Staff research

• The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ

  Staff Working Paper 2002-9 Toni Gravelle

  Although dealership government and equity securities have, on the surface, similar market structures, the author demonstrates that some subtle differences exist between them that are likely to significantly affect the way market-makers trade, and as such have an impact on the liquidity that they provide.

  Content Type(s): Staff research, Staff working papers Topic(s): Debt management, Financial markets, Market structure and pricing JEL Code(s): G, G1, G10, G15, G18

• Restructuring in the Canadian Economy: A Survey of Firms

  Staff Working Paper 2002-8 Carolyn Kwan

  The regional offices of the Bank conducted a survey of 140 Canadian companies (representing all non-government sectors of the economy) to study the effects of restructuring (defined as a major change in the way firms do business).

  Content Type(s): Staff research, Staff working papers Topic(s): Labour markets, Productivity, Regional economic developments JEL Code(s): O, O5, O51

• Contribution of ICT Use to Output and Labour-Productivity Growth in Canada

  Staff Working Paper 2002-7 Hashmat Khan, Marjorie Santos

  There is ample evidence that information and communication technologies (ICT) contributed significantly to the surge in output and labour-productivity growth in the United States in the late 1990s.

  Content Type(s): Staff research, Staff working papers Topic(s): Productivity JEL Code(s): O, O4, O5

• Currency Fluctuations, Liability Dollarization, and the Choice of Exchange Rate Regimes in Emerging Markets

  Staff Working Paper 2002-6 Patrick Osakwe

  Traditional models of exchange rate regimes ignore the destabilizing effects of sharp and unanticipated exchange rate movements.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rate regimes JEL Code(s): E, E5, E52, F, F3, F31, F4, F41

• The Effects of Bank Consolidation on Risk Capital Allocation and Market Liquidity

  Staff Working Paper 2002-5 Chris D'Souza, Alexandra Lai

  This paper investigates the effects of financial market consolidation on risk capital allocation in a financial institution and the implications for market liquidity in dealership markets. We show that an increase in financial market consolidation can have ambiguous effects on liquidity in foreign exchange and government securities markets.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial markets JEL Code(s): G, G2, G28, G3, G31, G34

• Does Micro Evidence Support the Wage Phillips Curve in Canada?

  Staff Working Paper 2002-4 Jean Farès

  The existing macroeconometric evidence lends support to the wage Phillips curve by showing a negative relation between the rate of change in wages and the unemployment rate, conditional on lagged price inflation. Most theoretical models of wage setting, however, generate a "wage curve," described by a negative relation between the level of the real wage and unemployment.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices JEL Code(s): J, J3, J31

• An Introduction to Wavelets for Economists

  Staff Working Paper 2002-3 Christoph Schleicher

  Wavelets are mathematical expansions that transform data from the time domain into different layers of frequency levels. Compared to standard Fourier analysis, they have the advantage of being localized both in time and in the frequency domain, and enable the researcher to observe and analyze data at different scales.

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

• Asset Allocation Using Extreme Value Theory

  Staff Working Paper 2002-2 Younes Bensalah

  This paper examines asset allocation strategies in an extreme value at risk (VaR) framework in which the risk measure is the p-quantile from the extreme value distribution. The main focus is on the allocation problem faced by an extremely risk-averse institution, such as a central bank.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): C, C0, C4, C5, G, G1

• Taylor Rules in the Quarterly Projection Model

  Staff Working Paper 2002-1 Ben Fung, Dinah Maclean, Jamie Armour

  In recent years, there has been a lot of interest in Taylor-type rules. Evidence in the literature suggests that Taylor-type rules are optimal in a number of models and are fairly robust across different models.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Monetary policy and uncertainty, Monetary policy framework JEL Code(s): E, E5, E52

• The Monetary Transmission Mechanism at the Sectoral Level

  Staff Working Paper 2001-27 Jean Farès, Gabriel Srour

  This paper relies on simple vector autoregressions to investigate the monetary transmission mechanism in broad sectors of the Canadian economy. Two types of disaggregation are considered: one at the level of final expenditures, and one at the level of production.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary policy transmission JEL Code(s): E, E5, E52