code(s): E, E4, E44, E5, E52, E58, G, G0, G01
(Optimal) Monetary Policy with and without Debt Staff Working Paper 2021-5 Boris Chafwehé, Rigas Oikonomou, Romanos Priftis, Lukas Vogel How should policy be designed at high debt levels, when fiscal authorities have little room to adjust taxes? Assigning the monetary authority a role in achieving debt sustainability makes it less effective in stabilizing inflation and output. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Fiscal policy, Monetary policy, Monetary policy framework JEL Code(s): C, C1, C11, E, E3, E31, E5, E52, E58, E6, E62
An Analysis of Closure Policy under Alternative Regulatory Structures Staff Working Paper 2005-11 Greg Caldwell The author develops a theoretical model of bank closure. The regulatory decision about bank failure consists of two parts: whether to close and how to close. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions JEL Code(s): G, G2, G21, G28
April 22, 2004 Research in Financial Services and Public Policy - Filling the Gaps Remarks David Dodge Conference on Financial Services and Public Policy Schulich School of Business at York University Toronto, Ontario For five years, the research program here at Schulich has helped to support and nurture a Canadian academic community focused on financial services. In doing so, the program has encouraged researchers to fill the gaps in our knowledge and help policy-makers and regulators to do a better job. After five years, it's useful to think back and recall the motivations for establishing this program in the first place. Content Type(s): Press, Speeches and appearances, Remarks
Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility Staff Working Paper 2013-37 Bo Young Chang, Bruno Feunou We measure uncertainty surrounding the central bank’s future policy rates using implied volatility computed from interest rate option prices and realized volatility computed from intraday prices of interest rate futures. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary and financial indicators, Monetary policy and uncertainty JEL Code(s): E, E4
December 23, 2002 Financial System Review - December 2002 The financial system, which consists of financial institutions, financial markets, and clearing and settlement systems, lays an important role in a nation’s economy. Sound and efficientfinancial systems can make a significant contribution to economic growth. Content Type(s): Publications, Financial Stability Report
Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics Staff Working Paper 2013-12 Jianjian Jin This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of risk-neutral and realized volatilities. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Economic models JEL Code(s): G, G1, G12, G17