Find Bank of Canada research by keyword, author, content type, JEL code, topic or date of publication.
Receive notification by email whenever new research is added to the website.
458
result(s)
A Simple Method for Extracting the Probability of Default from American Put Option Prices
Staff Working Paper 2020-15
Bo Young Chang,
Greg Orosi
A put option is a financial contract that gives the holder the right to sell an asset at a specific price by (or at) a specific date. A put option can therefore provide its holder insurance against a large drop in the stock price. This makes the prices of put options an ideal source of information for a market-based measure of the probability of a firm’s default.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G13,
G3,
G33
Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields
Staff Working Paper 2020-14
Guihai Zhao
This equilibrium model explains the trend in long-term yields and business-cycle movements in short-term yields and yield spreads. The less-frequent inverted yield curves (and less-frequent recessions) after the 1990s are due to recent secular stagnation and procyclical inflation expectations.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43,
G,
G0,
G00,
G1,
G12
Multi-Product Pricing: Theory and Evidence from Large Retailers in Israel
Staff Working Paper 2020-12
Marco Bonomo,
Carlos Carvalho,
Oleksiy Kryvtsov,
Sigal Ribon,
Rodolfo Rigato
Standard theories of price adjustment are based on the problem of a single-product firm, and therefore they may not be well suited to analyze price dynamics in the economy with multiproduct firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Market structure and pricing,
Monetary policy
JEL Code(s):
D,
D2,
D21,
D22,
E,
E3,
E31,
E5,
E52,
L,
L1,
L11
Optimal Taxation in Asset Markets with Adverse Selection
Staff Working Paper 2020-11
Mohammad Davoodalhosseini
What is the optimal tax schedule in over-the-counter markets, e.g., those for corporate bonds? I find that an optimal tax schedule is often non-monotonic. For example, trading of some high-price assets should be subsidized, and trading of some low-price assets should be taxed.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
D,
D8,
D82,
D83,
E,
E2,
E24,
G,
G1,
G10,
J,
J3,
J31,
J6,
J64
Do Protectionist Trade Policies Integrate Domestic Markets? Evidence from the Canada-U.S. Softwood Lumber Dispute
Staff Working Paper 2020-10
Jinggang Guo,
Craig Johnston
We consider the effects of protectionist trade policies on international and domestic market integration, using evidence from the long-standing softwood lumber trade dispute between Canada and the United States.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics,
Market structure and pricing,
Trade integration
JEL Code(s):
F,
F1,
F13,
Q,
Q1,
Q17
Welfare Analysis of Equilibria With and Without Early Termination Fees in the US Wireless Industry
Staff Working Paper 2020-9
Joseph Cullen,
Nicolas Schutz,
Oleksandr Shcherbakov
The elimination of long-term contracts and early termination fees (ETFs) in the US wireless industry at the end of 2015 increased monthly service fees by 2 to 5 percent. Nevertheless, consumers are clearly better off without ETFs. While firms’ revenues from ETFs vanish, their profits from monthly fees increase. As a result, the overall effect on producer profits is less clear.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Firm dynamics,
Market structure and pricing
JEL Code(s):
D,
D2,
D22,
L,
L1,
L15,
L9,
L96
The Effect of Oil Price Shocks on Asset Markets: Evidence from Oil Inventory News
Staff Working Paper 2020-8
Ron Alquist,
Reinhard Ellwanger,
Jianjian Jin
We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Recent economic and financial developments
JEL Code(s):
D,
D8,
D83,
E,
E4,
E44,
G,
G1,
G14,
G15,
Q,
Q4,
Q41,
Q43
Identifying Consumer-Welfare Changes when Online Search Platforms Change Their List of Search Results
Staff Working Paper 2020-5
Ryan Martin
Online shopping is often guided by search platforms. Consumers type keywords into query boxes, and search platforms deliver a list of products. Consumers' attention is limited, and exhaustive searches are often impractical.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Market structure and pricing
JEL Code(s):
C,
C1,
C14,
D,
D1,
D11,
D12,
D6,
D8,
D83,
L,
L4,
L40
A Spatial Model of Bank Branches in Canada
Staff Working Paper 2020-4
Heng Chen,
Matthew Strathearn
Using data on bank branch locations across Canada from 2008 to 2018, we explore an interesting aspect of bank branch competition—geographic concentration. We find that bank branch density does not correlate with geographic and market concentration; however, we do find strong correlation with postal-code demographics.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Firm dynamics,
Market structure and pricing
JEL Code(s):
L,
L1,
R,
R3