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287
result(s)
Modelling Risk Premiums in Equity and Foreign Exchange Markets
Staff Working Paper 2000-9
René Garcia,
Maral Kichian
The observed predictability of excess returns in equity and foreign exchange markets has largely been attributed to the presence of time-varying risk premiums in these markets. For example, excess equity returns were found to be explained by various financial and economic variables.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial markets,
Market structure and pricing
JEL Code(s):
E,
E4,
E44,
F,
F3,
F31,
G,
G1,
G12,
G15
Testing the Pricing-to-Market Hypothesis: Case of the Transportation Equipment Industry
Staff Working Paper 2000-8
Lynda Khalaf,
Maral Kichian
Pricing-to-market (PTM) theory suggests that monopolistic firms which export adjust their destination-specific markups in reaction to exchange rate shocks. These adjustments limit changes in the price of their exports.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Market structure and pricing
JEL Code(s):
C,
C1,
C12,
C15,
L,
L1,
L11,
L16
The Employment Costs of Downward Nominal-Wage Rigidity
Staff Working Paper 2000-1
Jean Farès,
Seamus Hogan
In this paper, we use firm-level wage and employment data to address whether there is evidence of downward nominal-wage rigidity, and whether that rigidity is associated with a reduction in employment. We describe an estimation bias that can result when estimating reduced-form wage and employment equations and suggest a way of controlling for that bias. […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Labour markets
JEL Code(s):
C,
C3,
C33,
J,
J2,
J23,
J3,
J31
Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model
Staff Working Paper 1999-19
John Knight,
Fuchun Li,
Mingwei Yuan
Diffusion functions in term-structure models are measures of uncertainty about future price movements and are directly related to the risk associated with holding financial securities. Correct specification of diffusion functions is crucial in pricing options and other derivative securities. In contrast to the standard parametric two-factor models, we propose a non-parametric two-factor term-structure model that […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Market structure and pricing
JEL Code(s):
C,
C1,
C14,
C2,
C22,
G,
G1,
G13
Dynamic Employment and Hours Effects of Government Spending Shocks
Staff Working Paper 1999-1
Mingwei Yuan,
Wenli Li
In this paper, we analyze the dynamic behaviour of employment and hours worked per worker in a stochastic general equilibrium model with a matching mechanism between vacancies and unemployed workers. The model is estimated for the United States using the Generalized Methods of Moments (GMM) estimation technique. An increase in government spending raises hours worked […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Fiscal policy,
Labour markets
JEL Code(s):
E,
E2,
E24,
E3,
E32,
E6,
E62,
J,
J6,
J64
Can a Matching Model Explain the Long-Run Increase in Canada's Unemployment Rate?
Staff Working Paper 1998-19
Andreas Hornstein,
Mingwei Yuan
The authors construct a simple general equilibrium model of unemployment and calibrate it to the Canadian economy. Job creation and destruction are endogenous. In this model, they consider several potential factors that could contribute to the long-run increase in the Canadian unempoloyment rate: a more generous unemployment insurance system, higher layoff costs, higher discretionary taxes, […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Fiscal policy,
Labour markets
JEL Code(s):
E,
E2,
E6,
J,
J4
The Sale of Durable Goods by a Monopolist in a Stochastic Environment
Staff Working Paper 1998-18
Gabriel Srour
This paper examines the sale of durable goods by a monopolist in a stochastic partil equilibrium setting. It analyzes the responses of prices and output to various types of shocks and notes the differences with non-durable goods and competitive markets. It shows that behavior in this model with constant marginal costs of production is in […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Market structure and pricing
JEL Code(s):
D,
D4
August 13, 1998
Labour force participation in Canada: Trends and shifts
A key determinant of the potential growth of an economy is the rate at which the labour force increases, which depends both on population growth and on changes in the participation rate. Cyclical factors related to the economic environment can play a significant role in affecting the participation rate, as can structural factors and demographic trends. From the mid-1970s to the end of the 1980s, the participation rate rose almost without interruption to a record high of 67.5 per cent. In contrast, between 1990 and 1995, it declined sharply and has been relatively steady at around 65 per cent since 1995. In this article, the author analyzes the participation rate of age and gender groupings in order to better understand the factors leading to these developments and their implications for future movements in the aggregate rate. While cyclical factors contributed to the decline in the participation rate in the 1990s, structural factors (such as an increase in school attendance rates and the increasing use of computer technology) and demographic trends (the aging of the population) have had a substantial impact. The conclusion reached is that, while some recovery is to be expected, the aggregate participation rate is unlikely to return to its 1989 peak over the next decade or so.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Labour markets
Les marchés du travail régionaux : une comparaison entre le Canada et les États-Unis
Staff Working Paper 1997-17
Mario Lefebvre
The purpose of this study is to compare the behaviour of regional labour markets in Canada and the United States. The study shows that the degree of persistence of unemployment is significantly higher in the provinces of Canada than it is in the various American regions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Labour markets,
Recent economic and financial developments
JEL Code(s):
E,
E2,
E24