Staff research

• November 30, 2014

  Research Update - November 2014

  This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website.

  Content Type(s): Staff research, Research newsletters

• Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings

  Staff Working Paper 2014-51 Sermin Gungor, Richard Luger

  We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C14, C15, G, G1, G12

• The Effect of the Federal Reserve’s Tapering Announcements on Emerging Markets

  Staff Working Paper 2014-50 Vikram Rai, Lena Suchanek

  The Federal Reserve’s quantitative easing (QE) program has been accompanied by a flow of funds into emerging-market economies (EMEs) in search of higher returns.

  Content Type(s): Staff research, Staff working papers Topic(s): International financial markets, International topics, Monetary policy transmission JEL Code(s): C, C3, C33, E, E5, E58, F, F3, F32, G, G1, G14

• Credit Market Frictions and Sudden Stops

  Staff Working Paper 2014-49 Yuko Imura

  Financial crises in emerging economies in the 1980s and 1990s often entailed abrupt declines in foreign capital inflows, improvements in trade balance, and large declines in output and total factor productivity (TFP).

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Financial markets, International topics JEL Code(s): E, E2, E22, E3, E32, F, F4, F41, G, G0, G01