Multivariate Realized Stock Market Volatility Staff Working Paper 2007-20 Gregory Bauer, Keith Vorkink We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of both lagged volatility and returns. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C3, C32, C5, C53, G, G1, G14
Trade Credit and Credit Rationing in Canadian Firms Staff Working Paper 2004-49 Rose Cunningham Burkart and Ellingsen's (2004) model of trade credit and bank credit rationing predicts that trade credit will be used by medium-wealth and low-wealth firms to help ease bank credit rationing. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Financial markets JEL Code(s): G, G1, G14, G2, G21, G3, G32
The Role of Bank Capital in the Propagation of Shocks Staff Working Paper 2008-36 Césaire Meh, Kevin Moran Recent events in financial markets have underlined the importance of analyzing the link between the financial health of banks and real economic activity. This paper contributes to this analysis by constructing a dynamic general equilibrium model in which the balance sheet of banks affects the propagation of shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial institutions, Financial system regulation and policies, Monetary policy transmission JEL Code(s): E, E4, E44, E5, E52, G, G2, G21
Fire-Sale FDI or Business as Usual? Staff Working Paper 2013-17 Ron Alquist, Rahul Mukherjee, Linda Tesar Using a new data set, we examine the characteristics and dynamics of cross-border mergers and acquisitions during emerging-market financial crises, that is, so-called “fire-sale FDI.” Our findings shed fresh light on whether the transactions undertaken during crisis periods differ in fundamental ways from those undertaken during more tranquil periods. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, International financial markets, International topics JEL Code(s): F, F2, F21, G, G0, G01, G3, G34
The New Basel Capital Accord and the Cyclical Behaviour of Bank Capital Staff Working Paper 2004-30 Mark Illing, Graydon Paulin The authors conduct a counterfactual simulation of the proposed rules under the new Basel Capital Accord (Basel II), including the revised treatment of expected and unexpected credit losses proposed by the Basel Committee in October 2003. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions JEL Code(s): G, G2, G21, G28, K, K2, K23
Opaque Assets and Rollover Risk Staff Working Paper 2016-17 Benjamin Nelson, Toni Ahnert We model the asset-opacity choice of an intermediary subject to rollover risk in wholesale funding markets. Greater opacity means investors form more dispersed beliefs about an intermediary’s profitability. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability JEL Code(s): G, G0, G01, G2
Modelling and Forecasting Housing Investment: The Case of Canada Staff Working Paper 2005-41 Frédérick Demers The author proposes and evaluates econometric models that try to explain and forecast real quarterly housing expenditures in Canada. Structural and leading-indicator models of the Canadian housing sector are described. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Economic models JEL Code(s): E, E2, E27, R, R2, R21
A Model of Tiered Settlement Networks Staff Working Paper 2008-12 James Chapman, Jonathan Chiu, Miguel Molico This paper develops a model of settlement system to study the endogenous structure of settlement networks, and the welfare consequences of clearing agent failure. The equilibrium degree of tiering is endogenously determined by the cost structure and the information structure. Content Type(s): Staff research, Staff working papers Research Topic(s): Payment clearing and settlement systems JEL Code(s): E, E4, E42, E5, E58, G, G2, G21
On What States Do Prices Depend? Answers from Ecuador Staff Working Paper 2016-43 Craig Benedict, Mario J. Crucini, Anthony Landry In this paper, we argue that differences in the cost structures across sectors play an important role in firms’ decisions to adjust their prices. We develop a menu-cost model of pricing in which retail firms intermediate trade between producers and consumers. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Monetary policy transmission JEL Code(s): E, E3, E5, F, F3, F33
Computing Optimal Policy in a Timeless-Perspective: An Application to a Small-Open Economy Staff Working Paper 2007-32 Michel Juillard, Florian Pelgrin Since the contribution of Kydland and Prescott (1977), it is well known that the optimal Ramsey policy is time inconsistent. In a series of recent contributions, Woodford (2003) proposes a new methodology to circumvent this problem, namely the timeless perspective solution. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework JEL Code(s): C, C6, E, E5, E6