January 20, 2016
Posts
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Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns
Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks. -
March 6, 2014
Stepping Outside: Analyzing the Canadian Economy from an International Perspective
Deputy Governor John Murray discusses the Canadian economy from an international perspective. -
Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach
We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of non-normalities, heteroskedasticity, time-varying correlations, and even outliers in the asset returns. -
April 22, 2009
Monetary Policy Report – April 2009
In an environment of continued high uncertainty, the global recession has intensified and become more synchronous since the Bank’s January Monetary Policy Report Update, with weaker-than-expected activity in all major economies.
Errata: The source for Chart 1 (on page 3) is Global Insight, not the Bank of Canada. As well, in chart 15 (on page18), the base year for the exchange rate index CERI excluding the U.S. dollar should read 1992=100, not 1997=100.
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August 28, 2015
Quarterly Financial Report - Second Quarter 2015
Quarterly Financial Report - Second Quarter 2015 - For the period ended 30 June 2015 -
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Online Privacy and Information Disclosure by Consumers
A consumer discloses information to a multi-product seller, which learns about the consumer’s preferences, sets prices, and makes product recommendations. While the consumer benefits from accurate product recommendations, the seller may use the information to price discriminate. -
Price-Level versus Inflation Targeting with Financial Market Imperfections
This paper compares price-level-path targeting (PT) with inflation targeting (IT) in a sticky-price, dynamic, general equilibrium model augmented with imperfections in both the debt and equity markets. -
Improving Public Equity Markets? No Pain, No Gain
This paper quantifies the effects of improving public equity markets on macroeconomic aggregates and welfare. I use an open-economy extension of Angeletos (2007), where entrepreneurs face idiosyncratic productivity risk in privately held firms.