Staff research

• An Analysis of Closure Policy under Alternative Regulatory Structures

  Staff Working Paper 2005-11 Greg Caldwell

  The author develops a theoretical model of bank closure. The regulatory decision about bank failure consists of two parts: whether to close and how to close.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions JEL Code(s): G, G2, G21, G28

• Educational Spillovers: Does One Size Fit All?

  Staff Working Paper 2005-10 Robert Baumann, Raphael Solomon

  In a search model of production, where agents accumulate heterogeneous amounts of human capital, an individual worker's wage depends on average human capital in the searching population.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets JEL Code(s): I, I2, I29, J, J2, J24, J3, J31

• State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle

  Staff Working Paper 2005-9 Fousseni Chabi-Yo, René Garcia, Eric Renault

  The authors examine the ability of economic models with regime shifts to rationalize and explain the risk-aversion and pricing-kernel puzzles put forward in Jackwerth (2000).

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

• Recent Developments in Self-Employment in Canada

  Staff Working Paper 2005-8 Nadja Kamhi, Danny Leung

  The authors document the recent evolution of the self-employment rate in Canada. Between 1987 and 1998, the self-employment rate rose 3.5 percentage points from 13.8 per cent to 17.3 per cent.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets JEL Code(s): J, J2, J23, J24

• Determinants of Borrowing Limits on Credit Cards

  Staff Working Paper 2005-7 Shubhasis Dey, Gene Mumy

  The difference between actual borrowings and borrowing limits alone generates information asymmetry in the credit card market.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C3, D, D4, D8, D82

• Monetary Policy under Model and Data-Parameter Uncertainty

  Staff Working Paper 2005-6 Gino Cateau

  Policy-makers in the United States over the past 15 to 20 years seem to have been cautious in setting policy: empirical estimates of monetary policy rules such as Taylor's (1993) rule are much less aggressive than those derived from optimizing models.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy and uncertainty JEL Code(s): D, D8, D81, E, E5, E58

• Y a-t-il eu surinvestissement au Canada durant la seconde moitié des années 1990?

  Staff Working Paper 2005-5 Sylvain Martel

  This study on overinvestment differs from the existing literature in that investment in machinery and equipment is modelled as a structural vector autoregression with identification achieved by imposing long-run restrictions, as in Blanchard and Quah (1989).

  Content Type(s): Staff research, Staff working papers Research Topic(s): Domestic demand and components JEL Code(s): C, C3, C32, E, E3, E37, F, F4, F47

• State-Dependent or Time-Dependent Pricing: Does It Matter for Recent U.S. Inflation?

  Staff Working Paper 2005-4 Peter J. Klenow, Oleksiy Kryvtsov

  Inflation equals the product of two terms: an extensive margin (the fraction of items with price changes) and an intensive margin (the average size of those changes).

  Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices JEL Code(s): E, E3, E31, E32

• Pre-Bid Run-Ups Ahead of Canadian Takeovers: How Big Is the Problem?

  Staff Working Paper 2005-3 Michael R. King, Maksym Padalko

  The authors study the price - volume dynamics ahead of the first public announcement of a takeover for 420 Canadian firms from 1985 to 2002.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): G, G1, G14, G18, G3, G34

• The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments

  Staff Working Paper 2005-2 Fousseni Chabi-Yo, René Garcia, Eric Renault

  The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): C, C6, C61, G, G1, G11, G12