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3045 Results

A Simple Method for Extracting the Probability of Default from American Put Option Prices

Staff Working Paper 2020-15 Bo Young Chang, Greg Orosi
A put option is a financial contract that gives the holder the right to sell an asset at a specific price by (or at) a specific date. A put option can therefore provide its holder insurance against a large drop in the stock price. This makes the prices of put options an ideal source of information for a market-based measure of the probability of a firm’s default.

Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns

Staff Working Paper 2017-19 Claudia Foroni, Francesco Ravazzolo, Barbara Sadaba
Increased sovereign credit risk is often associated with sharp currency movements. Therefore, expectations of the probability of a sovereign default event can convey important information regarding future movements of exchange rates.

Text Mining and the Information Content of Bank of Canada Communications

Staff Working Paper 2010-31 Scott Hendry, Alison Madeley
This paper uses Latent Semantic Analysis to extract information from Bank of Canada communication statements and investigates what type of information affects returns and volatility in short-term as well as long-term interest rate markets over the 2002-2008 period.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Monetary policy implementation JEL Code(s): E, E5, E58, G, G1, G14

Corporate Debt Composition and Business Cycles

Staff Working Paper 2019-5 Jelena Zivanovic
Based on empirical evidence, I propose a dynamic stochastic general equilibrium model with two financial sectors to analyze the role of corporate debt composition (bank versus bond financing) in the transmission of economic shocks.

Aggregate and Welfare Effects of Redistribution of Wealth Under Inflation and Price-Level Targeting

Staff Working Paper 2008-31 Césaire Meh, José-Víctor Ríos-Rull, Yaz Terajima
Since the work of Doepke and Schneider (2006a) and Meh and Terajima (2008), we know that inflation causes major redistribution of wealth – between households and the government, between nationals and foreigners, and between households within the same country.

Estimating Large-Dimensional Connectedness Tables: The Great Moderation Through the Lens of Sectoral Spillovers

Staff Working Paper 2021-37 Felix Brunner, Ruben Hipp
Understanding the size of sectoral links is crucial to predicting the impact of a crisis on the whole economy. We show that statistical learning techniques substantially outperform traditional estimation techniques when measuring large networks of these links.

Benchmarks for assessing labour market health: 2023 update

Staff Analytical Note 2023-7 Erik Ens, Kurt See, Corinne Luu
We enhance benchmarks for assessing strength in the Canadian labour market. We find the labour market remains tight despite recent strong increases in labour supply, including among prime-working-age women. We also assess the anticipated easing in labour conditions in a context of high population growth.

How Oil Supply Shocks Affect the Global Economy: Evidence from Local Projections

Staff Discussion Paper 2019-6 Olivier Gervais
We provide empirical evidence on the impact of oil supply shocks on global aggregates. To do this, we first extract structural oil supply shocks from a standard oil-price determination model found in the literature.
Content Type(s): Staff research, Staff discussion papers Research Topic(s): Business fluctuations and cycles, International topics JEL Code(s): C, C2, C22, C5, E, E3, E37, Q, Q4, Q43

Decomposing Large Banks’ Systemic Trading Losses

Staff Working Paper 2024-6 Radoslav Raykov
Do banks realize simultaneous trading losses because they invest in the same assets, or because different assets are subject to the same macro shocks? This paper decomposes the comovements of bank trading losses into two orthogonal channels: portfolio overlap and common shocks.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability JEL Code(s): G, G1, G10, G11, G2, G20
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