Macroeconomic Experiences and Risk Taking of Euro Area Households Staff Working Paper 2014-10 Miguel Ampudia, Michael Ehrmann This paper studies to what extent the experiences of households shape their willingness to take financial risks. It follows the methodology of Malmendier and Nagel (2011) and applies it to a novel data set on household finances covering euro area households. Content Type(s): Staff research, Staff working papers Topic(s): Sectoral balance sheet JEL Code(s): D, D0, D03, D1, D14, D8, D83, G, G1, G11
Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances Staff Working Paper 2013-16 Sermin Gungor, Richard Luger We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C15, C3, C33, G, G1, G11, G12
May 16, 2013 Modelling the Asset-Allocation and Liability Strategy for Canada’s Foreign Exchange Reserves Bank of Canada Review - Spring 2013 Francisco Rivadeneyra, Jianjian Jin, Narayan Bulusu, Lukasz Pomorski The Bank of Canada recently developed an asset-liability-matching model to aid in the management of Canada’s foreign exchange reserves. The model allows policy-makers at the Bank and the Department of Finance to analyze asset-allocation and funding-mix decisions by quantifying both the risk-return and liquidity trade-offs for the assets, as well as the risk-cost trade-offs of the funding liabilities. Content Type(s): Publications, Bank of Canada Review articles Topic(s): Debt management, Foreign reserves management JEL Code(s): F, F3, F31, G, G1, G11, G18
An Equilibrium Analysis of the Rise in House Prices and Mortgage Debt Staff Working Paper 2013-9 Shaofeng Xu This paper examines the contributions of population aging, mortgage innovation and historically low interest rates to the sharp rise in U.S. house prices and mortgage debt between 1994 and 2005. Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Credit and credit aggregates, Economic models JEL Code(s): E, E2, E21, E4, E44, G, G1, G11, R, R2, R21
The Canadian Debt-Strategy Model: An Overview of the Principal Elements Staff Discussion Paper 2011-3 David Bolder, Simon Deeley The Canadian Debt Strategy Model helps debt managers determine their optimal financing strategy. The model’s code and documentation are available to the public. Content Type(s): Staff research, Staff discussion papers Topic(s): Debt management, Econometric and statistical methods, Financial markets, Fiscal policy JEL Code(s): C, C0, G, G1, G11, G17, H, H6, H63
The Private Equity Premium Puzzle Revisited Staff Working Paper 2011-6 Katya Kartashova In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the authors’ methodology I replicate the original findings from the Survey of Consumer Finances (SCF) for the period 1989–1998 and show that the returns to private and public equity are similar. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Interest rates, Recent economic and financial developments JEL Code(s): G, G1, G11, G12, G2, G24, G3, G31, G32
Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach Staff Working Paper 2010-36 Sermin Gungor, Richard Luger We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of non-normalities, heteroskedasticity, time-varying correlations, and even outliers in the asset returns. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C14, C3, C33, G, G1, G11, G12
Adverse Selection, Liquidity, and Market Breakdown Staff Working Paper 2010-32 Koralai Kirabaeva This paper studies the interaction between adverse selection, liquidity risk and beliefs about systemic risk in determining market liquidity, asset prices and welfare. Even a small amount of adverse selection in the asset market can lead to fire-sale pricing and possibly to a market breakdown if it is accompanied by a flight-to-liquidity, a misassessment of systemic risk, or uncertainty about asset values. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial markets, Financial stability JEL Code(s): D, D8, D82, G, G0, G01, G1, G11
Liquidity, Risk, and Return: Specifying an Objective Function for the Management of Foreign Reserves Staff Discussion Paper 2010-13 Yuliya Romanyuk An objective function is a key component of a strategic portfolio management model used to determine the optimal allocations of assets and, possibly, their associated liabilities over some investment horizon. Content Type(s): Staff research, Staff discussion papers Topic(s): Foreign reserves management JEL Code(s): G, G1, G11
Asset-Liability Management: An Overview Staff Discussion Paper 2010-10 Yuliya Romanyuk Relevant literature on asset-liability management (ALM) is reviewed and different ALM approaches are discussed that may be of interest to the Bank of Canada for the purpose of modelling the Exchange Fund Account (EFA). Content Type(s): Staff research, Staff discussion papers Topic(s): Foreign reserves management JEL Code(s): G, G1, G11