Survey of Price-Setting Behaviour of Canadian Companies Staff Working Paper 2006-35 David Amirault, Carolyn Kwan, Gordon Wilkinson In many mainstream macroeconomic models, sticky prices play an important role in explaining the effects of monetary policy on the economy. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Monetary policy transmission JEL Code(s): D, D4, D40, E, E3, E30, L, L1, L11
What Central Bankers Need to Know about Forecasting Oil Prices Staff Working Paper 2013-15 Christiane Baumeister, Lutz Kilian Forecasts of the quarterly real price of oil are routinely used by international organizations and central banks worldwide in assessing the global and domestic economic outlook, yet little is known about how best to generate such forecasts. Our analysis breaks new ground in several dimensions. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, E, E3, E32, Q, Q4, Q43
Managerial Compensation Duration and Stock Price Manipulation Staff Working Paper 2015-25 Josef Schroth I build a model of optimal managerial compensation where managers each have a privately observed propensity to manipulate short-term stock prices. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Labour markets, Recent economic and financial developments JEL Code(s): D, D8, D82, G, G1, G14, G3, G30, M, M1, M12
Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets Staff Working Paper 2007-29 Antonio Diez de los Rios This paper presents a multifactor asset pricing model for currency, bond, and stock returns for ten emerging markets to investigate the effect of the exchange rate regime on the cost of capital and the integration of emerging financial markets. Since there is evidence that a fixed exchange rate regime reduces the currency risk premia demanded by foreign investors, the tentative conclusion is that a fixed exchange rate regime system can help reduce the cost of capital in emerging markets. Content Type(s): Staff research, Staff working papers Research Topic(s): Development economics, Exchange rate regimes JEL Code(s): F, F3, F30, F33, G, G1, G15
Labor Market Shocks and Monetary Policy Staff Working Paper 2023-52 Serdar Birinci, Fatih Karahan, Yusuf Mercan, Kurt See We develop a heterogeneous-agent New Keynesian model featuring a frictional labor market with on-the-job search to quantitatively study the positive and normative implications of employer-to-employer transitions for inflation. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Inflation and prices, Labour markets, Monetary policy JEL Code(s): E, E1, E12, E2, E24, E5, E52, J, J3, J31, J6, J62, J64
Time-Varying Crash Risk: The Role of Stock Market Liquidity Staff Working Paper 2016-35 Peter Christoffersen, Bruno Feunou, Yoontae Jeon, Chayawat Ornthanalai We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on return variance once we include market illiquidity as an economic variable in the model. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods, Financial stability JEL Code(s): G, G0, G01, G1, G12
Debt-Relief Programs and Money Left on the Table: Evidence from Canada's Response to COVID-19 Staff Working Paper 2021-13 Jason Allen, Robert Clark, Shaoteng Li, Nicolas Vincent During the COVID-19 pandemic, Canadian financial institutions offered debt-relief programs to help borrowers cope with job losses and economic insecurity. We consider the low take-up rates for these programs and suggest that to be effective, such programs must be visible and easy to use. Content Type(s): Staff research, Staff working papers Research Topic(s): Coronavirus disease (COVID-19), Credit and credit aggregates, Debt management JEL Code(s): G, G3, G31, H, H5
Family Values: Ownership Structure, Performance and Capital Structure of Canadian Firms Staff Working Paper 2007-40 Michael R. King, Eric Santor This study examines how family ownership affects the performance and capital structure of 613 Canadian firms using a panel dataset from 1998 to 2005. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, International topics JEL Code(s): G, G1, G12, G15
What People Believe About Monetary Finance and What We Can(’t) Do About It: Evidence from a Large-Scale, Multi-Country Survey Experiment Staff Working Paper 2023-36 Cars Hommes, Julien Pinter, Isabelle Salle We conduct a large-scale survey to shed light on what people believe about public finance. An experiment demonstrates that central bank communication can persistently shift views on monetary financing. It further suggests that views on monetary financing impact support for fiscal discipline. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Fiscal policy, Monetary policy JEL Code(s): C, C8, C83, E, E5, E58, E6, E60, E62, E7, E70, G, G5, G53, H, H3, H31
November 21, 2004 Summary of the G-20 Workshop on Developing Strong Domestic Financial Markets, 26-27 April 2004 Bank of Canada Review - Autumn 2004 Joerg Stephan, James Powell, Robert Lafrance, James Haley G-20 representatives, academics, market participants, and members of international financial institutions were brought together in Ottawa to explore the connection between robust financial markets and economic growth and development, share experiences, and to develop policy recommendations, where possible. Participants identified several areas they deemed critical for fostering strong domestic financial markets and reducing external vulnerability: sound macroeconomics policies, strengthened financial infrastructures and banking systems, and exchange rate flexibility for countries with widely open capital accounts. Papers presented in the six sessions and keynote address highlighted a number of issues, including currency mismatches, the sequence of financial liberalization and supervisory reforms, the development of local financial markets, infrastructure building and governance, and appropriate incentives. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Development economics, Financial institutions, International topics