E44 - Financial Markets and the Macroeconomy

• Managing Operational Risk in Payment, Clearing, and Settlement Systems

  Staff Working Paper 2003-2 Kim McPhail

  Awareness of operational risk has increased greatly in recent years, both at individual financial institutions and for payment, clearing, and settlement systems (PCSS). PCSS consist of networks of interconnected elements (i.e., central operators, participants, and settlement agents); operational problems at any one of the key elements have the potential to disrupt the system as a whole and negatively affect financial stability.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Payment clearing and settlement systems JEL Code(s): E, E4, E44, G, G2, G21

• Estimating Settlement Risk and the Potential for Contagion in Canada's Automated Clearing Settlement System

  Staff Working Paper 2002-41 Carol Ann Northcott

  Payments systems operate virtually unnoticed in our daily lives and yet are crucial to a wellfunctioning economy and financial system.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Payment clearing and settlement systems JEL Code(s): E, E4, E44, G, G2, G21

• The Impact of Common Currencies on Financial Markets: A Literature Review and Evidence from the Euro Area

  Staff Working Paper 2002-35 Liliane Karlinger

  This paper reviews both the theoretical and empirical literature on the impact of common currencies on financial markets and evaluates the first three years of experience with Economic and Monetary Union (EMU).

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rate regimes, Financial markets JEL Code(s): E, E4, E44, F, F2, F21, F3, F36, G, G1, G15

• Implications of Uncertainty about Long-Run Inflation and the Price Level

  Staff Working Paper 2001-16 Gerald Stuber

  This paper surveys recent developments in the theoretical and empirical literature on the economic implications of uncertainty about the longer-term outlook for inflation. In particular, the linkages between inflation, long-run inflation uncertainty, and aggregate economic activity in industrial economies have become considerably better understood during the past decade.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation: costs and benefits JEL Code(s): E, E2, E22, E3, E31, E4, E44

• Modelling Risk Premiums in Equity and Foreign Exchange Markets

  Staff Working Paper 2000-9 René Garcia, Maral Kichian

  The observed predictability of excess returns in equity and foreign exchange markets has largely been attributed to the presence of time-varying risk premiums in these markets. For example, excess equity returns were found to be explained by various financial and economic variables.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): E, E4, E44, F, F3, F31, G, G1, G12, G15

• Forecasting GDP Growth Using Artificial Neural Networks

  Staff Working Paper 1999-3 Greg Tkacz, Sarah Hu

  Financial and monetary variables have long been known to contain useful leading information regarding economic activity. In this paper, the authors wish to determine whether the forecasting performance of such variables can be improved using neural network models. The main findings are that, at the 1-quarter forecasting horizon, neural networks yield no significant forecast improvements. […]

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Monetary and financial indicators JEL Code(s): C, C4, C45, E, E3, E37, E4, E44

• Speculative Behaviour, Regime-Switching and Stock Market Crashes

  Staff Working Paper 1996-13 Simon van Norden, Huntley Schaller

  This paper uses regime-switching econometrics to study stock market crashes and to explore the ability of two very different economic explanations to account for historical crashes. The first explanation is based on historical accounts of "manias and panics."

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): C, C4, C40, E, E4, E44, G, G1, G12