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2373
result(s)
Why Do Canadian Firms Invest and Operate Abroad? Implications for Canadian Exports
Staff Discussion Paper 2014-7
Martin Coiteux,
Patrick Rizzetto,
Lena Suchanek,
Jane Voll
Canadian foreign direct investment and sales of Canadian multinational firms’ operations abroad, particularly in the manufacturing industry and in the United States, have accelerated sharply over the past decade.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
International topics,
Recent economic and financial developments
JEL Code(s):
F,
F1,
F10,
F2,
F21,
F23,
F4,
F41
High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
Staff Working Paper 2014-56
George Jiang,
Ingrid Lo,
Giorgio Valente
This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i- Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and price efficiency.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G10,
G12,
G14
Persistent Leverage in Portfolio Sorts: An Artifact of Measurement Error?
Staff Working Paper 2014-55
Michael Mueller
Studies such as Lemmon, Roberts and Zender (2008) demonstrate how stable firms’ capital structures are over time, and raise the question of whether new theories of capital structure are needed to explain these phenomena.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C18,
G,
G3,
G32
International House Price Cycles, Monetary Policy and Risk Premiums
Staff Working Paper 2014-54
Gregory Bauer
Using a panel logit framework, the paper provides an estimate of the likelihood of a house price correction in 18 OECD countries. The analysis shows that a simple measure of the degree of house price overvaluation contains a lot of information about subsequent price reversals.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Housing
JEL Code(s):
C,
C2,
E,
E4,
E43,
R,
R2,
R21
December 10, 2014
Exchange-Traded Funds: Evolution of Benefits, Vulnerabilities and Risks
Ian Foucher and Kyle Gray explain the different types of exchange-traded funds (ETFs), which present both benefits and risks for investors. They discuss ways in which the risk characteristics of certain ETF products could have broader implications for the financial system, and describe the evolution of ETF market structure and regulation in different jurisdictions as authorities try to mitigate risks related to ETFs.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Financial markets,
Financial stability,
Market structure and pricing
JEL Code(s):
G,
G1,
G14,
G18,
G2,
G20
December 10, 2014
Cyber Security: Protecting the Resilience of Canada’s Financial System
Harold Gallagher, Wade McMahon and Ron Morrow examine the various sources of cyber attacks and their potential for systemic risk. Against this background, the report highlights efforts being made to protect against cyber-security threats, including individual and collective actions by financial institutions and financial market infrastructures, as well as initiatives by international organizations, regulatory authorities and governments. The authors then describe the coordination, under the Joint Operational Resilience Management program, of private and public sector actions in Canada for managing and testing capabilities during severe operational events such as cyber attacks.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Financial stability,
Financial system regulation and policies,
Payment clearing and settlement systems
JEL Code(s):
G,
G2,
G20,
G23,
G28
The Impact of U.S. Monetary Policy Normalization on Capital Flows to Emerging-Market Economies
Staff Working Paper 2014-53
Tatjana Dahlhaus,
Garima Vasishtha
The Federal Reserve’s path for withdrawal of monetary stimulus and eventually increasing interest rates could have substantial repercussions for capital flows to emerging-market economies (EMEs).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics,
Monetary policy transmission
JEL Code(s):
C,
C3,
C32,
E,
E5,
E52,
F,
F3,
F33,
F4,
F42
Targeting Inflation from Below - How Do Inflation Expectations Behave?
Staff Working Paper 2014-52
Michael Ehrmann
Inflation targeting (IT) had originally been introduced as a device to bring inflation down and stabilize it at low levels. Given the current environment of persistently weak inflation in many advanced economies, IT central banks must now bring inflation up to target.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Inflation targets
JEL Code(s):
C,
C5,
C53,
E,
E3,
E31,
E5,
E52,
E58
Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
Staff Working Paper 2014-51
Sermin Gungor,
Richard Luger
We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C12,
C14,
C15,
G,
G1,
G12