Staff Working Papers

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16-37: Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility

Michael Ehrmann and Jonathan Talmi

16-36: Output Comovement and Inflation Dynamics in a Two-Sector Model with Durable Goods: The Role of Sticky Information and Heterogeneous Factor Markets

Tomiyuki Kitamura and Tamon Takamura

16-35: Time-Varying Crash Risk: The Role of Stock Market Liquidity

Peter Christoffersen, Bruno Feunou, Yoontae Jeon and Chayawat Ornthanalai

16-34: International Banking and Cross-Border Effects of Regulation: Lessons from Canada

Evren Damar and Adi Mordel

16-33: Relationships in the Interbank Market

Jonathan Chiu and Cyril Monnet

16-32: Global Macro Risks in Currency Excess Returns

Kimberly Berg and Nelson Mark

16-31: Housing Market Dynamics and Macroprudential Policy

Gabriel Bruneau, Ian Christensen and Cesaire Meh

16-30: Financial Inclusion—What’s it Worth?

Miguel Ampudia Fraile and Michael Ehrmann

16-29: Financial Crisis Interventions

Josef Schroth

16-28: The Real-Time Properties of the Bank of Canada’s Staff Output Gap Estimates

Julien Champagne, Guillaume Poulin-Bellisle and Rodrigo Sekkel

16-27: Timing of Banks’ Loan Loss Provisioning During the Crisis

Leo de Haan and Maarten van Oordt

16-26: The Impact of Bankruptcy Reform on Insolvency Choice and Consumer Credit

Jason Allen and Kiana Basiri

16-25: What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks

Laurent Ferrara and Pierre Guérin

16-24: Housing and Tax-Deferred Retirement Accounts

Anson Ho and Jie Zhou

16-23: Identification and Estimation of Risk Aversion in First-Price Auctions with Unobserved Auction Heterogeneity

Serafin Grundl and Yu Zhu

16-22: Estimating Systematic Risk Under Extremely Adverse Market Conditions

Maarten van Oordt and Chen Zhou

16-21: Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach

Fuchun Li and Hongyu Xiao

16-20: Retail Order Flow Segmentation

Corey Garriott and Adrian Walton

16-19: Should Monetary Policy Lean Against Housing Market Booms?

Sami Alpanda and Alexander Ueberfeldt

16-18: A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil

Christiane Baumeister and Lutz Kilian

16-17: Opaque Assets and Rollover Risk

Toni Ahnert and Benjamin Nelson

16-16: Asset Encumbrance, Bank Funding and Financial Fragility

Toni Ahnert, Kartik Anand, Prasanna Gai and James Chapman

16-15: How Fast Can China Grow? The Middle Kingdom’s Prospects to 2030

Jeannine Bailliu, Mark Kruger, Argyn Toktamyssov and Wheaton Welbourn

16-14: A Bitcoin Standard: Lessons from the Gold Standard

Warren Weber

16-13: Government Corruption and Foreign Direct Investment Under the Threat of Expropriation

Christopher Hajzler and Jonathan Rosborough

16-12: Capital Structure, Pay Structure and Job Termination

Jason Allen and James Thompson

16-11: Dating Systemic Financial Stress Episodes in the EU Countries

Thibaut Duprey, Benjamin Klaus and Tuomas Peltonen

16-10: Measuring Systemic Risk Across Financial Market Infrastructures

Fuchun Li and Hector Perez Saiz

16-9: The Dynamics of Capital Flow Episodes

Christian Friedrich and Pierre Guérin

16-8: Wait a Minute: The Efficacy of Discounting versus Non-Pecuniary Payment Steering

Angelika Welte

16-7: Understanding Firms' Inflation Expectations Using the Bank of Canada's Business Outlook Survey

Simon Richards and Matthieu Verstraete

16-6: A Microfounded Design of Interconnectedness-Based Macroprudential Policy

Jose Fique

16-5: Macroeconomic Uncertainty Through the Lens of Professional Forecasters

Soojin Jo and Rodrigo Sekkel

16-4: To Share or Not to Share? Uncovered Losses in a Derivatives Clearinghouse

Radoslav Raykov

16-3: Monetary Commitment and the Level of Public Debt

Stefano Gnocchi and Luisa Lambertini

16-2: Agency Costs, Risk Shocks and International Cycles

Marc-André Letendre and Joel Wagner

16-1: Reconciling the Differences in Aggregate U.S. Wage Series

Julien Champagne, André Kurmann and Jay Stewart

15-47: Debt Overhang and Deleveraging in the US Household Sector: Gauging the Impact on Consumption

Bruno Albuquerque and Georgi Krustev

15-46: Tractable Term Structure Models

Anh Le, Bruno Feunou, Christian Lundblad and Jean-Sebastien Fontaine

15-45: Exchange Rate Fluctuations and Labour Market Adjustments in Canadian Manufacturing Industries

Gabriel Bruneau and Kevin Moran

15-44: Emergency Liquidity Facilities, Signalling and Funding Costs

Céline Gauthier, Alfred Lehar, Hector Perez Saiz and Moez Souissi

15-43: On the Essentiality of E-Money

Jonathan Chiu and Russell Wong

15-42: Speculators, Prices and Market Volatility

Celso Brunetti, Bahattin Buyuksahin and Jeffrey Harris

15-41: Monetary Policy and Financial Stability: Cross-Country Evidence

Christian Friedrich, Kristina Hess and Rose Cunningham

15-40: Credit Conditions and Consumption, House Prices and Debt: What Makes Canada Different?

John Muellbauer, Pierre St-Amant and David Williams

15-39: Option Valuation with Observable Volatility and Jump Dynamics

Peter Christoffersen, Bruno Feunou and Yoontae Jeon

15-38: Nowcasting BRIC+M in Real Time

Tatjana Dahlhaus, Justin-Damien Guenette and Garima Vasishtha

15-37: Domestic and Multilateral Effects of Capital Controls in Emerging Markets

Gurnain Pasricha, Matteo Falagiarda, Martin Bijsterbosch and Joshua Aizenman

15-36: Downside Variance Risk Premium

Bruno Feunou, Mohammad Jahan-Parvar and Cédric Okou

15-35: The Carrot and the Stick: The Business Cycle Implications of Incentive Pay in the Labor Search Model

Julien Champagne