Working Papers

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13-13: A Semiparametric Early Warning Model of Financial Stress Events

Ian Christensen and Fuchun Li

13-12: Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics

Jianjian Jin

13-11: Forecasting with Many Models: Model Confidence Sets and Forecast Combination

Jon D. Samuels and Rodrigo Sekkel

13-10: A New Linear Estimator for Gaussian Dynamic Term Structure Models

Antonio Diez de los Rios

13-9: An Equilibrium Analysis of the Rise in House Prices and Mortgage Debt

Shaofeng Xu

13-8: Countercyclical Bank Capital Requirement and Optimized Monetary Policy Rules

Carlos De Resende, Ali Dib, René Lalonde and Nikita Perevalov

13-7: A Tractable Monetary Model Under General Preferences

Tsz-Nga Wong

13-6: To Link or Not To Link? Netting and Exposures Between Central Counterparties

Stacey Anderson, Jean-Philippe Dion and Hector Perez Saiz

13-5: Market Structure and Cost Pass-Through in Retail

Gee Hee Hong and Nicholas Li

13-4: Financial Development and the Volatility of Income

Tiago Pinheiro, Francisco Rivadeneyra and Marc Teignier

13-3: A General Equilibrium Model with Banks and Default on Loans

Tamon Takamura

13-2: House Prices, Consumption and the Role of Non-Mortgage Debt

Katya Kartashova and Ben A. R. Tomlin

13-1: The Cyclicality of Sales, Regular and Effective Prices: Business Cycle and Policy Implications

Olivier Coibion, Yuriy Gorodnichenko and Gee Hee Hong

12-43: On the Welfare Effects of Credit Arrangements

Jonathan Chiu, Mei Dong and Enchuan Shao

12-42: Financial Crisis Resolution

Josef Schroth

12-41: Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy

Jean-Sébastien Fontaine

12-40: The Effects of Oil Price Uncertainty on the Macroeconomy

Soojin Jo

12-39: Consumer Interest Rates and Retail Mutual Fund Flows

Jesus Sierra

12-38: Liquidity and Central Clearing: Evidence from the CDS Market

Joshua Slive, Jonathan Witmer and Elizabeth Woodman

12-37: Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields

Bruno Feunou and Jean-Sébastien Fontaine

12-36: The Role of Credit in International Business Cycles

TengTeng Xu

12-35: When Lower Risk Increases Profit: Competition and Control of a Central Counterparty

Jean-Sébastien Fontaine, Hector Perez Saiz and Joshua Slive

12-34: The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation

Peter F. Christoffersen, Bruno Feunou, Kris Jacobs and Nour Meddahi

12-33: Financial Conditions and the Money-Output Relationship in Canada

Maral Kichian

12-32: China’s Emergence in the World Economy and Business Cycles in Latin America

Ambrogio Cesa-Bianchi, M Hashem Pesaran, Alessandro Rebucci and TengTeng Xu

12-31: The Evolution of Canada’s Global Export Market Share

Daniel James de Munnik, Jocelyn Jacob and Wesley Sze

12-30: Price Negotiation in Differentiated Products Markets: Evidence from the Canadian Mortgage Market

Jason Allen, Robert Clark and Jean-François Houde

12-29: Efficiency and Bargaining Power in the Interbank Loan Market

Jason Allen, James Chapman, Federico Echenique and Matthew Shum

12-28: What Drags and Drives Mobility: Explaining Canada’s Aggregate Migration Patterns

David Amirault, Daniel James de Munnik and Sarah Miller

12-27: Systematic Risk, Debt Maturity and the Term Structure of Credit Spreads

Hui Chen, Yu Xu and Jun Yang

12-26: Natural Monopoly and Distorted Competition: Evidence from Unbundling Fiber-Optic Networks

Naoaki Minamihashi

12-25: Does the Buck Stop Here? A Comparison of Withdrawals from Money Market Mutual Funds with Floating and Constant Share Prices

Jonathan Witmer

12-24: Why Do Shoppers Use Cash? Evidence from Shopping Diary Data

Naoki Wakamori and Angelika Welte

12-23: Inflation and Growth: A New Keynesian Perspective

Robert A. Amano, Tom Carter and Kevin Moran

12-22: The Ex-Ante Versus Ex-Post Effect of Public Guarantees

Evren Damar, Reint Eberhard Gropp and Adi Mordel

12-21: Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound

Christiane Baumeister and Luca Benati

12-20: The Sensitivity of Producer Prices to Exchange Rates: Insights from Micro Data

Shutao Cao, Wei Dong and Ben A. R. Tomlin

12-19: International Business Cycles and Financial Frictions

Wen Yao

12-18: Consumer Bankruptcy and Information

Jason Allen, Evren Damar and David Martinez-Miera

12-17: On the Existence and Fragility of Repo Markets

Hajime Tomura

12-16: Commodities and Monetary Policy: Implications for Inflation and Price Level Targeting

Donald Coletti, René Lalonde, Paul Robert Masson, Dirk Vaughn Muir and Stephen Matthew Snudden

12-15: Estimating the Demand for Settlement Balances in the Canadian Large Value Transfer System

Nellie Zhang

12-14: The Impact of Retail Payment Innovations on Cash Usage

Ben Fung, Kim P. Huynh and Leonard Sabetti

12-13: Changes in the Effects of Monetary Policy on Disaggregate Price Dynamics

Christiane Baumeister, Philip Liu and Haroon Mumtaz

12-12: House Price Dynamics: Fundamentals and Expectations

Eleonora Granziera and Sharon Kozocki

12-11: Risk Premium, Variance Premium and the Maturity Structure of Uncertainty

Bruno Feunou, Jean-Sébastien Fontaine, Abderrahim Taamouti and Roméo Tedongap

12-10: When Is It Less Costly for Risky Firms to Borrow? Evidence from the Bank Risk-Taking Channel of Monetary Policy

Teodora Paligorova and Joao Santos

12-9: Central Bank Communication or the Media’s Interpretation: What Moves Markets?

Scott Hendry

12-8: Growth in Emerging Market Economies and the Commodity Boom of 2003–2008: Evidence from Growth Forecast Revisions

Elif Ceren Arbatli and Garima Vasishtha

12-7: Short-Term Forecasting of the Japanese Economy Using Factor Models

Claudia Godbout and Marco Jacopo Lombardi