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451
result(s)
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
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
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
November 13, 2014
The Use of Financial Derivatives by Canadian Firms
In Canada, about one-third of publicly listed non-financial firms use financial derivatives. The use of derivatives is widespread across all sectors of the economy and increases during periods of greater uncertainty. Non-financial firms that use derivatives are typically larger and more profitable and have lower volatility of earnings than those that do not use derivatives. Overall, the firm characteristics of Canadian hedgers seem to be consistent with those found in other jurisdictions.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Exchange rates,
Financial markets
JEL Code(s):
G,
G1,
G10,
G3,
G32
Credit Market Frictions and Sudden Stops
Staff Working Paper 2014-49
Yuko Imura
Financial crises in emerging economies in the 1980s and 1990s often entailed abrupt declines in foreign capital inflows, improvements in trade balance, and large declines in output and total factor productivity (TFP).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Financial markets,
International topics
JEL Code(s):
E,
E2,
E22,
E3,
E32,
F,
F4,
F41,
G,
G0,
G01
On the Importance of Sales for Aggregate Price Flexibility
Staff Working Paper 2014-45
Oleksiy Kryvtsov,
Nicolas Vincent
Macroeconomists have traditionally ignored the behavior of temporary price markdowns (“sales”) by retailers. Although sales are common in the micro price data, they are assumed to be unrelated to macroeconomic phenomena and generally filtered out.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
Inflation and prices,
Market structure and pricing,
Monetary policy transmission
JEL Code(s):
E,
E3,
E31,
E32,
E5,
E52,
L,
L1,
L11,
L2,
L25,
L8,
L81,
M,
M3,
M31
Improving Public Equity Markets? No Pain, No Gain
Staff Working Paper 2014-41
Katya Kartashova
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.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Development economics,
Financial institutions,
Financial markets
JEL Code(s):
E,
E4,
E44,
G,
G1,
G11,
O,
O1,
O11,
O16
Capital Flows and Macroprudential Policies - A Multilateral Assessment of Effectiveness and Externalities
Staff Working Paper 2014-31
John Beirne,
Christian Friedrich
This paper assesses the effectiveness and associated externalities that arise when macroprudential policies (MPPs) are used to manage international capital flows. Using a sample of up to 139 countries, we examine the impact of eight different MPP measures on cross-border bank flows over the period 1999-2009.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Balance of payments and components,
Financial markets,
International topics
JEL Code(s):
F,
F3,
F5,
G,
G0,
G01,
G1,
G11
Improving Overnight Loan Identification in Payments Systems
Staff Working Paper 2014-25
Mark Rempel
Information on the allocation and pricing of over-the-counter (OTC) markets is scarce. Furfine (1999) pioneered an algorithm that provides transaction-level data on the OTC interbank lending market.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Interest rates,
Payment clearing and settlement systems
JEL Code(s):
C,
C3,
C38,
C5,
C53,
E,
E4,
E42,
E44,
G,
G1,
G10