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287
result(s)
Recent Developments in Self-Employment in Canada
Staff Working Paper 2005-8
Nadja Kamhi,
Danny Leung
The authors document the recent evolution of the self-employment rate in Canada. Between 1987 and 1998, the self-employment rate rose 3.5 percentage points from 13.8 per cent to 17.3 per cent.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Labour markets
JEL Code(s):
J,
J2,
J23,
J24
Determinants of Borrowing Limits on Credit Cards
Staff Working Paper 2005-7
Shubhasis Dey,
Gene Mumy
The difference between actual borrowings and borrowing limits alone generates information asymmetry in the credit card market.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Market structure and pricing
JEL Code(s):
C,
C3,
D,
D4,
D8,
D82
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments
Staff Working Paper 2005-2
Fousseni Chabi-Yo,
René Garcia,
Eric Renault
The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
C,
C6,
C61,
G,
G1,
G11,
G12
Self-Enforcing Labour Contracts and the Dynamics Puzzle
Staff Working Paper 2005-1
Christian Calmès
To properly account for the dynamics of key macroeconomic variables, researchers incorporate various internal-propagation mechanisms in their models.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
Labour markets
JEL Code(s):
E,
E1,
E12,
E4,
E49,
J,
J3,
J30,
J31,
J4,
J41
The Monetary Origins of Asymmetric Information in International Equity Markets
Staff Working Paper 2004-47
Gregory Bauer,
Clara Vega
Existing studies using low-frequency data show that macroeconomic shocks contribute little to international stock market covariation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics,
Market structure and pricing
JEL Code(s):
F,
F3,
F30,
G,
G1,
G12,
G14,
G15
Modelling the Evolution of Credit Spreads in the United States
Staff Working Paper 2004-45
Stuart Turnbull,
Jun Yang
The authors use Jarrow and Turnbull's (1995) reduced-form methodology to model the evolution of the term structure of interest rates in the United States for different credit classes and different industries.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G12,
G13
November 23, 2004
Real Return Bonds: Monetary Policy Credibility and Short-Term Inflation Forecasting
The break-even inflation rate (BEIR) is calculated by comparing the yields on conventional and Real Return Bonds. Defined as the average rate of inflation that equates the expected returns on these two bonds, the BEIR has the potential to contain useful information about long-run inflation expectations. Yet the BEIR has been higher, on average, and more variable than survey measures of inflation expectations, which may be explained by the effects of premiums and distortions embedded in the BEIR. Because of the difficulty in accounting for these distortions, the BEIR should not be given a large weight as a measure of long-run inflation expectations at this time. However, as the Real Return Bond market continues to develop, the BEIR should become a more useful indicator of inflation expectations. At present, it demonstrates no clear advantage over survey measures and even past inflation rates in forecasting near-term inflation.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Inflation and prices,
Interest rates,
Market structure and pricing
Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate
Staff Working Paper 2004-43
Ian Christensen,
Christopher Reid,
Frédéric Dion
According to the Fisher hypothesis, the gap between Canadian nominal and Real Return Bond yields (or break-even inflation rate) should be a good measure of inflation expectations.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Interest rates,
Market structure and pricing
JEL Code(s):
E,
E3,
E31,
E4,
E43
International Equity Flows and Returns: A Quantitative Equilibrium Approach
Staff Working Paper 2004-42
Rui Albuquerque,
Martin Schneider,
Gregory Bauer
The authors model trading by foreign and domestic investors in developed-country equity markets.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics,
Market structure and pricing
JEL Code(s):
F,
F3,
F30,
G,
G1,
G12,
G14,
G15