FSRC - Financial System Research Center

• An Examination of Canadian Firms Delisting from U.S. Exchanges

  Staff Working Paper 2008-11 Jonathan Witmer

  This paper examines Canadian and other foreign firms that have been involuntarily delisted from major U.S. exchanges. I find that, for most countries, less than 10% of firms get delisted from a U.S. exchange during my sample period.

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

• Credit, Asset Prices, and Financial Stress in Canada

  Staff Working Paper 2008-10 Miroslav Misina, Greg Tkacz

  Historical narratives typically associate financial crises with credit expansions and asset price misalignments. The question is whether some combination of measures of credit and asset prices can be used to predict these events.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Financial stability JEL Code(s): E, E5, G, G1, G10

• A Model of Housing Boom and Bust in a Small Open Economy

  Staff Working Paper 2008-9 Hajime Tomura

  This paper considers a dynamic stochastic general equilibrium model for a small open economy and finds that an improvement in the terms of trade causes a housing boom-bust cycle if the duration of the improvement is uncertain.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates JEL Code(s): E, E4, E44, F, F4, F41

• Unsecured Debt, Consumer Bankruptcy, and Small Business

  Staff Working Paper 2008-5 Césaire Meh, Yaz Terajima

  In this paper we develop a quantitative model of entrepreneurial activity (risk-taking) and consumer bankruptcy choices and use the model to study the effects of bankruptcy regulations on entrepreneurial activity, bankruptcy rate and welfare.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial stability, Financial system regulation and policies JEL Code(s): D, D3, D31, E, E2, E21, J, J2, J23

• The Carry Trade, Portfolio Diversification, and the Adjustment of the Japanese Yen

  Staff Discussion Paper 2008-2 Corinne Luu

  In this paper, the author considers whether fundamentals or other factors can explain the yen's ongoing weakness. In particular, the importance of capital outflows due to the carry trade and longer-term portfolio investment outflows, which may be delaying the adjustment of the yen, are investigated. A simple portfolio model is developed, composed of a speculative […]

  Content Type(s): Staff research, Staff discussion papers Topic(s): Exchange rates, International topics, Recent economic and financial developments JEL Code(s): F, F2, F21, F3, F31, F32, G, G1, G11

• An Overview of Carbon Markets and Emissions Trading: Lessons for Canada

  Staff Discussion Paper 2008-1 Michael R. King

  The author provides an overview of carbon markets and explains how emissions trading can be important in encouraging the reduction of CO2 emissions in an efficient manner. He describes the key steps in establishing a cap-and-trade system, and reviews the European experiences with emissions trading. He highlights the lessons learned from the EU Emissions Trading […]

  Content Type(s): Staff research, Staff discussion papers Topic(s): International topics, Market structure and pricing JEL Code(s): D, D4, N, N5, N50, Q, Q2, Q21

• Default Dependence: The Equity Default Relationship

  Staff Working Paper 2008-1 Stuart Turnbull, Jun Yang

  The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): G, G1, G12, G13