Staff research

• The Implementation of Monetary Policy in Canada

  Staff Discussion Paper 2008-9 Walter Engert, Toni Gravelle, Donna Howard

  The authors present a detailed discussion of the Bank of Canada's framework for the implementation of monetary policy. As background, they provide a brief overview of the financial system in Canada, including a discussion of the financial services industry and the money market.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial institutions, Financial markets, Monetary policy implementation, Payment clearing and settlement systems JEL Code(s): E, E5, E52, E58, G, G2, G21

• 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

• The Effect of the Sarbanes-Oxley Act on CEO Pay for Luck

  Staff Working Paper 2008-20 Teodora Paligorova

  According to the rent-extraction hypothesis, weak corporate governance allows entrenched CEOs to capture the pay-setting process and benefit from events outside of their control – get paid for luck.

  Content Type(s): Staff research, Staff working papers Topic(s): Labour markets JEL Code(s): G, G3, G38, J, J3, J33, M, M5, M52

• Inflation, Nominal Portfolios, and Wealth Redistribution in Canada

  Staff Working Paper 2008-19 Césaire Meh, Yaz Terajima

  There is currently a policy debate on potential refinements to monetary policy regimes in countries with low and stable inflation such as the U.S. and Canada. For example, in Canada, a systematic review of the current inflation targeting framework is underway.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Inflation targets, Inflation: costs and benefits, Monetary policy framework, Sectoral balance sheet JEL Code(s): D, D3, D31, D5, D58, E, E3, E31, E5, E50

• Empirical Likelihood Block Bootstrapping

  Staff Working Paper 2008-18 Jason Allen, Allan Gregory, Katsumi Shimotsu

  Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C14, C2, C22

• Policy Coordination in an International Payment System

  Staff Working Paper 2008-17 James Chapman

  Given the increasing interdependence of both financial systems and attendant payment and settlement systems a vital question is what form should optimal policy take when there are two connected payment systems with separate regulators.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rate regimes, Payment clearing and settlement systems JEL Code(s): E, E4, E42, E5, E58, F, F3, F31, F33

• On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk

  Staff Working Paper 2008-16 Fousseni Chabi-Yo, Eric Ghysels, Eric Renault

  The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called twofund separation relies on special assumptions on either returns or preferences.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Market structure and pricing JEL Code(s): C, C5, C52, D, D5, D58, G, G1, G11, G12

• The Global Effects of U.S. Fiscal Policy

  Staff Discussion Paper 2008-8 Kimberly Beaton

  The author examines the global impact of U.S. fiscal policy using the Bank of Canada's Global Economy Model (Lalonde and Muir 2007). In particular, she examines the global macroeconomic implications of the expiration of major tax cuts in the United States and of expected increases in U.S. entitlement program expenditures.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Fiscal policy, International topics, Regional economic developments JEL Code(s): H, H0, H2, H3