The Government of Canada Debt Securities Data Set Technical Report No. 112 Jeffrey Gao, Francisco Rivadeneyra, Gabriel Rodriguez Rondon We present the daily time series of the outstanding amounts of all Government of Canada marketable debt securities from July 2001 to June 2017. Content Type(s): Staff research, Technical reports Topic(s): Debt management, Econometric and statistical methods, Financial markets JEL Code(s): C, C8, C80, G, G1, G10, H, H6, H63
When Is It Less Costly for Risky Firms to Borrow? Evidence from the Bank Risk- Taking Channel of Monetary Policy Staff Working Paper 2012-10 Teodora Paligorova, João Santos In an investigation of banks’ loan pricing policies in the United States over the past two decades, this study finds supporting evidence for the bank risk-taking channel of monetary policy. We show that banks charge lower spreads when they lend to riskier borrowers relative to the spreads they charge on loans to safer borrowers in periods of low short-term rates compared to periods of high short-term rates. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Monetary policy framework JEL Code(s): G, G2, G21
A Note on Central Counterparties in Repo Markets Staff Discussion Paper 2012-4 Hajime Tomura The author introduces a central counterparty (CCP) into a model of a repo market. Without the CCP, there exist multiple equilibria in the model. In one of the equilibria, a repo market emerges as bond dealers and cash investors choose to arrange repos in an over-the-counter bond market. Content Type(s): Staff research, Staff discussion papers Topic(s): Financial markets, Financial stability, Payment clearing and settlement systems JEL Code(s): G, G2, G24
Monetary Policy Independence and the Strength of the Global Financial Cycle Staff Working Paper 2020-25 Christian Friedrich, Pierre Guérin, Danilo Leiva-Leon We propose a new strength measure of the global financial cycle by estimating a regime-switching factor model on cross-border equity flows for 61 countries. We then assess how the strength of the global financial cycle affects monetary policy independence, which is defined as the response of central banks' policy interest rates to exogenous changes in inflation. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Exchange rate regimes, Financial system regulation and policies, International financial markets, Monetary policy JEL Code(s): E, E4, E5, F, F3, F32, F4, F42, G, G1, G15, G18
Pre-Bid Run-Ups Ahead of Canadian Takeovers: How Big Is the Problem? Staff Working Paper 2005-3 Michael R. King, Maksym Padalko The authors study the price - volume dynamics ahead of the first public announcement of a takeover for 420 Canadian firms from 1985 to 2002. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): G, G1, G14, G18, G3, G34
Price Formation and Liquidity Provision in Short-Term Fixed Income Markets Staff Working Paper 2007-27 Chris D'Souza, Ingrid Lo, Stephen Sapp Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Interest rates, Market structure and pricing JEL Code(s): G, G1, G12, G14, G15
Wage Dynamics and Returns to Unobserved Skill Staff Working Paper 2017-61 Lance Lochner, Youngmin Park, Youngki Shin Economists disagree about the factors driving the substantial increase in residual wage inequality in the U.S. over the past few decades. We identify and estimate a general model of log wage residuals that incorporates: (i) changing returns to unobserved skills, (ii) a changing distribution of unobserved skills, and (iii) changing volatility in wages due to factors unrelated to skills. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Labour markets JEL Code(s): C, C2, C23, J, J2, J24, J3, J31
A Further Analysis of Exchange Rate Targeting in Canada Staff Working Paper 1994-2 Robert Amano, Tony S. Wirjanto In a recent paper Mercenier and Sekkat (1988) conclude that the Bank of Canada has followed a policy of exchange rate targeting using the money supply. We re-examine their results using a different estimation approach and with different assumptions about the forcing process of the exogenous variables. Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates
Can Capital Deepening Explain the Global Decline in Labor’s Share? Staff Working Paper 2019-3 Andrew Glover, Jacob Short We estimate an aggregate elasticity of substitution between capital and labor near or below one, which implies that capital deepening cannot explain the global decline in labor's share. Our methodology derives from transition paths in the neo-classical growth model. Content Type(s): Staff research, Staff working papers Topic(s): Firm dynamics, International topics, Labour markets JEL Code(s): E, E1, E13, E2, E22, E25, J, J3
Why Fixed Costs Matter for Proof-of-Work Based Cryptocurrencies Staff Working Paper 2020-27 Rodney J. Garratt, Maarten van Oordt Can Bitcoin survive? Some say it will become vulnerable to attacks as the rewards for processing Bitcoin transactions continue to decline. The economics of fixed costs suggest the specialized hardware used to mine Bitcoin may be key to its survival. Content Type(s): Staff research, Staff working papers Topic(s): Digital currencies and fintech, Payment clearing and settlement systems JEL Code(s): G, G1, G10, L, L1, L11