Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1324
result(s)
The Private Equity Premium Puzzle Revisited
Staff Working Paper 2011-6
Katya Kartashova
In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the authors’ methodology I replicate the original findings from the Survey of Consumer Finances (SCF) for the period 1989–1998 and show that the returns to private and public equity are similar.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Interest rates,
Recent economic and financial developments
JEL Code(s):
G,
G1,
G11,
G12,
G2,
G24,
G3,
G31,
G32
Private Information Flow and Price Discovery in the U.S. Treasury Market
Staff Working Paper 2011-5
George Jiang,
Ingrid Lo
Existing studies show that U.S. Treasury bond price changes are mainly driven by public information shocks, as manifested in macroeconomic news announcements and events. The literature also shows that heterogeneous private information contributes significantly to price discovery for U.S. Treasury securities.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G12,
G14
Counterfeit Quality and Verification in a Monetary Exchange
Staff Working Paper 2011-4
Ben Fung,
Enchuan Shao
Recent studies on counterfeiting in a monetary search framework show that counterfeiting does not occur in a monetary equilibrium. These findings are inconsistent with the observation that counterfeiting of bank notes has been a serious problem in some countries.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes
JEL Code(s):
D,
D8,
D82,
D83,
E,
E4,
E42,
E5,
E50
Discounting in Mortgage Markets
Staff Working Paper 2011-3
Jason Allen,
Robert Clark,
Jean-François Houde
This paper studies discounting in mortgage markets. Using transaction-level data on Canadian mortgages, we document that over time there's been an increase in the average discount, along with substantial dispersion.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial services
JEL Code(s):
D,
D4,
G,
G2,
G21,
L,
L0
The Impact of the Global Business Cycle on Small Open Economies: A FAVAR Approach for Canada
Staff Working Paper 2011-2
Garima Vasishtha,
Philipp Maier
Building on the growing evidence on the importance of large data sets for empirical macroeconomic modeling, we use a factor-augmented VAR (FAVAR) model with more than 260 series for 20 OECD countries to analyze how global developments affect the Canadian economy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C3,
C32,
F,
F4,
F41
Building New Plants or Entering by Acquisition? Estimation of an Entry Model for the U.S. Cement Industry
Staff Working Paper 2011-1
Héctor Pérez Saiz
In many industries, firms usually have two choices when expanding into new markets: They can either build a new plant (greenfield entry) or they can acquire an existing incumbent. In the U.S. cement industry, the comparative advantage (e.g., TFP or size) of entrants versus incumbents and regulatory entry barriers are important factors that determine the means of expansion.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Market structure and pricing,
Productivity
JEL Code(s):
L,
L1,
L13,
L4,
L40,
L6,
L61
The Propagation of U.S. Shocks to Canada: Understanding the Role of Real-Financial Linkages
Staff Working Paper 2010-40
Kimberly Beaton,
René Lalonde,
Stephen Snudden
This paper examines the transmission of U.S. real and financial shocks to Canada and, in particular, the role of financial frictions in affecting the transmission of these shocks. These questions are addressed within the Bank of Canada's Global Economy Model (de Resende et al. forthcoming), a dynamic stochastic general-equilibrium model with an active banking sector and a detailed role for financial frictions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
International topics
JEL Code(s):
E,
E2,
E21,
E27,
E3,
E32,
F,
F3,
F36,
F4,
F40
Leverage, Balance Sheet Size and Wholesale Funding
Staff Working Paper 2010-39
H. Evren Damar,
Césaire Meh,
Yaz Terajima
Some evidence points to the procyclicality of leverage among financial institutions leading to aggregate volatility. This procyclicality occurs when financial institutions finance their assets with non-equity funding (i.e., debt financed asset expansions). Wholesale funding is an important source of market-based funding that allows some institutions to quickly adjust their leverage.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Financial system regulation and policies,
Recent economic and financial developments
JEL Code(s):
G,
G2,
G21,
G28
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