Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1330
result(s)
Impact of Electronic Trading Platforms on the Brokered Interdealer Market for Government of Canada Benchmark Bonds
Staff Working Paper 2007-5
Natasha Khan
This study examines the impact of increased transparency, brought about by the introduction of three electronic trading systems, on the brokered interdealer market for Government of Canada benchmark securities. Using the CanPX dataset for the 2-, 5-, 10-, and 30-year benchmarks, the paper finds some evidence of decreased bid-ask spreads for the 30-year benchmark in the months following the introduction of the electronic platforms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G10,
G14
Price Discovery in Canadian Government Bond Futures and Spot Markets
Staff Working Paper 2007-4
Christopher Chung,
Bryan Campbell,
Scott Hendry
In this paper we look at the relative information content of cash and futures prices for Canadian Government bonds.
We follow the information-share approaches introduced by Hasbrouck (1995) and Harris et al (1995), applying the techniques in Gonzalo-Granger (1995), to evaluate the relative contributions of trading in the cash and futures markets to the price discovery process.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G12,
G13,
G14
Time-Consistent Control in Non-Linear Models
Staff Working Paper 2007-3
Steve Ambler,
Florian Pelgrin
We show how to use optimal control theory to derive optimal time-consistent Markov-perfect government policies in nonlinear dynamic general equilibrium models, extending the result of Cohen and Michel (1988) for models with quadratic objective functions and linear dynamics. We replace private agents' costates by flexible functions of current states in the government's maximization problem.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Fiscal policy,
Monetary policy framework
JEL Code(s):
C,
C6,
C63,
E,
E6,
E61,
E62
Housing Market Cycles and Duration Dependence in the United States and Canada
Staff Working Paper 2007-2
Rose Cunningham,
Ilan Kolet
Housing wealth is a large component of total wealth and plays an important role in aggregate business cycles. In this paper, we explore data on real house price cycles at the aggregate level and city level for the United States and Canada.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods
JEL Code(s):
C,
C4,
C41,
E,
E3,
E32,
R,
R2,
R21
How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables
Staff Working Paper 2007-1
John Galbraith,
Greg Tkacz
For stationary transformations of variables, there exists a maximum horizon beyond which forecasts can provide no more information about the variable than is present in the unconditional mean. Meteorological forecasts, typically excepting only experimental or exploratory situations, are not reported beyond this horizon; by contrast, little generally accepted information about such maximum horizons is available for economic variables.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods
JEL Code(s):
C,
C5,
C53
Canadian City Housing Prices and Urban Market Segmentation
Staff Working Paper 2006-49
Jason Allen,
Robert Amano,
David Byrne,
Allan Gregory
The authors provide a detailed empirical analysis of Canadian city housing prices. They examine the long-run relationship between city house prices in Canada from 1981 to 2005 as well as idiosyncratic relations between city prices and city-specific variables.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Regional economic developments
JEL Code(s):
C,
C2,
C22,
C3,
C32,
R,
R2
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