The Monetary Origins of Asymmetric Information in International Equity Markets
Existing studies using low-frequency data show that macroeconomic shocks contribute little to international stock market covariation.
Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1338
result(s)
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
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
Characterization of the Dynamic Effects of Fiscal Shocks in a Small Open Economy
Staff Working Paper 2004-41
Nooman Rebei
The author studies the macroeconomic consequences of discretionary changes in the fiscal policy instruments for Canada.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Exchange rates,
Fiscal policy
JEL Code(s):
E,
E3,
E32,
E6,
E62
Prévision et analyse de la production manufacturière au Canada : comparaison de modèles linéaires et non linéaires
Staff Working Paper 2004-40
Frédérick Demers
In this paper, the author describes reduced-form linear and non-linear econometric models developed to forecast and analyze quarterly data on output growth in the Canadian manufacturing sector from 1981 to 2003.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods
JEL Code(s):
C,
C2,
C22,
C5,
C53
A Forecasting Model for Inventory Investments in Canada
Staff Working Paper 2004-39
Marwan Chacra,
Maral Kichian
The authors present an empirical model to forecast short-run inventory investment behaviour for Canada.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Domestic demand and components,
Econometric and statistical methods
JEL Code(s):
C,
C5,
C53,
E,
E2,
E22,
E6,
E62
Finance Constraints and Inventory Investment: Empirical Tests with Panel Data
Staff Working Paper 2004-38
Rose Cunningham
The author empirically tests two aspects of the interaction between financial variables and inventory investment: negative cash flow and finance constraints due to asymmetric information.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Financial institutions
JEL Code(s):
E,
E2,
E22,
G,
G1,
G14