How Should Unemployment Insurance Vary over the Business Cycle? Staff Working Paper 2020-47 Serdar Birinci, Kurt See Should unemployment benefits be more generous during economic downturns? The optimal amount and duration of benefit payments ultimately depend on the demographic and wealth characteristics of benefit recipients. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Fiscal policy, Labour markets JEL Code(s): E, E2, E24, E3, E32, J, J6, J64, J65
Job Applications and Labour Market Flows Staff Working Paper 2021-49 Serdar Birinci, Kurt See, Shu Lin Wee Although the number of job applications has risen, job-finding rates remain relatively unchanged while job-separation rates have significantly declined. Rather than raising the probability of finding a job, we find that a rise in applications raises the probability of finding a good match, as evidenced by the decline in separation rates. Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets, Productivity JEL Code(s): E, E2, E24, J, J6, J63, J64
Price Level Targeting in a Small Open Economy with Financial Frictions: Welfare Analysis Staff Working Paper 2008-40 Ali Dib, Caterina Mendicino, Yahong Zhang How important are the benefits of low price-level uncertainty? This paper explores the desirability of price-level path targeting in an estimated DSGE model fit to Canadian data. The policy implications are based on social welfare evaluations. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, Inflation and prices, Monetary policy framework JEL Code(s): E, E3, E31, E32, E5, E52
Financial Market Imperfection, Overinvestment, and Speculative Precaution Staff Working Paper 2004-27 Christian Calmès The author uses panel data to assess the sensitivity of investment to cash flow in non-financial firms, taking into account the role their financial health plays in investment decisions. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles JEL Code(s): D, D9, D92, E, E2, E22, E4, E44, G, G3, G33
Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances Staff Working Paper 2013-16 Sermin Gungor, Richard Luger We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C15, C3, C33, G, G1, G11, G12
Bond Risk Premia and Gaussian Term Structure Models Staff Working Paper 2014-13 Bruno Feunou, Jean-Sébastien Fontaine Cochrane and Piazzesi (2005) show that (i) lagged forward rates improve the predictability of annual bond returns, adding to current forward rates, and that (ii) a Markovian model for monthly forward rates cannot generate the pattern of predictability in annual returns. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Interest rates JEL Code(s): E, E4, E43, E47, G, G1, G12
Benchmark Index of Risk Appetite Staff Working Paper 2006-16 Miroslav Misina Changes in investors' risk appetite have been used to explain a variety of phenomena in asset markets. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial markets JEL Code(s): G, G1, G12
Comparison of Auction Formats in Canadian Government Auctions Staff Working Paper 2009-5 Olivier Armantier, Nourredine Lafhel Using a rich sample of Canadian government securities auctions, we estimate the structural parameters of a share-auction model accounting for asymmetries across bidders. We find little evidence of asymmetries between participants at Canadian government nominal bond auctions. Content Type(s): Staff research, Staff working papers Research Topic(s): Debt management, Financial markets, Market structure and pricing JEL Code(s): D, D4, D44, D6, D63, G, G2, G28
Mandatory Retention Rules and Bank Risk Staff Working Paper 2023-3 Yuteng Cheng This paper studies, theoretically and empirically, the unintended consequences of mandatory retention rules in securitization. It proposes a novel model showing that while retention strengthens monitoring, it may also encourage banks to shift risk. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit risk management, Financial institutions, Financial system regulation and policies JEL Code(s): G, G2, G21, G28
Estimating the Structure of the Payment Network in the LVTS: An Application of Estimating Communities in Network Data Staff Working Paper 2010-13 James Chapman, Nellie Zhang In the Canadian large value payment system an important goal is to understand how liquidity is transferred through the system and hence how efficient the system is in settling payments. Understanding the structure of the underlying network of relationships between participants in the payment system is a crucial step in achieving the goal. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, Payment clearing and settlement systems JEL Code(s): C, C1, C11, D, D8, D85, G, G2, G20