Risk Premium, Variance Premium and the Maturity Structure of Uncertainty Staff Working Paper 2012-11 Bruno Feunou, Jean-Sébastien Fontaine, Abderrahim Taamouti, Roméo Tedongap Expected returns vary when investors face time-varying investment opportunities. Long-run risk models (Bansal and Yaron 2004) and no-arbitrage affine models (Duffie, Pan, and Singleton 2000) emphasize sources of risk that are not observable to the econometrician. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial services JEL Code(s): G, G1, G12, G13
Preferences, Monetary Policy and Household Inflation Staff Working Paper 2024-45 Geoffrey R. Dunbar I quantify the importance of changes in household preferences on household inflation rates using 11 years of scanner data for 11,000 US households. My results suggest that changes in household preferences are an important driver of inflation dynamics at the household level. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Monetary policy transmission JEL Code(s): D, D1, D12, E, E5, E52, E58
A Consistent Test for Multivariate Conditional Distributions Staff Working Paper 2009-34 Fuchun Li, Greg Tkacz We propose a new test for a multivariate parametric conditional distribution of a vector of variables yt given a conditional vector xt. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, C2, C22
Price Competition and Concentration in Search and Negotiation Markets: Evidence from Mortgage Lending Staff Working Paper 2012-4 Jason Allen, Robert Clark, Jean-François Houde This paper examines the impact of bank consolidation on mortgage rates in order to evaluate the extent to which mortgage markets are competitive. Mortgage markets are decentralized and so rates are determined through a search and negotiation process. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial services, Interest rates JEL Code(s): G, G2, L, L1
The Propagation of U.S. Shocks to Canada: Understanding the Role of Real-Financial Linkages Staff Working Paper 2010-40 Kimberly Beaton, René Lalonde, Stephen Snudden This paper examines the transmission of U.S. real and financial shocks to Canada and, in particular, the role of financial frictions in affecting the transmission of these shocks. These questions are addressed within the Bank of Canada's Global Economy Model (de Resende et al. forthcoming), a dynamic stochastic general-equilibrium model with an active banking sector and a detailed role for financial frictions. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, International topics JEL Code(s): E, E2, E21, E27, E3, E32, F, F3, F36, F4, F40
Cross-Country Estimates of the Degree of Fiscal Dominance and Central Bank Independence Staff Working Paper 2007-36 Carlos De Resende This paper studies the interdependence between fiscal and monetary policies, and their joint role in the determination of the price level. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Fiscal policy, Inflation: costs and benefits JEL Code(s): E, E3, E31, E4, E42, E5, E50, E6, E63
The Effect of the Sarbanes-Oxley Act on CEO Pay for Luck Staff Working Paper 2008-20 Teodora Paligorova According to the rent-extraction hypothesis, weak corporate governance allows entrenched CEOs to capture the pay-setting process and benefit from events outside of their control – get paid for luck. Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets JEL Code(s): G, G3, G38, J, J3, J33, M, M5, M52
A Comparison of Twelve Macroeconomic Models of the Canadian Economy Technical Report No. 94 Denise Côté, John Kuszczak, Jean-Paul Lam, Ying Liu, Pierre St-Amant In this report, the authors examine and compare twelve private and public sector models of the Canadian economy with respect to their paradigm, structure, and dynamic properties. These open-economy models can be grouped into two economic paradigms. Content Type(s): Staff research, Technical reports Research Topic(s): Economic models, Monetary policy and uncertainty JEL Code(s): C, C5, E, E5, E52, E58
October 19, 2020 Backgrounder on the Business Outlook Survey question on wage growth Starting with the 2020 autumn survey, the results from a question on labour cost growth are being included in the Business Outlook Survey. This document describes the question and presents the correlations between the responses and various measures of wages and employment. Content Type(s): Background materials
Equity Option-Implied Probability of Default and Equity Recovery Rate Staff Working Paper 2016-58 Bo Young Chang, Greg Orosi There is a close link between prices of equity options and the default probability of a firm. We show that in the presence of positive expected equity recovery, standard methods that assume zero equity recovery at default misestimate the option-implied default probability. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets, Market structure and pricing JEL Code(s): G, G1, G13, G3, G33