SME Failures Under Large Liquidity Shocks: An Application to the COVID-19 Crisis Staff working paper 2023-32 Pierre-Olivier Gourinchas, Şebnem Kalemli-Özcan, Veronika Penciakova, Nicholas Sander We study the effects of financial frictions on firm exit when firms face large liquidity shocks. We develop a simple model of firm cost-minimization that introduces a financial friction that limits firms’ borrowing capacity to smooth temporary shocks to liquidity. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D2, D21, D22, E, E6, E65, H, H8, H81 Research Theme(s): Financial system, Financial stability and systemic risk, Household and business credit, Monetary policy, Real economy and forecasting
Fiscal Stimulus and Skill Accumulation over the Life Cycle Staff working paper 2023-9 Laure Simon Using micro data from the U.S. Consumer Expenditure Survey and Current Population Survey, I document that government spending shocks affect individuals differently over the life cycle. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D1, D12, D15, E, E2, E21, E6, E62, J, J1, J11, J2, J24 Research Theme(s): Models and tools, Economic models, Monetary policy, Real economy and forecasting, Structural challenges, Demographics and labour supply
December 23, 2004 A Taxonomy of Market Efficiency Financial System Review - December 2004 Gregory Bauer Content Type(s): Publications, Financial System Review articles
The Political Impact of Immigration: Evidence from the United States Staff working paper 2018-19 Anna Maria Mayda, Giovanni Peri, Walter Steingress In this paper we study the impact of immigration to the United States on the vote for the Republican Party by analyzing county-level data on election outcomes between 1990 and 2010. Our main contribution is to separate the effect of high-skilled and low-skilled immigrants, by exploiting the different geography and timing of the inflows of these two groups of immigrants. Content Type(s): Staff research, Staff working papers JEL Code(s): F, F2, F22, J, J6, J61 Research Theme(s): Monetary policy, Real economy and forecasting, Structural challenges, Demographics and labour supply
The Digital Economy—Insight from a Special Survey with IT Service Exporters Staff discussion paper 2016-21 Wei Dong, James Fudurich, Lena Suchanek Information technology (IT) is an increasingly integral part of everyday business and personal life reflecting the ongoing and accelerating digital transformation of the economy. In this paper, we present information gathered from a survey with export-oriented firms in the Canadian IT service industry and consultations with industry associations aimed at shedding light on this small but highly dynamic sector. Content Type(s): Staff research, Staff discussion papers JEL Code(s): D, D2, D22, L, L8, L86, O, O3, O33 Research Theme(s): Structural challenges, Demographics and labour supply, Digitalization and productivity, International trade, finance and competitiveness
How big is cash-futures basis trading in Canada’s government bond market? Staff analytical note 2024-16 Andreas Uthemann, Rishi Vala Cash-futures basis trading has grown alongside the Government of Canada bond futures market. We examine this growth over time in relation to Government of Canada bond and repurchase agreement markets and provide details on the type of market participants that engage in this type of trading activity. Content Type(s): Staff research, Staff analytical notes JEL Code(s): D, D4, D47, D5, D53, G, G1, G12, G2, G23 Research Theme(s): Financial markets and funds management, Market functioning, Market structure, Financial system, Financial stability and systemic risk
April 12, 2006 The Evolution of the Government of Canada's Debt Distribution Framework Bank of Canada Review - Spring 2006 Marc Pellerin This overview includes a brief history highlighting the government's use of the primary and secondary markets to develop a framework for distributing its debt securities to financial market intermediaries and end investors. The framework is also intended to meet the government's debt-strategy objectives of raising stable, low-cost funding and maintaining a well-functioning debt market. Pellerin reviews the government's adoption of a new framework in 1998 as well as the 2005 modifications aimed at attracting continued broad and competitive participation in government auctions. Content Type(s): Publications, Bank of Canada Review articles
Cyclicality of Schooling: New Evidence from Unobserved Components Models Staff working paper 2020-38 Barbara Sadaba, Sunčica Vujič, Sofia Maier What is the time-varying impact of economic cycles on decisions to invest in human capital? Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C32, E, E3, I, I2, J, J2 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
Time-Varying Crash Risk: The Role of Stock Market Liquidity Staff working paper 2016-35 Peter Christoffersen, Bruno Feunou, Yoontae Jeon, Chayawat Ornthanalai We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on return variance once we include market illiquidity as an economic variable in the model. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G0, G01, G1, G12 Research Theme(s): Financial markets and funds management, Market functioning, Market structure, Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods
February 1, 2012 Transparency in the Canadian Fixed-Income Market: Opportunities and Constraints Financial System Review - December 2003 Tran-Minh Vu Content Type(s): Publications, Financial System Review articles