Pricing Indefinitely Lived Assets: Experimental Evidence Staff Working Paper 2023-25 John Duffy, Janet Hua Jiang, Huan Xie We study the trading of an asset with bankruptcy risk. The traded price of the asset is, on average, 40% of the expected total dividend payments. We investigate which economic models can explain the low traded price. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets JEL Code(s): C, C9, C91, C92, D, D8, D81, G, G1, G12
A Model of Housing Stock for Canada Staff Working Paper 2010-19 David Dupuis, Yi Zheng Using an error-correction model (ECM) framework, the authors attempt to quantify the degree of disequilibrium in Canadian housing stock over the period 1961–2008 for the national aggregate and over 1981–2008 for the provinces. Content Type(s): Staff research, Staff working papers Research Topic(s): Domestic demand and components JEL Code(s): E, E2, E21, J, J0, J00
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 Research Topic(s): Debt management, Econometric and statistical methods, Financial markets JEL Code(s): C, C8, C80, G, G1, G10, H, H6, H63
Non-homothetic Preferences and the Demand Channel of Inflation Staff Working Paper 2025-30 Stephen Murchison An alternative to the standard CES aggregator, based on non-homothetic household preferences, is proposed. Specifically, the elasticity of substitution between goods declines during periods of strong per-capita consumption and vice versa, giving firms an incentive to adjust their desired markup in response to the state of demand. Empirical evidence favouring a direct role for per-capita consumption demand in inflation determination for Canada is presented. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Inflation and prices, Market structure and pricing JEL Code(s): E, E2, E27, E5, E52, Q, Q4, Q43, Q5, Q58
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 Research Topic(s): Financial markets JEL Code(s): G, G1, G14, G18, G3, G34
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 Research 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 Research 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 Research 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
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 Research Topic(s): Financial markets, Interest rates, Market structure and pricing JEL Code(s): G, G1, G12, G14, G15
On the Welfare Cost of Rare Housing Disasters Staff Working Paper 2015-26 Shaofeng Xu This paper examines the welfare cost of rare housing disasters characterized by large drops in house prices. I construct an overlapping generations general equilibrium model with recursive preferences and housing disaster shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Economic models, Housing JEL Code(s): E, E2, E21, E4, E44, G, G1, G11, R, R2, R21