C - Mathematical and Quantitative Methods

• Learning-by-Doing or Habit Formation?

  Staff Working Paper 2005-15 Hafedh Bouakez, Takashi Kano

  In a recent paper, Chang, Gomes, and Schorfheide (2002) extend the standard real business cycle (RBC) model to allow for a learning-by-doing (LBD) mechanism whereby current labour supply affects future productivity.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Economic models, Labour markets JEL Code(s): C, C5, C52, E, E3, E32, J, J2, J22

• Efficiency and Economies of Scale of Large Canadian Banks

  Staff Working Paper 2005-13 Jason Allen, Ying Liu

  The authors measure the economies of scale of Canada's six largest banks and their costefficiency over time. Using a unique panel data set from 1983 to 2003, they estimate pooled translog cost functions and derive measures of relative efficiency and economies of scale.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions JEL Code(s): C, C3, C33, D, D2, D24, G, G2, G21

• Determinants of Borrowing Limits on Credit Cards

  Staff Working Paper 2005-7 Shubhasis Dey, Gene Mumy

  The difference between actual borrowings and borrowing limits alone generates information asymmetry in the credit card market.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C3, D, D4, D8, D82

• Y a-t-il eu surinvestissement au Canada durant la seconde moitié des années 1990?

  Staff Working Paper 2005-5 Sylvain Martel

  This study on overinvestment differs from the existing literature in that investment in machinery and equipment is modelled as a structural vector autoregression with identification achieved by imposing long-run restrictions, as in Blanchard and Quah (1989).

  Content Type(s): Staff research, Staff working papers Topic(s): Domestic demand and components JEL Code(s): C, C3, C32, E, E3, E37, F, F4, F47

• The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments

  Staff Working Paper 2005-2 Fousseni Chabi-Yo, René Garcia, Eric Renault

  The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Market structure and pricing JEL Code(s): C, C6, C61, G, G1, G11, G12