Staff research

• State-Dependent or Time-Dependent Pricing: Does It Matter for Recent U.S. Inflation?

  Staff Working Paper 2005-4 Peter J. Klenow, Oleksiy Kryvtsov

  Inflation equals the product of two terms: an extensive margin (the fraction of items with price changes) and an intensive margin (the average size of those changes).

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices JEL Code(s): E, E3, E31, E32

• 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

• The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments

  Staff Working Paper 2005-2 Fousseni Chabi-Yo, René Garcia, Eric Renault

  The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Market structure and pricing JEL Code(s): C, C6, C61, G, G1, G11, G12