An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks Staff Working Paper 2012-5 Gregory Bauer, Antonio Diez de los Rios We construct a multi-country affine term structure model that contains unspanned macroeconomic and foreign exchange risks. The canonical version of the model is derived and is shown to be easy to estimate. Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Exchange rates, Interest rates JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15
February 13, 2012 Bank of Canada submits comments to U.S. regulators regarding Joint Proposal on Prohibitions and Restrictions on Proprietary Trading Comments Mark Carney The Bank of Canada today submitted written comments to U.S. regulators regarding their proposed rule to implement Section 619 of the Dodd-Frank Wall Street Reform and Consumer Protection Act. Content Type(s): Press, Speeches and appearances, Comments
February 10, 2012 Weekly Financial Statistics - 10 February 2012 Content Type(s): Publications, Historical: Weekly Financial Statistics
Price Competition and Concentration in Search and Negotiation Markets: Evidence from Mortgage Lending Staff Working Paper 2012-4 Jason Allen, Robert Clark, Jean-François Houde This paper examines the impact of bank consolidation on mortgage rates in order to evaluate the extent to which mortgage markets are competitive. Mortgage markets are decentralized and so rates are determined through a search and negotiation process. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial services, Interest rates JEL Code(s): G, G2, L, L1
Fooled by Search: Housing Prices, Turnover and Bubbles Staff Working Paper 2012-3 Brian Peterson his paper develops and estimates a model to explain the behaviour of house prices in the United States. The main finding is that over 70% of the increase in house prices relative to trend during the increase of house prices in the United States from 1995 to 2006 can be explained by a pricing mechanism where market participants are ‘Fooled by Search.’ Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Business fluctuations and cycles JEL Code(s): E, E3, R, R2, R21
February 7, 2012 Raising the House of Reform Remarks Tiff Macklem Rotman Institute for International Business Toronto, Ontario Senior Deputy Governor Tiff Macklem discusses the importance of pressing ahead with financial reforms despite the weak global recovery. Content Type(s): Press, Speeches and appearances, Remarks
February 3, 2012 Weekly Financial Statistics - 3 February 2012 Content Type(s): Publications, Historical: Weekly Financial Statistics
A Foreign Activity Measure for Predicting Canadian Exports Staff Discussion Paper 2012-1 Louis Morel The author constructs a measure of foreign activity that takes into account the composition of foreign demand for Canadian exports. It has a number of interesting features. Content Type(s): Staff research, Staff discussion papers Topic(s): Balance of payments and components, Exchange rates, Recent economic and financial developments JEL Code(s): E, E0, E00, F, F1, F17
February 2, 2012 Understanding Intraday Payment Flows in the Large Value Transfer System Financial System Review - December 2002 Lindsay Cheung Content Type(s): Publications, Financial System Review articles
February 2, 2012 The Financial Services Sector: An Update on Recent Developments Financial System Review - December 2002 Charles Freedman, Clyde Goodlet Content Type(s): Publications, Financial System Review articles