The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness Staff Working Paper 2009-20 Bruno Feunou, Jean-Sébastien Fontaine, Roméo Tedongap We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and risk-neutral volatilities is a function of the risk premium and of skewness. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): G, G1, G12, G13
December 10, 2013 The Residential Mortgage Market in Canada: A Primer Financial System Review - December 2013 Allan Crawford, Césaire Meh, Jie Zhou Content Type(s): Publications, Financial System Review articles
Commodity Price Co-Movement and Global Economic Activity Staff Working Paper 2014-32 Ron Alquist, Olivier Coibion Guided by a macroeconomic model in which non-energy commodity prices are endogenously determined, we apply a new factor-based identification strategy to decompose the historical sources of changes in commodity prices and global economic activity. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, International topics JEL Code(s): E, E3, F, F4
June 17, 2019 Flexible Exchange Rates, Commodity Prices and Price Stability Remarks Lawrence L. Schembri Economics Society of Northern Alberta (ESNA) Edmonton, Alberta Deputy Governor Lawrence Schembri speaks before the Economics Society of Northern Alberta (ESNA). Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Exchange rate regimes, Exchange rates, Financial markets, Inflation targets, Monetary policy framework
Shock Transmission Through International Banks: Canada Technical Report No. 105 James Chapman, H. Evren Damar In this paper, we investigate how liquidity conditions in Canada may affect domestic and/or foreign lending of globally active banks and whether this transmission is influenced by individual bank characteristics. Content Type(s): Staff research, Technical reports Research Topic(s): Financial institutions, Financial stability JEL Code(s): E, E4, E44, F, F3, F36, G, G2, G21, G3, G32
Credit Conditions, Inflation, and Unemployment Staff Working Paper 2025-26 Chao Gu, Janet Hua Jiang, Liang Wang We identify two channels that affect the relationship between inflation and unemployment. First, inflation lowers wages because unemployed suffer more from inflation than employed, generating a positive relationship. Second, inflation increases firms’ financing costs, generating a negative relationship. Improvements in firm financing conditions can induce the relationship to switch signs. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Inflation and prices, Labour markets JEL Code(s): E, E2, E24, E3, E31, E4, E44, E5, E51
The Carrot and the Stick: The Business Cycle Implications of Incentive Pay in the Labor Search Model Staff Working Paper 2015-35 Julien Champagne This paper considers a real business cycle model with labor search frictions where two types of incentive pay are explicitly introduced following the insights from the micro literature on performance pay (e.g. Lazear, 1986). Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Labour markets JEL Code(s): E, E2, E24, J, J3, J33, J4, J41
A New Approach to Infer Changes in the Synchronization of Business Cycle Phases Staff Working Paper 2014-38 Danilo Leiva-Leon This paper proposes a Markov-switching framework to endogenously identify the following: (1) regimes where economies synchronously enter recessionary and expansionary phases; and (2) regimes where economies are unsynchronized, essentially following independent business cycles. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Regional economic developments JEL Code(s): C, C3, C32, C4, C45, E, E3, E32
MUSE: The Bank of Canada's New Projection Model of the U.S. Economy Technical Report No. 96 Marc-André Gosselin, René Lalonde The analysis and forecasting of developments in the U.S. economy have always played a critical role in the formulation of Canadian economic and financial policy. Thus, the Bank places considerable importance on generating internal forecasts of U.S. economic activity as an input to the Canadian projection. Content Type(s): Staff research, Technical reports Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): C, C5, C53, E, E1, E17, E2, E27, E3, E37, F, F1, F17
Demand for Canadian Banknotes from International Travel: Indirect Evidence from the COVID-19 Pandemic Staff Working Paper 2024-23 Hongyu Xiao This study uses the COVID-19 travel restrictions to estimate foreign demand for Canadian banknotes. It reveals that international visitors accounted for about 10% of all $100 CAD notes in circulation pre-pandemic, with each visitor carrying an average of $165 in hundred-dollar bills. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Central bank research, Coronavirus disease (COVID-19), Financial services, International topics JEL Code(s): E, E4, E41, E42, E5, E58, F, F2, F22