Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1304
result(s)
Measuring Interest Rate Expectations in Canada
Staff Working Paper 2003-26
Grahame Johnson
Financial market expectations regarding future policy actions by the Bank of Canada are an important input into the Bank's decision-making process, and they can be measured using a variety of sources. The author develops a simple expectations-based model to focus on measuring interest rate expectations that are implied by the current level of money market yields.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Interest rates
JEL Code(s):
G,
G1
Income Trusts - Understanding the Issues
Staff Working Paper 2003-25
Michael R. King
An income trust is an investment vehicle that distributes cash generated by a set of operating assets in a tax-efficient manner. The market capitalization of income trusts has grown rapidly over the past two years, reaching $45 billion at year-end 2002.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G3
Forecasting and Analyzing World Commodity Prices
Staff Working Paper 2003-24
René Lalonde,
Zhenhua Zhu,
Frédérick Demers
The authors develop simple econometric models to analyze and forecast two components of the Bank of Canada commodity price index: the Bank of Canada non-energy (BCNE) commodity prices and the West Texas Intermediate crude oil price. They present different methodologies to identify transitory and permanent components of movements in these prices.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C5
What Does the Risk-Appetite Index Measure?
Staff Working Paper 2003-23
Miroslav Misina
Explanations of changes in asset prices as being due to exogenous changes in risk appetite, although arguably controversial, have been popular in the financial community and have also received some attention in attempts to account for recent financial crises. Operational versions of these explanations are based on the assumption that changes in asset prices can be decomposed into a part that can be attributed to changes in riskiness and a part attributable to changes in risk aversion, and that some quantitative measure can capture these effects in isolation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets
JEL Code(s):
G,
G1,
G12
The Construction of Continuity-Adjusted Monetary Aggregate Components
Staff Working Paper 2003-22
Jeannie Kottaras
Changes in the financial industry result in new data that are inconsistent with the former presentation, and therefore adjustments are required to "adjust" or smooth out these breaks to establish continuity.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary aggregates
JEL Code(s):
E,
E5,
E51
Dynamic Factor Analysis for Measuring Money
Staff Working Paper 2003-21
Paul Gilbert,
Lise Pichette
Technological innovations in the financial industry pose major problems for the measurement of monetary aggregates. The authors describe work on a new measure of money that has a more satisfactory means of identifying and removing the effects of financial innovations.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Monetary aggregates,
Monetary and financial indicators
JEL Code(s):
C,
C4,
C43,
C8,
C82,
E,
E5,
E51
The U.S. Stock Market and Fundamentals: A Historical Decomposition
Staff Working Paper 2003-20
David Dupuis,
David Tessier
The authors identify the fundamentals behind the dynamics of the U.S. stock market over the past 30 years. They specify a structural vector-error-correction model following the methodology of King, Plosser, Stock, and Watson (1991).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G1
A Small Dynamic Hybrid Model for the Euro Area
Staff Working Paper 2003-19
Ramdane Djoudad,
Céline Gauthier
The authors estimate and solve a small structural model for the euro area over the 1983–2000 period. Given the assumption of rational expectations, the model implies a set of orthogonality conditions that provide the basis for estimating the model's parameter by generalized method of moments.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy transmission
JEL Code(s):
E,
E3,
E31
Technological Change and the Education Premium in Canada: Sectoral Evidence
Staff Working Paper 2003-18
Jean Farès,
Terence Yuen
It has been well documented that the education premium measured by the wage difference between university and high school graduates has remained constant over the past two decades in Canada. Despite this stable pattern at the aggregate level, skill-biased technology could have important implications for the inter-industry wage structure.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Labour markets
JEL Code(s):
J,
J3,
J31,
O,
O3,
O30