FSRC - Financial System Research Center

• Financial Stress, Monetary Policy, and Economic Activity

  Staff Working Paper 2010-12 Fuchun Li, Pierre St-Amant

  This paper examines empirically the impact of financial stress on the transmission of monetary policy shocks in Canada. The model used is a threshold vector autoregression in which a regime change occurs if financial stress conditions cross a critical threshold.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Monetary policy and uncertainty JEL Code(s): C, C0, C01, E, E5, E50, G, G0, G01

• Idiosyncratic Coskewness and Equity Return Anomalies

  Staff Working Paper 2010-11 Fousseni Chabi-Yo, Jun Yang

  In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial markets JEL Code(s): G, G1, G11, G12, G14, G3, G33