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3045 Results

Steps in Applying Extreme Value Theory to Finance: A Review

Staff Working Paper 2000-20 Younes Bensalah
Extreme value theory (EVT) has been applied in fields such as hydrology and insurance. It is a tool used to consider probabilities associated with extreme and thus rare events. EVT is useful in modelling the impact of crashes or situations of extreme stress on investor portfolios.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): C, C0, C4, C5, G, G1
August 27, 2007

The Bank of Canada's Research Agenda and the Future of Inflation Targeting

Remarks Pierre Duguay Canadian Association for Business Economics Kingston, Ontario
The last few weeks have been a time of turbulence in financial markets. In times such as these, it is common for people to focus on day-by-day or even hour-by-hour events, and to lose sight of the future. But tonight, I want to focus on the future; specifically, the future of inflation targeting in Canada.

Trends in Firm Entry and New Entrepreneurship in Canada

Staff Discussion Paper 2015-11 Shutao Cao, Mohanad Salameh, Mai Seki, Pierre St-Amant
Recently released data show downward trends for both the firm entry rate and the rate of new entrepreneurship since the early 1980s in Canada. This paper documents these trends and discusses potential explanations.
Content Type(s): Staff research, Staff discussion papers Research Topic(s): Firm dynamics, Market structure and pricing, Productivity JEL Code(s): L, L1, L11, M, M1, M13

Credit Market Frictions and Sudden Stops

Staff Working Paper 2014-49 Yuko Imura
Financial crises in emerging economies in the 1980s and 1990s often entailed abrupt declines in foreign capital inflows, improvements in trade balance, and large declines in output and total factor productivity (TFP).
November 15, 2012

Access, Competition and Risk in Centrally Cleared Markets

Central counterparties can make over-the-counter markets more resilient and reduce systemic risk by mitigating and managing counterparty credit risk. These benefits are maximized when access to central counterparties is available to a wide range of market participants. In an over-the-counter market, there is an important trade-off between risk and competition. A model of an over-the-counter market shows how risk and competition could be influenced by the incentives of market participants as they move to central clearing. In a centrally cleared market, there may be less risk when participation is high. This helps to explain why regulators have put in place requirements for fair, open and risk-based access criteria.

Employment Effects Of Nominal-Wage Rigidity: An Examination Using Wage-Settlements Data

Staff Working Paper 2000-14 Umar Faruqui
The argument advocating a moderate level of inflation based on the downward nominal-wage rigidity (DNWR) hypothesis rests on three factors: its presence, extent, and negative impact in the labour market. This paper focuses on the employment effect of DNWR.
Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets JEL Code(s): C, C2, C23, J, J2, J23, J3, J30

How Rigid Are Nominal-Wage Rates?

Staff Working Paper 2001-8 Allan Crawford
This study examines the effect of nominal-wage rigidities on wage growth in Canada using a hazard model and micro data for union contracts. The hazard model is specified in a way that allows considerable flexibility in the shape of the estimated notional wage-change distribution.
Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation targets, Labour markets JEL Code(s): E, E2, E24, E5, E52, E6, E61
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