Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1323
result(s)
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
Trade Credit and Credit Rationing in Canadian Firms
Staff Working Paper 2004-49
Rose Cunningham
Burkart and Ellingsen's (2004) model of trade credit and bank credit rationing predicts that trade credit will be used by medium-wealth and low-wealth firms to help ease bank credit rationing.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial markets
JEL Code(s):
G,
G1,
G14,
G2,
G21,
G3,
G32
An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates
Staff Working Paper 2004-48
David Bolder,
Adam Metzler,
Grahame Johnson
Zero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and economics.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Interest rates
JEL Code(s):
C,
C0,
C6,
E,
E4,
G,
G1
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
Une approche éclectique d'estimation du PIB potentiel pour le Royaume-Uni
Staff Working Paper 2004-46
Charles St-Arnaud
The author describes results obtained by using a new methodology to estimate potential output for the United Kingdom.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Potential output
JEL Code(s):
C,
C3,
C32,
E,
E2,
E23,
E3,
E32
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
The Transmission of World Shocks to Emerging-Market Countries: An Empirical Analysis
Staff Working Paper 2004-44
Brigitte Desroches
The first step in designing effective policies to stabilize an economy is to understand business cycles. No country is isolated from the world economy and external shocks are becoming increasingly important.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rate regimes,
International topics,
Monetary policy transmission
JEL Code(s):
E,
E3,
E30,
E32,
E6,
E61,
F,
F0,
F02
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