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3045 Results

Risk Sharing in the Presence of a Public Good

Staff Working Paper 2015-27 Josef Schroth
This paper studies an economy where agents can spend resources on consuming a private good and on funding a public good. There is asymmetric information regarding agents’ relative preference for private versus public good consumption.

Complex Ownership and Capital Structure

Staff Working Paper 2009-12 Teodora Paligorova, Zhaoxia Xu
This paper investigates the impact of pyramid ownership structure and multiple controlling shareholders on firm leverage. Pyramids, having at least one controlling shareholder and a subsidiary, rely significantly more on debt financing than non-pyramid firms.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, International topics JEL Code(s): G, G3, G31, G32
March 9, 2010

Monetary Policy Rules in an Uncertain Environment

This article examines recent research on the influence of various forms of economic uncertainty on the performance of different classes of monetary policy rules: from simple rules to fully optimal monetary policy under commitment. The authors explain why uncertainty matters in the design of monetary policy rules and provide quantitative examples from the recent literature. They also present results for several policy rules in ToTEM, the Bank of Canada's main model for projection and analysis, including rules that respond to price level, rather than to inflation.

On the Importance of Sales for Aggregate Price Flexibility

Staff Working Paper 2014-45 Oleksiy Kryvtsov, Nicolas Vincent
Macroeconomists have traditionally ignored the behavior of temporary price markdowns (“sales”) by retailers. Although sales are common in the micro price data, they are assumed to be unrelated to macroeconomic phenomena and generally filtered out.

The Canadian Debt-Strategy Model: An Overview of the Principal Elements

Staff Discussion Paper 2011-3 David Bolder, Simon Deeley
The Canadian Debt Strategy Model helps debt managers determine their optimal financing strategy. The model’s code and documentation are available to the public.

Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model

Staff Working Paper 1999-19 John Knight, Fuchun Li, Mingwei Yuan
Diffusion functions in term-structure models are measures of uncertainty about future price movements and are directly related to the risk associated with holding financial securities. Correct specification of diffusion functions is crucial in pricing options and other derivative securities. In contrast to the standard parametric two-factor models, we propose a non-parametric two-factor term-structure model that […]
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