Do Survey Expectations of Stock Returns Reflect Risk Adjustments? Staff Working Paper 2019-11 Klaus Adam, Dmitry Matveev, Stefan Nagel Motivated by the observation that survey expectations of stock returns are inconsistent with rational return expectations under real-world probabilities, we investigate whether alternative expectations hypotheses entertained in the literature on asset pricing are consistent with the survey evidence. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Economic models, Financial markets JEL Code(s): G, G1, G10, G12
The Mutable Geography of Firms’ International Trade Staff Working Paper 2025-11 Lu Han Exporters frequently change their market destinations. This paper introduces a new approach to identifying the drivers of these decisions over time. Analysis of customs data from China and the UK shows most changes are driven by demand rather than supply-related shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Firm dynamics, International topics, Trade integration JEL Code(s): F, F1, F12, F14, L, L1, L11
Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals Staff Working Paper 2017-22 Lorenzo Pozzi, Barbara Sadaba This paper presents a new testing method for the scapegoat model of exchange rates that aims to tighten the link between the theory on scapegoats and its empirical implementation. This new testing method consists of a number of steps. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Exchange rates, International financial markets JEL Code(s): C, C3, C32, F, F3, F31, G, G1, G15
Mesures du taux d'inflation tendanciel Staff Working Paper 1997-9 Thérèse Laflèche In this paper, the author calculates new measures of the trend inflation rate using changes in the components of total CPI; the hypothesis is that extreme fluctuations in certain prices reflect temporary supply shocks rather than any basic price trend. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices JEL Code(s): E, E3, E31
Limits to Arbitrage and Deviations from Covered Interest Rate Parity Staff Discussion Paper 2016-4 James Pinnington, Maral Shamloo We document an increase in deviations from short-term covered interest rate parity (CIP) in the first half of 2015. Since the Swiss National Bank’s (SNB) decision to abandon its minimum exchange rate policy, both the magnitude and volatility of deviations from CIP have increased across several currency pairs. The effect is particularly pronounced for pairs involving the Swiss franc. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Exchange rates, International financial markets JEL Code(s): F, F3, F31, G, G1, G15
On the Evolution of the United Kingdom Price Distributions Staff Working Paper 2018-25 Ba M. Chu, Kim Huynh, David T. Jacho-Chávez, Oleksiy Kryvtsov We propose a functional principal components method that accounts for stratified random sample weighting and time dependence in the observations to understand the evolution of distributions of monthly micro-level consumer prices for the United Kingdom (UK). Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C14, C8, C83, E, E3, E31, E37
October 17, 2000 Can a Bank Change? The Evolution of Monetary Policy at the Bank of Canada 1935–2000 Lecture Gordon Thiessen Faculty of Social Science, University of Western Ontario Over this period, there has been a fundamental transformation in the way monetary policy is conducted in Canada and in most other industrial countries. While globalization and technological change have played an important role in this area, as in so many others, they have not, to my mind, been the principal driving force behind this transformation. Far more important has been the interaction of experience and economic theory. Content Type(s): Press, Speeches and appearances, Lectures
Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market? Staff Working Paper 2007-23 Ingrid Lo, Stephen Sapp Dealers trading in a limit order market must choose both the order aggressiveness and the quantity for their orders. We empirically investigate how dealers jointly make these decisions in the foreign exchange market using a unique simultaneous equations model. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial markets JEL Code(s): G, G1, G14
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation Staff Working Paper 2012-34 Peter Christoffersen, Bruno Feunou, Kris Jacobs, Nour Meddahi Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods JEL Code(s): G, G1, G13
The Countercyclical Capital Buffer and International Bank Lending: Evidence from Canada Staff Working Paper 2021-61 David Xiao Chen, Christian Friedrich We examine the impact of the CCyB on foreign lending activities of Canadian banks. We show that the announcement of a tightening in another country’s CCyB leads to a decrease in the growth rate of cross-border lending between Canadian banks and borrowers in that other country. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit risk management, Financial institutions, Financial stability, Financial system regulation and policies, International topics JEL Code(s): E, E3, E32, F, F2, F21, F3, F32, G, G2, G21, G28