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2999 Results

Estimating One-Factor Models of Short-Term Interest Rates

Staff Working Paper 1999-18 Des Mc Manus, David Watt
There currently exists in the literature several continuous-time one-factor models for short-term interest rates. This paper considers a wide range of these models that are nested into one general model. These models are approximated using both a discrete-time model and a model that accounts for aggregation effects over time, and are estimated by both the […]
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Interest rates JEL Code(s): C, C5, C52, G, G1, G10

Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model

Staff Working Paper 2006-42 Céline Gauthier, Fuchun Li
The authors estimate a small monthly macroeconometric model (BEAM, for bonds, equity, and money) of the Canadian economy built around three cointegrating relationships linking financial and real variables over the 1975–2002 period.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial stability JEL Code(s): C, C5, E, E4

Stability versus Flexibility: The Role of Temporary Employment in Labour Adjustment

Staff Working Paper 2010-27 Shutao Cao, Danny Leung
In Canada, temporary workers account for 14 per cent of jobs in the non-farm business sector, are present in a range of industries, and account for 40 per cent of the total job reallocation. Yet most models of job reallocation abstract from temporary workers.
Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets, Productivity JEL Code(s): D, D2, D24, J, J3, J32

Real-financial Linkages through Loan Default and Bank Capital

Staff Working Paper 2013-3 Tamon Takamura
Many studies in macroeconomics argue that financial frictions do not amplify the impacts of real shocks. This finding is based on models without endogenous default on loans and bank capital. Using a model featuring endogenous interactions between firm default and bank capital, this paper revisits the propagation mechanisms of real and financial shocks.
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