Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement Staff Working Paper 2018-21 Elena Goldman, Xiangjin Shen We explore properties of asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) models in the threshold GARCH (GTARCH) family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low-frequency macroeconomic volatility as well as an asymmetric response to past negative news in both autoregressive conditional heteroscedasticity (ARCH) and GARCH terms. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Payment clearing and settlement systems JEL Code(s): C, C5, C58, G, G1, G19, G2, G23, G28
The U.S. Stock Market and Fundamentals: A Historical Decomposition Staff Working Paper 2003-20 David Dupuis, David Tessier The authors identify the fundamentals behind the dynamics of the U.S. stock market over the past 30 years. They specify a structural vector-error-correction model following the methodology of King, Plosser, Stock, and Watson (1991). Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): G, G1
Inventories, Markups and Real Rigidities in Sticky Price Models of the Canadian Economy Staff Working Paper 2011-9 Oleksiy Kryvtsov, Virgiliu Midrigan Recent New Keynesian models of macroeconomy view nominal cost rigidities, rather than nominal price rigidities, as the key feature that accounts for the observed persistence in output and inflation. Kryvtsov and Midrigan (2010a,b) reassess these conclusions by combining a theory based on nominal rigidities and storable goods with direct evidence on inventories for the U.S. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Monetary policy transmission JEL Code(s): E, E3, E31, F, F1, F12
Governance and the IMF: Does the Fund Follow Corporate Best Practice? Staff Working Paper 2006-32 Eric Santor The governance challenges facing the International Monetary Fund (IMF) are not simply limited to representation and voice, and the associated question of quota allocation. Content Type(s): Staff research, Staff working papers Research Topic(s): International topics JEL Code(s): F, F3
Bank Competition and International Financial Integration: Evidence Using a New Index Staff Working Paper 2010-35 Gurnain Pasricha This paper finds a strong empirical link between domestic banking sector competitiveness and de facto international integration. De-facto international integration is measured through a new index of financial integration, which measures, for deviations from covered interest parity, the size of no-arbitrage bands and the speed of arbitrage outside the no-arbitrage band. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, International topics JEL Code(s): F, F3, F32, G, G1, G15, G2, G21
Does the Buck Stop Here? A Comparison of Withdrawals from Money Market Mutual Funds with Floating and Constant Share Prices Staff Working Paper 2012-25 Jonathan Witmer Recent reform proposals call for an elimination of the constant net asset value (NAV) or “buck” in money market mutual funds to reduce the occurrence of runs. Outside the United States, there are several countries that have money market mutual funds with and without constant NAVs. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial stability, Market structure and pricing JEL Code(s): F, F3, F30, G, G0, G01, G1, G18, G2, G20
The Canadian corporate investment gap Staff Analytical Note 2020-19 Chris D'Souza, Timothy Grieder, Daniel Hyun, Jonathan Witmer Business investment has been lower than expected in Canada and abroad since the financial crisis of 2007–09. This corporate investment gap is mirrored in firms’ other financing decisions, as they have increased cash holdings and dividend payments and decreased issuance of debt and equity. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Firm dynamics, Monetary policy transmission JEL Code(s): D, D2, D22, D9, D92, G, G3, G31, G32
November 18, 2010 Trends in Issuance: Underlying Factors and Implications Bank of Canada Review - Autumn 2010 Jonathan Witmer Trends in debt issuance have changed significantly over the past decade, both prior to the financial crisis and subsequently. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Financial markets, Financial system regulation and policies
Import Price Dynamics in Major Advanced Economies and Heterogeneity in Exchange Rate Pass-Through Staff Working Paper 2008-39 Stephane Dees, Matthias Burgert, Nicolas Parent This paper aims at showing heterogeneity in the degree of exchange rate pass-through to import prices in major advanced economies at three different levels: 1) across destination markets; 2) across types of exporters (distinguishing developed economy from emerging economy exporters); and 3) over time. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Inflation and prices JEL Code(s): E, E3, E31, F, F3, F4, F41
Security and convenience of a central bank digital currency Staff Analytical Note 2020-21 Charles M. Kahn, Francisco Rivadeneyra An anonymous token-based central bank digital currency (CBDC) would pose certain security risks to users. These risks arise from how balances are aggregated, from their transactional use and from the competition between suppliers of aggregation solutions. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Central bank research, Digital currencies and fintech, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): E, E4, E42, G, G2, G21