Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1323
result(s)
A Practical Guide to Swap Curve Construction
Staff Working Paper 2000-17
Uri Ron
The swap market has enjoyed tremendous growth in the last decade. With government issues shrinking in supply and increased price volatilities, the swap term structure has emerged as an alternative pricing, benchmark, and hedging mechanism to the government term structure.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
International financial markets
JEL Code(s):
G,
G1,
G12,
G15
Volatility Transmission Between Foreign Exchange and Money Markets
Staff Working Paper 2000-16
Shafiq K. Ebrahim
This paper uses trivariate generalized autoregressive conditional heteroscedasticity (GARCH) models to study price and volatility spillovers between the foreign exchange and associated money markets. Three models are estimated using data on U.S. dollar/Canadian dollar, U.S. dollar/Deutsche mark, and U.S. dollar/Japanese yen daily exchange rate returns together with returns on 90-day Eurodollar, Euro Canada, Euromark, and Euroyen deposits.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International financial markets
JEL Code(s):
G,
G1,
G15
Private Capital Flows, Financial Development, and Economic Growth in Developing Countries
Staff Working Paper 2000-15
Jeannine Bailliu
An important issue in the debate over the desirability of freer capital mobility for developing countries is whether capital flows have significant effects on economic growth. Proponents of capital account liberalization cite the growth-promoting attributes of capital inflows as a key benefit of financial integration for developing countries.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics
JEL Code(s):
F,
F2,
F21,
F4,
F43,
O,
O5,
O50
Employment Effects Of Nominal-Wage Rigidity: An Examination Using Wage-Settlements Data
Staff Working Paper 2000-14
Umar Faruqui
The argument advocating a moderate level of inflation based on the downward nominal-wage rigidity (DNWR) hypothesis rests on three factors: its presence, extent, and negative impact in the labour market. This paper focuses on the employment effect of DNWR.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Labour markets
JEL Code(s):
C,
C2,
C23,
J,
J2,
J23,
J3,
J30
Price Stickiness, Inflation, and Output Dynamics: A Cross-Country Analysis
Staff Working Paper 2000-12
Hashmat Khan
The sticky-price model of aggregate fluctuations implies that countries with high trend inflation rates should exhibit less-persistent output fluctuations than countries with low trend inflation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles
JEL Code(s):
E,
E3,
E31,
E32
Fractional Cointegration and the Demand for M1
Staff Working Paper 2000-13
Greg Tkacz
Using wavelets, the author estimates the fractional order of integration of a common long-run money-demand relationship whose parameters are obtained from a full-information maximum-likelihood procedure.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Monetary aggregates
JEL Code(s):
C,
C1,
C13,
E,
E4,
E41
Identifying Policy-makers' Objectives: An Application to the Bank of Canada
Staff Working Paper 2000-11
Nicholas Rowe,
James Yetman
In this paper, we develop a new way to test hypotheses about policy-makers' targets, and we implement that test for Canadian monetary policy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation targets
JEL Code(s):
E,
E5,
E52,
E6,
E61
Probing Potential Output: Monetary Policy, Credibility, and Optimal Learning under Uncertainty
Staff Working Paper 2000-10
James Yetman
The effective conduct of monetary policy is complicated by uncertainty about the level of potential output, and thus about the size of the monetary policy response that would be sufficient to achieve the targeted inflation rate. One possible response to such uncertainty is for the monetary authority to "probe," interpreted here as actively using its policy response to learn about the level of potential output.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credibility,
Monetary policy and uncertainty,
Potential output
JEL Code(s):
E,
E5,
E52,
E58
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