Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1304
result(s)
Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective
Staff Working Paper 2006-48
David Bolder
Modelling term-structure dynamics is an important component in measuring and managing the exposure of portfolios to adverse movements in interest rates.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Interest rates
JEL Code(s):
C,
C0,
C6,
E,
E4,
G,
G1
Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector
Staff Working Paper 2006-47
Miroslav Misina,
David Tessier,
Shubhasis Dey
Stress testing, at its most general level, is an investigation of the performance of an entity under abnormal operating conditions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
C,
C1,
C15,
G,
G2,
G21,
G3,
G33
Survey-Based Estimates of the Term Structure of Expected U.S. Inflation
Staff Working Paper 2006-46
Sharon Kozicki,
P. A. Tinsley
Surveys provide direct information on expectations, but only short histories are available at quarterly frequencies or for long-horizon expectations.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Inflation targets,
Monetary policy and uncertainty
JEL Code(s):
E,
E3,
E5
The Role of Debt and Equity Finance over the Business Cycle
Staff Working Paper 2006-45
Francisco Covas,
Wouter den Haan
The authors show that debt and equity issuance are procyclical for most listed U.S. firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Financial stability
JEL Code(s):
E,
E3,
G,
G1,
G3
The Long-Term Effects of Cross-Listing, Investor Recognition, and Ownership Structure on Valuation
Staff Working Paper 2006-44
Michael R. King,
Dan Segal
The authors show that the widening of a foreign firm's U.S. investor base and the improved information environment associated with cross-listing on a U.S. exchange each have a separately identifiable effect on a firm's valuation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G1,
G12,
G15
Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets
Staff Working Paper 2006-43
Alexander Melnikov,
Yuliya Romanyuk
The authors use the efficient hedging methodology for optimal pricing and hedging of equity-linked life insurance contracts whose payoff depends on the performance of several risky assets.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
D,
D8,
D81,
G,
G1,
G10,
G12
Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model
Staff Working Paper 2006-42
Céline Gauthier,
Fuchun Li
The authors estimate a small monthly macroeconometric model (BEAM, for bonds, equity, and money) of the Canadian economy built around three cointegrating relationships linking financial and real variables over the 1975–2002 period.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
C,
C5,
E,
E4
An Optimized Monetary Policy Rule for ToTEM
Staff Working Paper 2006-41
Jean-Philippe Cayen,
Amy Corbett,
Patrick Perrier
The authors propose a monetary policy rule for the Terms-of-Trade Economic Model (ToTEM), the Bank of Canada's new projection and policy-analysis model for the Canadian economy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
E,
E5,
E52
Education and Self-Employment: Changes in Earnings and Wealth Inequality
Staff Working Paper 2006-40
Yaz Terajima
The author quantitatively studies the interaction between education and occupation choices and its implication for the relationship between the changes in earnings inequality and the changes in wealth inequality in the United States over the 1983–2001 period.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Labour markets
JEL Code(s):
D,
D3,
D31,
I,
I2,
I21,
J,
J2,
J23