Consumer Interest Rates and Retail Mutual Fund Flows Staff Working Paper 2012-39 Jesus Sierra This paper documents a link between the real and financial sides of the economy. We find that retail equity mutual fund flows in Canada are negatively related to current and past changes in a component of the prime and 5-year mortgage rates that is uncorrelated with government rates. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial services, Interest rates JEL Code(s): G, G2, G21, G23
Schooling, Inequality and Government Policy Staff Working Paper 2007-12 Oleksiy Kryvtsov, Alexander Ueberfeldt This paper asks: What is the effect of government policy on output and inequality in an environment with education and labor-supply decisions? The answer is given in a general equilibrium model, consistent with the post 1960s facts on male wage inequality and labor supply in the U.S. In the model, education and labor-supply decisions depend on progressive income taxation, the education system, the social security system, and technology-driven wage differentials. Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets, Potential output, Productivity JEL Code(s): H, H5, H52, J, J3, J31, J38
The Welfare Implications of Inflation versus Price-Level Targeting in a Two-Sector, Small Open Economy Staff Working Paper 2006-12 Eva Ortega, Nooman Rebei The authors analyze the welfare implications of simple monetary policy rules in the context of an estimated model of a small open economy for Canada with traded and non-traded goods, and with sticky prices and wages. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Exchange rates, Inflation targets JEL Code(s): E, E3, E31, E32, E5, E52
February 19, 2015 Inflation, Expectations and Monetary Policy Remarks Agathe Côté Association québécoise des technologies Mont-Tremblant, Quebec Deputy Governor Agathe Côté discusses the importance of inflation expectations for monetary policy and a new survey the Bank of Canada created to monitor household expectations. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Central bank research, Credibility, Inflation and prices, Inflation targets, Monetary and financial indicators, Recent economic and financial developments
Collateral and Credit Supply Staff Working Paper 2003-11 Joseph Atta-Mensah The author examines the role of collateral in an environment where lenders and borrowers possess identical information and similar beliefs about its future value. Using option-pricing techniques, he shows that a secured loan contract is equivalent to a regular bond and an embedded option to the borrower to default. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Economic models JEL Code(s): E, E5, E51, G, G1, G11, G12, G13
Does the Buck Stop Here? A Comparison of Withdrawals from Money Market Mutual Funds with Floating and Constant Share Prices Staff Working Paper 2012-25 Jonathan Witmer Recent reform proposals call for an elimination of the constant net asset value (NAV) or “buck” in money market mutual funds to reduce the occurrence of runs. Outside the United States, there are several countries that have money market mutual funds with and without constant NAVs. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial stability, Market structure and pricing JEL Code(s): F, F3, F30, G, G0, G01, G1, G18, G2, G20
Unsecured Debt, Consumer Bankruptcy, and Small Business Staff Working Paper 2008-5 Césaire Meh, Yaz Terajima In this paper we develop a quantitative model of entrepreneurial activity (risk-taking) and consumer bankruptcy choices and use the model to study the effects of bankruptcy regulations on entrepreneurial activity, bankruptcy rate and welfare. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial stability, Financial system regulation and policies JEL Code(s): D, D3, D31, E, E2, E21, J, J2, J23
Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement Staff Working Paper 2018-21 Elena Goldman, Xiangjin Shen We explore properties of asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) models in the threshold GARCH (GTARCH) family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low-frequency macroeconomic volatility as well as an asymmetric response to past negative news in both autoregressive conditional heteroscedasticity (ARCH) and GARCH terms. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Payment clearing and settlement systems JEL Code(s): C, C5, C58, G, G1, G19, G2, G23, G28
The U.S. Stock Market and Fundamentals: A Historical Decomposition Staff Working Paper 2003-20 David Dupuis, David Tessier The authors identify the fundamentals behind the dynamics of the U.S. stock market over the past 30 years. They specify a structural vector-error-correction model following the methodology of King, Plosser, Stock, and Watson (1991). Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): G, G1
Bank Competition and International Financial Integration: Evidence Using a New Index Staff Working Paper 2010-35 Gurnain Pasricha This paper finds a strong empirical link between domestic banking sector competitiveness and de facto international integration. De-facto international integration is measured through a new index of financial integration, which measures, for deviations from covered interest parity, the size of no-arbitrage bands and the speed of arbitrage outside the no-arbitrage band. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, International topics JEL Code(s): F, F3, F32, G, G1, G15, G2, G21