Staff research

• The Monetary Origins of Asymmetric Information in International Equity Markets

  Staff Working Paper 2004-47 Gregory Bauer, Clara Vega

  Existing studies using low-frequency data show that macroeconomic shocks contribute little to international stock market covariation.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, International topics, Market structure and pricing JEL Code(s): F, F3, F30, G, G1, G12, G14, G15

• Une approche éclectique d'estimation du PIB potentiel pour le Royaume-Uni

  Staff Working Paper 2004-46 Charles St-Arnaud

  The author describes results obtained by using a new methodology to estimate potential output for the United Kingdom.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Potential output JEL Code(s): C, C3, C32, E, E2, E23, E3, E32

• Modelling the Evolution of Credit Spreads in the United States

  Staff Working Paper 2004-45 Stuart Turnbull, Jun Yang

  The authors use Jarrow and Turnbull's (1995) reduced-form methodology to model the evolution of the term structure of interest rates in the United States for different credit classes and different industries.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G12, G13

• The Transmission of World Shocks to Emerging-Market Countries: An Empirical Analysis

  Staff Working Paper 2004-44 Brigitte Desroches

  The first step in designing effective policies to stabilize an economy is to understand business cycles. No country is isolated from the world economy and external shocks are becoming increasingly important.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rate regimes, International topics, Monetary policy transmission JEL Code(s): E, E3, E30, E32, E6, E61, F, F0, F02

• Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate

  Staff Working Paper 2004-43 Ian Christensen, Christopher Reid, Frédéric Dion

  According to the Fisher hypothesis, the gap between Canadian nominal and Real Return Bond yields (or break-even inflation rate) should be a good measure of inflation expectations.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Interest rates, Market structure and pricing JEL Code(s): E, E3, E31, E4, E43

• International Equity Flows and Returns: A Quantitative Equilibrium Approach

  Staff Working Paper 2004-42 Rui Albuquerque, Martin Schneider, Gregory Bauer

  The authors model trading by foreign and domestic investors in developed-country equity markets.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, International topics, Market structure and pricing JEL Code(s): F, F3, F30, G, G1, G12, G14, G15

• Characterization of the Dynamic Effects of Fiscal Shocks in a Small Open Economy

  Staff Working Paper 2004-41 Nooman Rebei

  The author studies the macroeconomic consequences of discretionary changes in the fiscal policy instruments for Canada.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Exchange rates, Fiscal policy JEL Code(s): E, E3, E32, E6, E62

• Prévision et analyse de la production manufacturière au Canada : comparaison de modèles linéaires et non linéaires

  Staff Working Paper 2004-40 Frédérick Demers

  In this paper, the author describes reduced-form linear and non-linear econometric models developed to forecast and analyze quarterly data on output growth in the Canadian manufacturing sector from 1981 to 2003.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C53

• A Forecasting Model for Inventory Investments in Canada

  Staff Working Paper 2004-39 Marwan Chacra, Maral Kichian

  The authors present an empirical model to forecast short-run inventory investment behaviour for Canada.

  Content Type(s): Staff research, Staff working papers Topic(s): Domestic demand and components, Econometric and statistical methods JEL Code(s): C, C5, C53, E, E2, E22, E6, E62

• Finance Constraints and Inventory Investment: Empirical Tests with Panel Data

  Staff Working Paper 2004-38 Rose Cunningham

  The author empirically tests two aspects of the interaction between financial variables and inventory investment: negative cash flow and finance constraints due to asymmetric information.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Financial institutions JEL Code(s): E, E2, E22, G, G1, G14