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9191 Results

May 16, 2013

Explaining Canada’s Regional Migration Patterns

Understanding the factors that determine the migration of labour between regions is crucial for assessing the economy’s response to macroeconomic shocks and identifying policies that will encourage an efficient reallocation of labour. By examining the determinants of migration within Canada from 1991 to 2006, this article provides evidence that regional differences in employment rates and household incomes tend to increase labour migration, and that provincial borders and language differences are barriers to migration.
May 16, 2013

Modelling the Asset-Allocation and Liability Strategy for Canada’s Foreign Exchange Reserves

The Bank of Canada recently developed an asset-liability-matching model to aid in the management of Canada’s foreign exchange reserves. The model allows policy-makers at the Bank and the Department of Finance to analyze asset-allocation and funding-mix decisions by quantifying both the risk-return and liquidity trade-offs for the assets, as well as the risk-cost trade-offs of the funding liabilities.

Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics

Staff Working Paper 2013-12 Jianjian Jin
This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of risk-neutral and realized volatilities.
Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Economic models JEL Code(s): G, G1, G12, G17

Corporate Governance, Product Market Competition and Debt Financing

Staff Working Paper 2014-5 Teodora Paligorova, Jun Yang
This paper examines the impact of product market competition and corporate governance on the cost of debt financing and the use of bond covenants. We find that more anti-takeover provisions are associated with a lower cost of debt only in competitive industries.
Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): G, G1, G12, G3, G34
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