A Stochastic Volatility Model with Conditional Skewness Staff Working Paper 2011-20 Bruno Feunou, Roméo Tedongap We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods JEL Code(s): C, C1, C5, G, G1, G12
Contagion in Dealer Networks Staff Working Paper 2020-1 Jean-Sébastien Fontaine, Adrian Walton Dealers connect investors who want to buy or sell securities in financial markets. Over time, dealers and investors form trading networks to save time and resources. An emerging field of research investigates how networks form. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing, Payment clearing and settlement systems JEL Code(s): E, E4, G, G1, G2, G21, L, L1, L14
Strengthening IMF Surveillance: An Assessment of Recent Reforms Staff Discussion Paper 2009-10 Robert Lavigne, Lawrence L. Schembri The authors assess the potential impact of recently approved reforms to International Monetary Fund (IMF) surveillance; namely, the "2007 Decision on Bilateral Surveillance Over Members' Policies" and the "Statement of Surveillance Priorities" (SSP). They conclude that these complementary reforms have the potential to create a comprehensive and coherent framework for IMF surveillance. If implemented properly, […] Content Type(s): Staff research, Staff discussion papers Research Topic(s): International topics JEL Code(s): F, F3, F33
Uncertainty and the Specificity of Human Capital Staff Working Paper 2007-57 Martin Gervais, Igor Livshits, Césaire Meh This paper studies the choice between general and specific human capital. A trade-off arises because general human capital, while less productive, can easily be reallocated across firms. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models JEL Code(s): D, D9, D92, J, J2, J24, J4, J41, J6, J62
Downward Nominal Wage Rigidity Meets the Zero Lower Bound Staff Working Paper 2017-16 Robert Amano, Stefano Gnocchi We add downward nominal wage rigidity to a standard New Keynesian model with sticky prices and wages, where the zero lower bound on nominal interest rates is allowed to bind. We find that wage rigidity not only reduces the frequency of zero bound episodes but also mitigates the severity of corresponding recessions. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation targets, Labour markets, Monetary policy framework JEL Code(s): E, E2, E24, E3, E32, E5, E52
Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy Staff Working Paper 2012-41 Jean-Sébastien Fontaine Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Still, for most applications, researchers rely on the assumption that the policy rate changes linearly with economic conditions and they do not distinguish between dates with and without scheduled announcements. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets, Interest rates JEL Code(s): E, E4, E43, E44, E47, G, G1, G12, G13
June 13, 2013 Financial System Review - June 2013 The Governing Council judges that the risks to the Canadian financial system have decreased somewhat relative to the December FSR, but that the overall level of risk remains high. The key risks are similar to those highlighted in December, and emanate primarily from the external environment. Content Type(s): Publications, Financial Stability Report
March 30, 2006 The Evolving International Monetary Order and the Need for an Evolving IMF Lecture David Dodge Woodrow Wilson School of Public and International Affairs Princeton, New Jersey The world needs an international institution to promote a new monetary order—a well-functioning, market-based global financial system. This will be the subject of my remarks today. Content Type(s): Press, Speeches and appearances, Lectures
Evolving Temperature Dynamics in Canada: Preliminary Evidence Based on 60 Years of Data Staff Working Paper 2021-22 Robert Amano, Marc-André Gosselin, Julien McDonald-Guimond Are summers getting hotter? Do daily temperatures change more than they used to? Using daily Canadian temperature data from 1960 to 2020 and modern econometric methods, we provide economists and policy-makers evidence on the important climate change issue of evolving temperatures. Content Type(s): Staff research, Staff working papers Research Topic(s): Climate change, Econometric and statistical methods JEL Code(s): C, C2, C22, Q, Q5, Q54
Sheltered Income: Estimating Income Under-Reporting in Canada, 1998 and 2004 Staff Working Paper 2015-22 Geoffrey R. Dunbar, Chunling Fu We use data from the Survey of Financial Security and the Survey of Household Spending to estimate the incidence and extent of income under-reporting in Canada in 1998 and 2004. We estimate that the proportion of households under-reporting income is roughly 35 to 50 per cent in both years. Content Type(s): Staff research, Staff working papers Research Topic(s): Domestic demand and components JEL Code(s): H, H2, H26, I, I3, I32, K, K4, K42