November 14, 2013
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.
449
result(s)
Public/Private Transitions and Firm Financing
Staff Working Paper 2013-36
Kim Huynh,
Teodora Paligorova,
Robert Petrunia
A large body of empirical literature investigates differences in financing structures across firms. Private firms’ financing receives little attention due to the lack of data.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial markets
JEL Code(s):
G,
G3,
G30,
L,
L1,
L11
Volatility and Liquidity Costs
Staff Working Paper 2013-29
Selma Chaker
Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator inspired by the market microstructure literature to explicitly model the noise and remove it from observed returns before estimating their variance.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Market structure and pricing
JEL Code(s):
C,
C1,
C14,
C5,
C51,
C58,
G,
G2,
G20
Money Market Rates and Retail Interest Regulation in China: The Disconnect between Interbank and Retail Credit Conditions
Staff Working Paper 2013-20
Nathan Porter,
TengTeng Xu
Interest rates in China are composed of a mix of both market-determined interest rates (interbank rates and bond yields), and regulated interest rates (retail lending and deposit rates), reflecting China’s gradual process of interest rate liberalization.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Development economics,
Econometric and statistical methods,
Financial markets,
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
C,
C2,
C22,
E,
E4,
E43,
E5,
E52,
E58
Fire-Sale FDI or Business as Usual?
Staff Working Paper 2013-17
Ron Alquist,
Rahul Mukherjee,
Linda Tesar
Using a new data set, we examine the characteristics and dynamics of cross-border mergers and acquisitions during emerging-market financial crises, that is, so-called “fire-sale FDI.” Our findings shed fresh light on whether the transactions undertaken during crisis periods differ in fundamental ways from those undertaken during more tranquil periods.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International financial markets,
International topics
JEL Code(s):
F,
F2,
F21,
G,
G0,
G01,
G3,
G34
Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances
Staff Working Paper 2013-16
Sermin Gungor,
Richard Luger
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C12,
C15,
C3,
C33,
G,
G1,
G11,
G12
May 16, 2013
Unconventional Monetary Policies: Evolving Practices, Their Effects and Potential Costs
Following the recent financial crisis, major central banks have introduced several types of unconventional monetary policy measures, including liquidity and credit facilities, asset purchases and forward guidance. To date, these measures appear to have been successful. They restored market functioning, facilitated the transmission of monetary policy and supported economic activity. They have potential costs, however, including challenges related to the greatly expanded balance sheets of central banks and the eventual exit from these measures, as well as the vulnerabilities that can arise from prolonged monetary accommodation.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Central bank research,
Financial markets,
International topics,
Monetary policy framework
JEL Code(s):
E,
E5,
E52,
E58,
E6,
E65
Financial Crisis Resolution
Staff Working Paper 2012-42
Josef Schroth
This paper studies a dynamic version of the Holmstrom-Tirole model of intermediated finance. I show that competitive equilibria are not constrained efficient when the economy experiences a financial crisis. A pecuniary externality entails that banks’ desire to accumulate capital over time aggravates the scarcity of informed capital during the financial crisis.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial system regulation and policies
JEL Code(s):
D,
D5,
D53,
E,
E6,
E60,
G,
G0,
G01,
G1,
G10,
G18
Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy
Staff Working Paper 2012-41
Jean-Sébastien Fontaine
Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Still, for most applications, researchers rely on the assumption that the policy rate changes linearly with economic conditions and they do not distinguish between dates with and without scheduled announcements.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43,
E44,
E47,
G,
G1,
G12,
G13
Liquidity and Central Clearing: Evidence from the CDS Market
Staff Working Paper 2012-38
Joshua Slive,
Jonathan Witmer,
Elizabeth Woodman
An international initiative to increase the use of central clearing for OTC derivatives emerged as one of the reactions to the 2008 financial crisis. The move to central clearing is a fundamental change in the structure of the market.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G3,
G30,
G38