Posts
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The Evolution of Unobserved Skill Returns in the U.S.: A New Approach Using Panel Data
Economists disagree about the factors driving the substantial increase in residual wage inequality in the United States over the past few decades. To identify changes in the returns to unobserved skills, we make a novel assumption about the dynamics of skills (especially among older workers) rather than about the stability of skill distributions across cohorts, as is standard. -
December 21, 2017
Bank of Canada Announces a Reduction to the Minimum Amount of Government of Canada Nominal Bonds it Acquires at Auction
The Bank of Canada announced today that it is decreasing its minimum purchase amount of nominal bonds at auctions to 13 per cent from the current 14 per cent level, effective immediately. -
Who Pays? CCP Resource Provision in the Post-Pittsburgh World
At the Pittsburgh Summit in 2009, G20 countries announced their commitment to clear all standardized over-the-counter (OTC) derivatives through central counterparties (CCPs). Since then, CCPs have become increasingly important and there has been an extensive program of regulatory enhancements to both them and OTC derivatives markets. -
Which Model to Forecast the Target Rate?
Specifications of the Federal Reserve target rate that have more realistic features mitigate in-sample over-fitting and are favored in the data. -
Credit Risk Transfer and Bank Insolvency Risk
The present paper shows that, everything else equal, some transactions to transfer portfolio credit risk to third-party investors increase the insolvency risk of banks. This is particularly likely if a bank sells the senior tranche and retains a sufficiently large first-loss position. -
Variance Premium, Downside Risk and Expected Stock Returns
We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large cross-section of firms. -
Credit Crunches from Occasionally Binding Bank Borrowing Constraints
We present a model in which banks and other financial intermediaries face both occasionally binding borrowing constraints and costs of equity issuance. Near the steady state, these intermediaries can raise equity finance at no cost through retained earnings. -
Recent Evolution of Canada’s Credit-to-GDP Gap: Measurement and Interpretation
Over the past several years, the Bank for International Settlements has noted that Canada’s credit-to-GDP gap has widened and is above thresholds indicating future banking stress.