June 12, 2014
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451
result(s)
Monetary Policy Transmission during Financial Crises: An Empirical Analysis
Staff Working Paper 2014-21
Tatjana Dahlhaus
This paper studies the effects of a monetary policy expansion in the United States during times of high financial stress. The analysis is carried out by introducing a smooth transition factor model where the transition between states (“normal” and high financial stress) depends on a financial conditions index.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Monetary policy transmission
JEL Code(s):
C,
C1,
C11,
C3,
C32,
E,
E3,
E32,
E4,
E44,
G,
G0,
G01
High-Frequency Trading Competition
Staff Working Paper 2014-19
Jonathan Brogaard,
Corey Garriott,
Anna Pomeranets
We analyze trading dynamics as successive high-frequency trading (HFT) firms begin to trade stocks in an equity market. Entrants compete with incumbents for volume, and there is crowding out.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G14,
G2,
G20,
L,
L1
Interest on Cash, Fundamental Value Process and Bubble Formation on Experimental Asset Markets
Staff Working Paper 2014-18
Giovanni Giusti,
Janet Hua Jiang,
Yiping Xu
We study the formation of price bubbles on experimental asset markets where cash earns interest. There are two main conclusions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Financial stability
JEL Code(s):
C,
C9,
C90,
G,
G1,
G10
Uncertain Costs and Vertical Differentiation in an Insurance Duopoly
Staff Working Paper 2014-14
Radoslav Raykov
Classical oligopoly models predict that firms differentiate vertically as a way of softening price competition, but some metrics suggest very little quality differentiation in the U.S. auto insurance market.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Market structure and pricing
JEL Code(s):
D,
D4,
D43,
D8,
D81,
G,
G2,
G22,
L,
L2,
L22
Do Sunspots Matter? Evidence from an Experimental Study of Bank Runs
Staff Working Paper 2014-12
Jasmina Arifovic,
Janet Hua Jiang
A "sunspot" is a variable that has no direct impact on the economy’s fundamental condition, such as preferences, endowments or technologies, but may nonetheless affect economic outcomes through the expectations channel as a coordination device. This paper investigates how people react to sunspots in the context of a bank-run game in a controlled laboratory environment.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
C,
C9,
C91,
C92,
D,
D8,
D80,
E,
E5,
E58,
G,
G2,
G20
Corporate Governance, Product Market Competition and Debt Financing
Staff Working Paper 2014-5
Teodora Paligorova,
Jun Yang
This paper examines the impact of product market competition and corporate governance on the cost of debt financing and the use of bond covenants. We find that more anti-takeover provisions are associated with a lower cost of debt only in competitive industries.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G3,
G34
It Hurts (Stock Prices) When Your Team Is About to Lose a Soccer Match
Staff Working Paper 2014-2
Michael Ehrmann,
David-Jan Jansen
The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as sporting events unfold.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets
JEL Code(s):
G,
G0,
G02,
G1,
G12,
G14,
G15
Regime Switches in the Risk-Return Trade-Off
Staff Working Paper 2013-51
Eric Ghysels,
Pierre Guérin,
Massimiliano Marcellino
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
G,
G1,
G10,
G12
A Distributional Approach to Realized Volatility
Staff Working Paper 2013-49
Selma Chaker,
Nour Meddahi
This paper proposes new measures of the integrated variance, measures which use high-frequency bid-ask spreads and quoted depths. The traditional approach assumes that the mid-quote is a good measure of frictionless price.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C14,
C5,
C51,
C58