Do Mechanical Filters Provide a Good Approximation of Business Cycles? Technical Report No. 78 Alain Guay, Pierre St-Amant In this paper, the authors examine how well the Hodrick-Prescott filter (HP) and the band-pass filter recently proposed by Baxter and King (BK) extract the business-cycle component of macroeconomic time series. Content Type(s): Staff research, Technical reports Research Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, E, E3, E32
June 4, 2020 Economic progress report: keeping markets working Remarks (delivered virtually) Toni Gravelle Greater Sudbury Chamber of Commerce Sudbury, Ontario Deputy Governor Toni Gravelle discusses the Bank’s latest interest rate announcement and explains how efforts to keep financial markets functioning through the COVID-19 crisis will lay a solid foundation for economic recovery Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Coronavirus disease (COVID-19), Financial markets, Financial stability, Monetary policy, Recent economic and financial developments
The Long-Term Effects of Cross-Listing, Investor Recognition, and Ownership Structure on Valuation Staff Working Paper 2006-44 Michael R. King, Dan Segal The authors show that the widening of a foreign firm's U.S. investor base and the improved information environment associated with cross-listing on a U.S. exchange each have a separately identifiable effect on a firm's valuation. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, International topics JEL Code(s): G, G1, G12, G15
A Microfounded Design of Interconnectedness-Based Macroprudential Policy Staff Working Paper 2016-6 Jose Fique To address the challenges posed by global systemically important banks (G-SIBs), the Basel Committee on Banking Supervision recommended an “additional loss absorbency requirement” for these institutions. Along these lines, I develop a microfounded design of capital surcharges that target the interconnectedness component of systemic risk. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial system regulation and policies JEL Code(s): D, D8, D82, D85, G, G2, G21, G28
Real-Time Forecasts of the Real Price of Oil Staff Working Paper 2011-16 Christiane Baumeister, Lutz Kilian We construct a monthly real-time data set consisting of vintages for 1991.1-2010.12 that is suitable for generating forecasts of the real price of oil from a variety of models. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, E, E3, E32, Q, Q4, Q43
The U.S.-Dollar Supranational Zero-Coupon Curve Staff Discussion Paper 2012-5 Francisco Rivadeneyra The author describes the construction of the U.S.-dollar-denominated zero-coupon curve for the supranational asset class from 1995 to 2010. He uses yield data from a crosssection of bonds issued by AAA-rated supranational entities to fit the Svensson (1995) term-structure model. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Asset pricing, Financial markets JEL Code(s): G, G1, G12, G15
A Portfolio-Balance Model of Inflation and Yield Curve Determination Staff Working Paper 2020-6 Antonio Diez de los Rios How does the supply of nominal government debt affect the macroeconomy? To answer this question, we propose a portfolio-balance model of the yield curve in which inflation is determined through an interest rate rule. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Debt management, Inflation and prices, Interest rates, Monetary policy JEL Code(s): E, E4, E43, E5, E52, G, G1, G12, H, H6, H63
May 9, 2018 Strengthening Our Cyber Defences Remarks Filipe Dinis Payments Canada Toronto, Ontario Chief Operating Office Filipe Dinis outlines how the Bank is strengthening its cyber defenses and helping improve the financial system’s cyber resilience and its ability to recover quickly from attacks. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Cyber defenses, Cyber security, Financial stability, Payment clearing and settlement systems
The Political Impact of Immigration: Evidence from the United States Staff Working Paper 2018-19 Anna Maria Mayda, Giovanni Peri, Walter Steingress In this paper we study the impact of immigration to the United States on the vote for the Republican Party by analyzing county-level data on election outcomes between 1990 and 2010. Our main contribution is to separate the effect of high-skilled and low-skilled immigrants, by exploiting the different geography and timing of the inflows of these two groups of immigrants. Content Type(s): Staff research, Staff working papers Research Topic(s): International topics, Labour markets JEL Code(s): F, F2, F22, J, J6, J61
More Money for Some: The Redistributive Effects of Open Market Operations Staff Working Paper 2021-46 Christian Bustamante I use a search-theoretic model of money to study how open market operations affect the conduct of monetary policy and what this means for households along the wealth distribution. In the model, households vary in the size and composition of their portfolios, which in turn implies that they may be unevenly affected by open market operations. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Monetary policy, Monetary policy implementation, Monetary policy transmission JEL Code(s): E, E2, E21, E3, E32, E5, E52