Staff working papers

• A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market

  Staff Working Paper 2006-8 Ingrid Lo, Stephen Sapp

  Traders using the electronic limit order book in the foreign exchange market can watch the posted price and depth of the best quotes change over the day.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets JEL Code(s): C, C3, D, D8, F, F3, F31

• Ownership Concentration and Competition in Banking Markets

  Staff Working Paper 2006-7 Alexandra Lai, Raphael Solomon

  Many countries prohibit large shareholdings in their domestic banks.The authors examine whether such a restriction restrains competition in a duopolistic loan market. Blockholders may influence managers' output decisions by choosing capital structure, as in Brander and Lewis (1986).

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial services, Financial system regulation and policies JEL Code(s): G, G2, G21, G28, G3, G32, L, L1, L10

• Regime Shifts in the Indicator Properties of Narrow Money in Canada

  Staff Working Paper 2006-6 Tracy Chan, Ramdane Djoudad, Jackson Loi

  Financial innovations and the removal of the reserve requirements in the early 1990s have made the distinction between demand and notice deposits arbitrary.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary aggregates JEL Code(s): E, E4, E40, E42, E5, E50

• Are Currency Crises Low-State Equilibria? An Empirical, Three-Interest-Rate Model

  Staff Working Paper 2006-5 Christopher Cornell, Raphael Solomon

  Suppose that the dynamics of the macroeconomy were given by (partly) random fluctuations between two equilibria: "good" and "bad."

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary policy and uncertainty JEL Code(s): C, C6, C62, E, E5, E59, F, F4, F41

• Forecasting Canadian Time Series with the New Keynesian Model

  Staff Working Paper 2006-4 Ali Dib, Mohamed Gammoudi, Kevin Moran

  The authors document the out-of-sample forecasting accuracy of the New Keynesian model for Canada.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Economic models JEL Code(s): C, C1, C12, E, E3, E32, E37

• Money and Credit Factors

  Staff Working Paper 2006-3 Paul Gilbert, Erik Meijer

  The authors introduce new measures of important underlying macroeconomic phenomena that affect the financial side of the economy.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Econometric and statistical methods, Monetary aggregates JEL Code(s): C, C4, C43, C8, C82, E, E5, E51

• Structural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada

  Staff Working Paper 2006-2 Lynda Khalaf, Maral Kichian

  The authors address empirically the implications of structural breaks in the variance-covariance matrix of inflation and import prices for changes in pass-through.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, E, E3, E31, F, F3, F31, F4, F40

• The Institutional and Political Determinants of Fiscal Adjustment

  Staff Working Paper 2006-1 Robert Lavigne

  The author empirically assesses the effects of institutional and political factors on the need and willingness of governments to make large fiscal adjustments.

  Content Type(s): Staff research, Staff working papers Topic(s): Development economics, Econometric and statistical methods, Fiscal policy, International topics JEL Code(s): E, E6, E62, O, O1, O17, O19

• An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate

  Staff Working Paper 2005-45 Ingrid Lo

  The author compares the performance of three Gaussian approximation methods - by Nowman (1997), Shoji and Ozaki (1998), and Yu and Phillips (2001) - in estimating a model of the nonlinear continuous-time short-term interest rate.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C1, E, E4

• Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?

  Staff Working Paper 2005-44 Frédérick Demers, Annie De Champlain

  The authors investigate the behaviour of core inflation in Canada to analyze three key issues: (i) homogeneity in the response of various price indexes to demand or real exchange rate shocks relative to the response of aggregate core inflation; (ii) whether using disaggregate data helps to improve the forecast of core inflation; and (iii) whether using monthly data helps to improve quarterly forecasts.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C5, E, E3, E37