Search

Content Types

Topics

JEL Codes

Locations

Departments

Authors

Sources

Statuses

Published After

Published Before

47 Results

Efficiency and Bargaining Power in the Interbank Loan Market

Staff Working Paper 2012-29 Jason Allen, James Chapman, Federico Echenique, Matthew Shum
Using detailed loan transactions-level data we examine the efficiency of an overnight interbank lending market, and the bargaining power of its participants. Our analysis relies on the equilibrium concept of the core, which imposes a set of no-arbitrage conditions on trades in the market.

Covariates Hiding in the Tails

Staff Working Paper 2021-45 Milian Bachem, Lerby Ergun, Casper G. de Vries
We characterize the bias in cross-sectional Hill estimates caused by common underlying factors and propose two simple-to-implement remedies. To test for the presence, direction and size of the bias, we use monthly US stock returns and annual US Census county population data.
Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C0, C01, C1, C14, C5, C58

Central Bank Communication or the Media’s Interpretation: What Moves Markets?

Staff Working Paper 2012-9 Scott Hendry
The goal of this paper is to investigate what type of information from Bank of Canada communication statements or the market commentary based on these statements has a significant effect on the volatility or level of returns in a short-term interest rate market.
Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets JEL Code(s): E, E5, E58, G, G1, G14

Sources of Borrowing and Fiscal Multipliers

Staff Working Paper 2018-32 Romanos Priftis, Srecko Zimic
This paper finds that debt-financed government spending multipliers vary considerably depending on the location of the debt buyer. In a sample of 33 countries, we find that government spending multipliers are larger when government purchases are financed by issuing debt to foreign investors (non-residents), compared with when government purchases are financed by issuing debt to home investors (residents).

What Fed Funds Futures Tell Us About Monetary Policy Uncertainty

Staff Working Paper 2016-61 Jean-Sébastien Fontaine
The uncertainty around future changes to the Federal Reserve target rate varies over time. In our results, the main driver of uncertainty is a “path” factor signaling information about future policy actions, which is filtered from federal funds futures data.
Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets, Interest rates JEL Code(s): E, E4, E43, E44, E47, G, G1, G12, G13

Trade and Diffusion of Embodied Technology: An Empirical Analysis

Using data from patents, citations, inter-sectoral sales and customs, we examine the international diffusion of technology through imports of sectoral knowledge and production inputs. We develop an instrumental variable strategy to identify the causal effects of technology embodied in imports on innovation and diffusion outcomes.

Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields

Staff Working Paper 2012-37 Bruno Feunou, Jean-Sébastien Fontaine
We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk premiums when real bonds or inflation swaps are unavailable or unreliable due to their relative illiquidity.

Risk, Entropy, and the Transformation of Distributions

Staff Working Paper 2002-11 Mark Reesor, Don McLeish
The exponential family, relative entropy, and distortion are methods of transforming probability distributions. We establish a link between those methods, focusing on the relation between relative entropy and distortion.
October 18, 2004

Review of the Government of Canada Debt Distribution Framework

As part of their regular review of debt management policies and programs, the Department of Finance and the Bank of Canada, on behalf of the Government of Canada, are seeking the views of interested parties on the design of the framework for distributing the government's debt securities.
Go To Page