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2360
result(s)
A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
Staff Working Paper 2016-18
Christiane Baumeister,
Lutz Kilian
Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C5,
C53,
D,
D8,
D84,
G,
G1,
G14,
Q,
Q4,
Q43
Opaque Assets and Rollover Risk
Staff Working Paper 2016-17
Benjamin Nelson,
Toni Ahnert
We model the asset-opacity choice of an intermediary subject to rollover risk in wholesale funding markets. Greater opacity means investors form more dispersed beliefs about an intermediary’s profitability.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
G,
G0,
G01,
G2
Asset Encumbrance, Bank Funding and Financial Fragility
Staff Working Paper 2016-16
Kartik Anand,
Prasanna Gai,
James Chapman,
Toni Ahnert
In this piece we show that a limit on the level of asset encumbrance and minimum capital requirements are effective tools for minimizing the incentive for banks to take excessive risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
D,
D8,
D82,
G,
G0,
G01,
G2,
G21,
G28
April 2016 Annual Reassessment of Potential Output in Canada
Staff Analytical Note 2016-4
Andrew Agopsowicz,
Dany Brouillette,
Shutao Cao,
Natalia Kyui,
Pierre St-Amant
This note summarizes the Bank of Canada’s 2016 annual reassessment of potential output growth, which is projected to be 1.5 per cent over 2016–18 and 1.6 per cent in 2019–20. This projection is weaker than the one presented in the April 2015 Monetary Policy Report.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Labour markets,
Potential output,
Productivity
How Fast Can China Grow? The Middle Kingdom’s Prospects to 2030
Staff Working Paper 2016-15
Jeannine Bailliu,
Mark Kruger,
Argyn Toktamyssov,
Wheaton Welbourn
Given its size and importance for global commodity markets, the question of how fast the Chinese economy can grow over the medium term is an important one. This paper addresses this question by examining the evolution of the supply side of the Chinese economy over history and projecting how it will evolve over the next 15 years.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Development economics,
International topics,
Potential output,
Productivity
JEL Code(s):
E,
E2,
E22,
E23,
E3,
E32,
O4
A Bitcoin Standard: Lessons from the Gold Standard
Staff Working Paper 2016-14
Warren E. Weber
This paper imagines a world in which countries are on the Bitcoin standard, a monetary system in which all media of exchange are Bitcoin or are backed by it. The paper explores the similarities and differences between the Bitcoin standard and the gold standard and describes the media of exchange that would exist under the Bitcoin standard.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Digital currencies and fintech,
Exchange rates,
Financial services,
Inflation and prices
JEL Code(s):
E,
E4,
E41,
E42,
E5,
E58
Canadian Labour Market Dispersion: Mind the (Shrinking) Gap
Staff Analytical Note 2016-3
David Amirault,
Naveen Rai
Shocks to a currency area can and often do have asymmetric impacts on its regions that, in the absence of perfect labour mobility, lead to gaps in relative labour market performance. Witness, for example, the effects of the 2008/09 recession and subsequent financial crisis in Europe on the dispersion of employment rates across the euro area – and to a lesser extent the United States.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Labour markets,
Regional economic developments
JEL Code(s):
J,
J0,
J01,
R,
R2,
R23
Government Corruption and Foreign Direct Investment Under the Threat of Expropriation
Staff Working Paper 2016-13
Christopher Hajzler,
Jonathan Rosborough
Foreign investment is often constrained by two forms of political risk: expropriation and corruption. We examine the role of government corruption in foreign direct investment (FDI) when contracts are not fully transparent and investors face the threat of expropriation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Development economics,
Economic models,
International topics
JEL Code(s):
F,
F2,
F21,
F23,
F3,
F34
Capital Structure, Pay Structure and Job Termination
Staff Working Paper 2016-12
Jason Allen,
James R. Thompson
We develop a model to analyze the link between financial leverage, worker pay structure and the risk of job termination. Contrary to the conventional view, we show that even in the absence of any agency problem among workers, variable pay can be optimal despite workers being risk averse and firms risk neutral.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Labour markets
JEL Code(s):
G,
G2,
G24,
J,
J3,
J33