G - Financial Economics

• Trade Credit and Credit Rationing in Canadian Firms

  Staff Working Paper 2004-49 Rose Cunningham

  Burkart and Ellingsen's (2004) model of trade credit and bank credit rationing predicts that trade credit will be used by medium-wealth and low-wealth firms to help ease bank credit rationing.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Financial markets JEL Code(s): G, G1, G14, G2, G21, G3, G32

• 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

• The Monetary Origins of Asymmetric Information in International Equity Markets

  Staff Working Paper 2004-47 Gregory Bauer, Clara Vega

  Existing studies using low-frequency data show that macroeconomic shocks contribute little to international stock market covariation.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, International topics, Market structure and pricing JEL Code(s): F, F3, F30, G, G1, G12, G14, G15

• Modelling the Evolution of Credit Spreads in the United States

  Staff Working Paper 2004-45 Stuart Turnbull, Jun Yang

  The authors use Jarrow and Turnbull's (1995) reduced-form methodology to model the evolution of the term structure of interest rates in the United States for different credit classes and different industries.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G12, G13

• International Equity Flows and Returns: A Quantitative Equilibrium Approach

  Staff Working Paper 2004-42 Rui Albuquerque, Martin Schneider, Gregory Bauer

  The authors model trading by foreign and domestic investors in developed-country equity markets.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, International topics, Market structure and pricing JEL Code(s): F, F3, F30, G, G1, G12, G14, G15

• Finance Constraints and Inventory Investment: Empirical Tests with Panel Data

  Staff Working Paper 2004-38 Rose Cunningham

  The author empirically tests two aspects of the interaction between financial variables and inventory investment: negative cash flow and finance constraints due to asymmetric information.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Financial institutions JEL Code(s): E, E2, E22, G, G1, G14

• Market Valuation and Risk Assessment of Canadian Banks

  Staff Working Paper 2004-34 Ying Liu, Mingwei Yuan, Eli Papakirykos

  The authors apply the asset-valuation model developed by Rabinovitch (1989) to six publicly traded Canadian banks over the period 1982–2002.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions JEL Code(s): G, G1, G12, G2, G21

• The New Basel Capital Accord and the Cyclical Behaviour of Bank Capital

  Staff Working Paper 2004-30 Mark Illing, Graydon Paulin

  The authors conduct a counterfactual simulation of the proposed rules under the new Basel Capital Accord (Basel II), including the revised treatment of expected and unexpected credit losses proposed by the Basel Committee in October 2003.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions JEL Code(s): G, G2, G21, G28, K, K2, K23

• Uninsurable Investment Risks

  Staff Working Paper 2004-29 Césaire Meh, Vincenzo Quadrini

  The authors study a general-equilibrium economy in which agents have the ability to invest in a risky technology.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial institutions, Financial markets JEL Code(s): D, D3, D31, E, E2, E21, G, G0

• 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