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449
result(s)
Central Bank Communication or the Media’s Interpretation: What Moves Markets?
Staff Working Paper 2012-9
Scott Hendry
The goal of this paper is to investigate what type of information from Bank of Canada communication statements or the market commentary based on these statements has a significant effect on the volatility or level of returns in a short-term interest rate market.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets
JEL Code(s):
E,
E5,
E58,
G,
G1,
G14
Macroprudential Rules and Monetary Policy when Financial Frictions Matter
Staff Working Paper 2012-6
Jeannine Bailliu,
Césaire Meh,
Yahong Zhang
This paper examines the interaction between monetary policy and macroprudential policy and whether policy makers should respond to financial imbalances. To address this issue, we build a dynamic general equilibrium model that features financial market frictions and financial shocks as well as standard macroeconomic shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets,
Financial stability,
Monetary policy framework
JEL Code(s):
E,
E4,
E42,
E5,
E50,
E6,
E60
February 23, 2012
Medium-Term Fluctuations in Canadian House Prices
This article draws on theory and empirical evidence to examine a number of factors behind movements in Canadian house prices. It begins with an overview of the movements in house prices in Canada, using regional data to highlight factors that influence prices over the long run. It then turns to the central theme, that there are medium-run movements in prices not accounted for by long-run factors. Drawing on recent Bank of Canada research, the article discusses several factors behind these medium-run movements, including interest rates, expected price appreciation and market liquidity. The article concludes by identifying areas for future research that would further our understanding of fluctuations in house prices.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Asset pricing,
Econometric and statistical methods,
Market structure and pricing
JEL Code(s):
R,
R2,
R21,
R3,
R31
Trading Dynamics with Adverse Selection and Search: Market Freeze, Intervention and Recovery
Staff Working Paper 2011-30
Jonathan Chiu,
Thorsten Koeppl
We study the trading dynamics in an asset market where the quality of assets is private information of the owner and finding a counterparty takes time. When trading of a financial asset ceases in equilibrium as a response to an adverse shock to asset quality, a large player can resurrect the market by buying up lemons which involves assuming financial losses.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
E,
E6,
G,
G1
Financial Frictions, Financial Shocks and Labour Market Fluctuations in Canada
Staff Discussion Paper 2011-10
Yahong Zhang
What are the effects of financial market imperfections on unemployment and vacancies in Canada? The author estimates the model of Zhang (2011) – a standard monetary dynamic stochastic general-equilibrium model augmented with explicit financial and labour market frictions – with Canadian data for the period 1984Q2–2010Q4, and uses it to examine the importance of financial shocks on labour market fluctuations in Canada.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Economic models,
Financial markets,
Labour markets
JEL Code(s):
E,
E3,
E32,
E4,
E44,
J,
J6
Portfolio Considerations in Differentiated Product Purchases: An Application to the Japanese Automobile Market
Staff Working Paper 2011-27
Naoki Wakamori
Consumers often purchase more than one differentiated product, assembling a portfolio, which might potentially affect substitution patterns of demand and, as a consequence, oligopolistic firms’ pricing strategies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Market structure and pricing
JEL Code(s):
D,
D4,
L,
L5,
Q,
Q5
Security Transaction Taxes and Market Quality
Staff Working Paper 2011-26
Anna Pomeranets,
Daniel G. Weaver
We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask spreads, lower volume, and increased price impact of trades.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Market structure and pricing
JEL Code(s):
C,
C4,
C43,
G,
G1,
G10,
G12
Determinants of Financial Stress and Recovery during the Great Recession
Staff Working Paper 2011-24
Joshua Aizenman,
Gurnain Pasricha
In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size of the peak-trough declines in the stock price indices was comparable to that in high income countries, indicating that there was no decoupling, even before Lehman Brothers’ demise.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Balance of payments and components,
Financial markets,
International topics
JEL Code(s):
F,
F3,
F32,
G,
G1,
G15
August 18, 2011
Mortgage Debt and Procyclicality in the Housing Market
This article focuses on the role that loans backed by housing collateral play in amplifying housing booms and, more generally, procyclicality in the housing market. The author uses a model developed to include borrower and lender households, as well as a housing market, to examine the impact that altering the loan-to-value ratio (either permanently or countercyclically) might have on the volatility of house prices and mortgage debt.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Economic models,
Financial system regulation and policies,
Market structure and pricing