E4 - Money and Interest Rates
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Regime Shifts in the Indicator Properties of Narrow Money in Canada
Financial innovations and the removal of the reserve requirements in the early 1990s have made the distinction between demand and notice deposits arbitrary. -
An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate
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. -
The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach
The authors develop and estimate an equilibrium-based model of the Canadian term structure of interest rates. -
The Impact of Unanticipated Defaults in Canada's Large Value Transfer System
Canada's Large Value Transfer System (LVTS) is designed to meet international risk-proofing standards at a minimum cost to participants in terms of collateral requirements. -
Self-Enforcing Labour Contracts and the Dynamics Puzzle
To properly account for the dynamics of key macroeconomic variables, researchers incorporate various internal-propagation mechanisms in their models. -
An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates
Zero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and economics. -
Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate
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. -
Financial Market Imperfection, Overinvestment, and Speculative Precaution
The author uses panel data to assess the sensitivity of investment to cash flow in non-financial firms, taking into account the role their financial health plays in investment decisions. -
Money Demand and Economic Uncertainty
The author examines the impact of economic uncertainty on the demand for money.