The Impact of Unanticipated Defaults in Canada's Large Value Transfer System Staff Working Paper 2005-25 Darcey McVanel Canada's Large Value Transfer System (LVTS) is designed to meet international risk-proofing standards at a minimum cost to participants in terms of collateral requirements. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Payment clearing and settlement systems JEL Code(s): E, E4, E44, E47, G, G2, G21
Self-Enforcing Labour Contracts and the Dynamics Puzzle Staff Working Paper 2005-1 Christian Calmès To properly account for the dynamics of key macroeconomic variables, researchers incorporate various internal-propagation mechanisms in their models. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, Labour markets JEL Code(s): E, E1, E12, E4, E49, J, J3, J30, J31, J4, J41
An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates Staff Working Paper 2004-48 David Bolder, Adam Metzler, Grahame Johnson Zero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and economics. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Interest rates JEL Code(s): C, C0, C6, E, E4, G, G1
Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate Staff Working Paper 2004-43 Ian Christensen, Christopher Reid, Frédéric Dion According to the Fisher hypothesis, the gap between Canadian nominal and Real Return Bond yields (or break-even inflation rate) should be a good measure of inflation expectations. Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Interest rates, Market structure and pricing JEL Code(s): E, E3, E31, E4, E43
Financial Market Imperfection, Overinvestment, and Speculative Precaution Staff Working Paper 2004-27 Christian Calmès The author uses panel data to assess the sensitivity of investment to cash flow in non-financial firms, taking into account the role their financial health plays in investment decisions. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles JEL Code(s): D, D9, D92, E, E2, E22, E4, E44, G, G3, G33
Money Demand and Economic Uncertainty Staff Working Paper 2004-25 Joseph Atta-Mensah The author examines the impact of economic uncertainty on the demand for money. Content Type(s): Staff research, Staff working papers Topic(s): Monetary aggregates JEL Code(s): E, E4, E41, E5, E50
Convergence of Government Bond Yields in the Euro Zone: The Role of Policy Harmonization Staff Working Paper 2004-23 Denise Côté, Christopher Graham Since the early 1980s, long-term government bond yields in the euro zone have declined, in line with those in other industrialized countries. Content Type(s): Staff research, Staff working papers Topic(s): Interest rates, International topics JEL Code(s): C, C2, C23, E, E4, E43, E44, F, F3, F36
Financial Conditions Indexes for Canada Staff Working Paper 2004-22 Céline Gauthier, Christopher Graham, Ying Liu The authors construct three financial conditions indexes (FCIs) for Canada based on three approaches: an IS-curve-based model, generalized impulse-response functions, and factor analysis. Content Type(s): Staff research, Staff working papers Topic(s): Monetary and financial indicators, Monetary conditions index JEL Code(s): E, E4, E44, E5, E52
Exchange Rate Pass-Through and the Inflation Environment in Industrialized Countries: An Empirical Investigation Staff Working Paper 2004-21 Jeannine Bailliu, Eiji Fujii This paper investigates the question of whether a transition to a low-inflation environment, induced by a shift in monetary policy, results in a decline in the degree of pass-through of exchange rate movements to consumer prices. Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Inflation and prices, International topics JEL Code(s): E, E3, E31, E4, E42, F, F3, F31
The Demand for Money in a Stochastic Environment Staff Working Paper 2004-7 Joseph Atta-Mensah The author re-examines the demand-for-money theory in an intertemporal optimization model. The demand for real money balances is derived to be a function of real income and the rates of return of all financial assets traded in the economy. Content Type(s): Staff research, Staff working papers Topic(s): Monetary aggregates JEL Code(s): E, E4, E41, E5, E50, G, G1, G11