An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention Staff Working Paper 1999-4 Neil Beattie, Jean-François Fillion This paper assesses the effectiveness of Canada's official foreign exchange intervention in moderating intraday volatility of the Can$/US$ exchange rate, using a 2-1/2-year sample of 10-minute exchange rate data. The use of high frequency data (higher than daily frequency) should help in assessing the impact of intervention since the foreign exchange market is efficient and […] Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial markets JEL Code(s): F, F3, F31, G, G1, G15
Estimating and Comparing the Implied Cost of Equity for Canadian and U.S. Firms Staff Working Paper 2007-48 Jonathan Witmer, Lorie Zorn This paper estimates the implied cost of equity for Canadian and U.S. firms using a methodology based on the dividend discount model and utilizing firms' current stock price and analysts' forecasted earnings. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, International topics JEL Code(s): G, G3, G30, G38
An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates Staff Working Paper 2004-48 David Bolder, Adam Metzler, Grahame Johnson Zero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and economics. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, Interest rates JEL Code(s): C, C0, C6, E, E4, G, G1
Government and Private E-Money-Like Systems: Federal Reserve Notes and National Bank Notes Staff Working Paper 2015-18 Warren E. Weber The period from 1914 to 1935 in the United States is unique in that it was the only time that both privately-issued bank notes (national bank notes) and central bank-issued bank notes (Federal Reserve notes) were simultaneously in circulation. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Financial services JEL Code(s): E, E4, E41, E42, E5, E58
Market Structure and Cost Pass-Through in Retail Staff Working Paper 2013-5 Gee Hee Hong, Nicholas Li We examine the extent to which vertical and horizontal market structure can together explain incomplete retail pass-through. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Monetary policy transmission JEL Code(s): E, E3, E30, E31, L, L1, L11, L16
February 1, 2012 Managing Operational Risk in Clearing and Settlement Systems Financial System Review - June 2003 Kim McPhail Content Type(s): Publications, Financial System Review articles
An Estimated Canadian DSGE Model with Nominal and Real Rigidities Staff Working Paper 2001-26 Ali Dib This paper develops a dynamic, stochastic, general-equilibrium (DGSE) model for the Canadian economy and evaluates the real effects of monetary policy shocks. To generate high and persistent real effects, the model combines nominal frictions in the form of costly price adjustment with real rigidities modelled as convex costs of adjusting capital and employment. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework JEL Code(s): E, E3, E31, E32
Measuring Potential Output within a State-Space Framework Staff Working Paper 1999-9 Maral Kichian In this paper we measure potential output (and consequently the output gap) using state-space models. Given that the estimated output gap is used as an indicator to measure the extent of inflationary pressures in the economy, we evaluate the use of such models for the implementation of monetary policy. Our starting point is the Gerlach […] Content Type(s): Staff research, Staff working papers Research Topic(s): Potential output JEL Code(s): D, D2, D24
Policy Rules for Capital Controls Staff Working Paper 2017-42 Gurnain Pasricha This paper attempts to borrow the tradition of estimating policy reaction functions in monetary policy literature and apply it to capital controls policy literature. Using a novel weekly dataset on capital controls policy actions in 21 emerging economies over the period 1 January 2001 to 31 December 2015, I examine the mercantilist and macroprudential motivations for capital control policies. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rate regimes, Financial stability, Financial system regulation and policies, International topics JEL Code(s): F, F3, F4, F5, G, G0, G1
Entrepreneurial Risk, Credit Constraints, and the Corporate Income Tax: A Quantitative Exploration Staff Working Paper 2002-21 Césaire Meh This paper describes the positive effect that corporate income tax has on capital formation in the presence of liquidity constraints and uninsurable risk. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Fiscal policy JEL Code(s): D, D3, D31, E, E6, E62, H, H2, H20, H23