Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1306
result(s)
The Impact of Liquidity on Bank Profitability
Staff Working Paper 2010-38
Étienne Bordeleau,
Christopher Graham
The recent crisis has underlined the importance of sound bank liquidity management. In response, regulators are devising new liquidity standards with the aim of making the financial system more stable and resilient. In this paper, the authors analyse the impact of liquid asset holdings on bank profitability for a sample of large U.S. and Canadian banks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G3,
G32,
G33
'Lean' versus 'Rich' Data Sets: Forecasting during the Great Moderation and the Great Recession
Staff Working Paper 2010-37
Marco J. Lombardi,
Philipp Maier
We evaluate forecasts for the euro area in data-rich and ‘data-lean' environments by comparing three different approaches: a simple PMI model based on Purchasing Managers' Indices (PMIs), a dynamic factor model with euro area data, and a dynamic factor model with data from the euro plus data from national economies (pseudo-real time data).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C5,
C50,
C53,
E,
E3,
E37,
E4,
E47
Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach
Staff Working Paper 2010-36
Sermin Gungor,
Richard Luger
We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of non-normalities, heteroskedasticity, time-varying correlations, and even outliers in the asset returns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C12,
C14,
C3,
C33,
G,
G1,
G11,
G12
Bank Competition and International Financial Integration: Evidence Using a New Index
Staff Working Paper 2010-35
Gurnain Pasricha
This paper finds a strong empirical link between domestic banking sector competitiveness and de facto international integration. De-facto international integration is measured through a new index of financial integration, which measures, for deviations from covered interest parity, the size of no-arbitrage bands and the speed of arbitrage outside the no-arbitrage band.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
International topics
JEL Code(s):
F,
F3,
F32,
G,
G1,
G15,
G2,
G21
Semi-Structural Models for Inflation Forecasting
Staff Working Paper 2010-34
Maral Kichian,
Rumler Fabio,
Paul Corrigan
We propose alternative single-equation semi-structural models for forecasting inflation in Canada, whereby structural New Keynesian models are combined with time-series features in the data. Several marginal cost measures are used, including one that in addition to unit labour cost also integrates relative price shocks known to play an important role in open-economies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Inflation and prices
JEL Code(s):
C,
C1,
C13,
C5,
C53,
E,
E3,
E31
Composition of International Capital Flows: A Survey
Staff Working Paper 2010-33
Koralai Kirabaeva,
Assaf Razin
We survey several key mechanisms that explain the composition of international capital flows: foreign direct investment, foreign portfolio investment and debt flows (bank loans and bonds). In particular, we focus on the following market frictions: asymmetric information in capital markets and exposure to liquidity shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics
JEL Code(s):
D,
D8,
D82,
F,
F2,
F21,
F3,
F34
Adverse Selection, Liquidity, and Market Breakdown
Staff Working Paper 2010-32
Koralai Kirabaeva
This paper studies the interaction between adverse selection, liquidity risk and beliefs about systemic risk in determining market liquidity, asset prices and welfare. Even a small amount of adverse selection in the asset market can lead to fire-sale pricing and possibly to a market breakdown if it is accompanied by a flight-to-liquidity, a misassessment of systemic risk, or uncertainty about asset values.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets,
Financial stability
JEL Code(s):
D,
D8,
D82,
G,
G0,
G01,
G1,
G11
Text Mining and the Information Content of Bank of Canada Communications
Staff Working Paper 2010-31
Scott Hendry,
Alison Madeley
This paper uses Latent Semantic Analysis to extract information from Bank of Canada communication statements and investigates what type of information affects returns and volatility in short-term as well as long-term interest rate markets over the 2002-2008 period.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Monetary policy implementation
JEL Code(s):
E,
E5,
E58,
G,
G1,
G14
On Fiscal Multipliers: Estimates from a Medium Scale DSGE Model
Staff Working Paper 2010-30
Sarah Zubairy
This paper contributes to the debate on fiscal multipliers, in the context of a structural model. I estimate a micro-founded dynamic stochastic general equilibrium model, that features a rich fiscal policy block and a transmission mechanism for government spending shocks, using Bayesian techniques for US data.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Fiscal policy
JEL Code(s):
C,
C1,
C11,
E,
E3,
E32,
E6,
E62,
H,
H3,
H30