Staff working papers

• On the Amplification Role of Collateral Constraints

  Staff Working Paper 2008-23 Caterina Mendicino

  Following the seminal contribution of Kiyotaki and Moore (1997), the role of collateral constraints for business cycle fluctuations has been highlighted by several authors and collateralized debt is becoming a popular feature of business cycle models.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates JEL Code(s): E, E2, E20, E3, E32

• Information Shocks, Jumps, and Price Discovery - Evidence from the U.S. Treasury Market

  Staff Working Paper 2008-22 George Jiang, Ingrid Lo, Adrien Verdelhan

  We examine large price changes, known as jumps, in the U.S. Treasury market. Using recently developed statistical tools, we identify price jumps in the 2-, 3-, 5-, 10-year notes and 30-year bond during the period of 2005-2006.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): G, G1, G12, G14

• The Cost of Equity in Canada: An International Comparison

  Staff Working Paper 2008-21 Jonathan Witmer

  This paper calculates an implied cost of equity for 19 developed countries from 1991 to 2006. During this period, there has been a decline in the cost of equity of about 10-15 bps per year, which can be partially attributed to declining government yields and declining inflation.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, International topics JEL Code(s): G, G3, G30, G38