Liquidity, Risk, and Return: Specifying an Objective Function for the Management of Foreign Reserves Staff Discussion Paper 2010-13 Yuliya Romanyuk An objective function is a key component of a strategic portfolio management model used to determine the optimal allocations of assets and, possibly, their associated liabilities over some investment horizon. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Foreign reserves management JEL Code(s): G, G1, G11
Fragility of Resale Markets for Securitized Assets and Policy of Asset Purchases Staff Working Paper 2016-46 Martin Kuncl Markets for securitized assets were characterized by high liquidity prior to the recent financial crisis and by a sudden market dry-up at the onset of the crisis. A general equilibrium model with heterogeneous investment opportunities and information frictions predicts that, in boom periods or mild recessions, the degree of adverse selection in resale markets for securitized assets is limited because of the reputation-based guarantees by asset originators. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial markets, Financial stability, Financial system regulation and policies JEL Code(s): E, E3, E32, E5, G, G0, G01, G2
Let’s Get Physical: Impacts of Climate Change Physical Risks on Provincial Employment Staff Working Paper 2024-32 Thibaut Duprey, Soojin Jo, Geneviève Vallée We analyze 40 years’ worth of natural disasters using a local projection framework to assess their impact on provincial labour markets in Canada. We find that disasters decrease hours worked within a week and lower wage growth in the medium run. Our study highlights that disasters affect vulnerable workers through the income channel. Content Type(s): Staff research, Staff working papers Research Topic(s): Climate change, Labour markets, Regional economic developments JEL Code(s): C, C3, C33, E, E2, E24, J, J3, Q, Q5, Q54
November 17, 1999 Monetary Policy Report – November 1999 Since the May Report, the international economic environment has continued to improve. Economic activity abroad grew faster than expected, while inflation in the major economies remained subdued. Content Type(s): Publications, Monetary Policy Report
Home Equity Extraction and the Boom-Bust Cycle in Consumption and Residential Investment Staff Working Paper 2018-6 Xiaoqing Zhou The consumption boom-bust cycle in the 2000s coincided with large fluctuations in the volume of home equity borrowing. Contrary to conventional wisdom, I show that homeowners largely borrowed for residential investment and not consumption. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Economic models, Housing JEL Code(s): D, D1, E, E2, E3
Can the Business Outlook Survey Help Improve Estimates of the Canadian Output Gap? Staff Discussion Paper 2020-14 Calista Cheung, Luke Frymire, Lise Pichette We investigate whether questions in the Bank of Canada’s Business Outlook Survey can provide useful signals for the output gap. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Business fluctuations and cycles, Central bank research, Economic models, Monetary policy and uncertainty, Potential output JEL Code(s): E, E3
The Private Equity Premium Puzzle Revisited Staff Working Paper 2011-6 Katya Kartashova In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the authors’ methodology I replicate the original findings from the Survey of Consumer Finances (SCF) for the period 1989–1998 and show that the returns to private and public equity are similar. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Interest rates, Recent economic and financial developments JEL Code(s): G, G1, G11, G12, G2, G24, G3, G31, G32
A vision for IMF Surveillance Staff Working Paper 2007-37 Robert Lavigne, Philipp Maier, Eric Santor The ongoing review of the IMF, initiated in 2005 by Managing Director De Rato, presents an excellent opportunity to re-examine the role, functions and governance of the Fund. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, International topics JEL Code(s): F, F3, F33
Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures Staff Working Paper 2007-25 Alejandro García, Ramazan Gençay We propose a framework that allows a portfolio manager to quantify the probability of simultaneous losses in multiple assets of a collateral portfolio. Using this framework, we propose a methodology to conduct stress tests on the market value of the portfolio of collateral when undesirable extreme dependence occurs. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, Financial stability JEL Code(s): C, C1, C10, G, G0, G00, G1, G10