Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1304
result(s)
Regime Switches in the Risk-Return Trade-Off
Staff Working Paper 2013-51
Eric Ghysels,
Pierre Guérin,
Massimiliano Marcellino
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
G,
G1,
G10,
G12
Funding Advantage and Market Discipline in the Canadian Banking Sector
Staff Working Paper 2013-50
Mehdi Beyhaghi,
Chris D'Souza,
Gordon S. Roberts
We employ a comprehensive data set and a variety of methods to provide evidence on the magnitude of large banks’ funding advantage in Canada, and on the extent to which market discipline exists across different securities issued by the Canadian banks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Interest rates
JEL Code(s):
G,
G0,
G01,
G2,
G21,
G28,
G3,
G32,
G33
A Distributional Approach to Realized Volatility
Staff Working Paper 2013-49
Selma Chaker,
Nour Meddahi
This paper proposes new measures of the integrated variance, measures which use high-frequency bid-ask spreads and quoted depths. The traditional approach assumes that the mid-quote is a good measure of frictionless price.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C14,
C5,
C51,
C58
Volatility Forecasting when the Noise Variance Is Time-Varying
Staff Working Paper 2013-48
Selma Chaker,
Nour Meddahi
This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the noise variance is related to the true return volatility.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C14,
C5,
C51,
C58
CoMargin
Staff Working Paper 2013-47
Jorge Cruz Lopez,
Jeffrey H. Harris,
Christophe Hurlin,
Christophe Pérignon
We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial institutions,
Financial markets,
Financial stability
JEL Code(s):
G,
G1,
G13
Heterogeneous Returns to U.S. College Selectivity and the Value of Graduate Degree Attainment
Staff Working Paper 2013-46
Mai Seki
Existing studies on the returns to college selectivity have mixed results, mainly due to the difficulty of controlling for selection into more-selective colleges based on unobserved ability.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Labour markets
JEL Code(s):
C,
C3,
C30,
I,
I2,
I21
Expansion of Higher Education, Employment and Wages: Evidence from the Russian Transition
Staff Working Paper 2013-45
Natalia Kyui
This paper analyzes the effects of an educational system expansion on labour market outcomes, drawing upon a 15-year natural experiment in the Russian Federation. Regional increases in student intake capacities in Russian universities, a result of educational reforms, provide a plausibly exogenous variation in access to higher education.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Development economics,
Labour markets
JEL Code(s):
I,
I2,
I20,
J,
J2,
J24
Expectations and Monetary Policy: Experimental Evidence
Staff Working Paper 2013-44
Oleksiy Kryvtsov,
Luba Petersen
The effectiveness of monetary policy depends, to a large extent, on market expectations of its future actions. In a standard New Keynesian business-cycle model with rational expectations, systematic monetary policy reduces the variance of inflation and the output gap by at least two-thirds.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Monetary policy implementation,
Monetary policy transmission
JEL Code(s):
C,
C9,
D,
D8,
D84,
E,
E3,
E5,
E52
Perceived Inflation Persistence
Staff Working Paper 2013-43
Monica Jain
The Survey of Professional Forecasters (SPF) has had vast influence on research related to better understanding expectation formation and the behaviour of macroeconomic agents. Inflation expectations, in particular, have received a great deal of attention, since they play a crucial role in determining real interest rates, the expectations-augmented Phillips curve and monetary policy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Inflation and prices
JEL Code(s):
E,
E3,
E31,
E37