Staff Working Papers

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15-34: Heterogeneity in the Dynamic Effects of Uncertainty on Investment

Sung Je Byun and Soojin Jo

15-33: Cheap But Flighty: How Global Imbalances Create Financial Fragility

Toni Ahnert and Enrico Perotti

15-32: Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach

Kartik Anand, Céline Gauthier and Moez Souissi

15-31: Exchange Rate Pass-Through, Currency of Invoicing and Market Share

Michael Devereux, Wei Dong and Ben Tomlin

15-30: The Endogenous Relative Price of Investment

Joel Wagner

15-29: Examining Full Collateral Coverage in Canada’s Large Value Transfer System

Lana Embree and Varya Taylor

15-28: Revisiting National Border Effects in Foreign Trade in Goods of Canadian Provinces

Farrukh Suvankulov

15-27: Risk Sharing in the Presence of a Public Good

Josef Schroth

15-26: On the Welfare Cost of Rare Housing Disasters

Shaofeng Xu

15-25: Managerial Compensation Duration and Stock Price Manipulation

Josef Schroth

15-24: Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data

Pierre Guérin and Danilo Leiva-Leon

15-23: Revisiting the Macroeconomic Impact of Oil Shocks in Asian Economies

Juncal Cuñado, Soojin Jo and Fernando Pérez de Gracia

15-22: Sheltered Income: Estimating Income Under-Reporting in Canada, 1998 and 2004

Geoffrey Dunbar and Chunling Fu

15-21: Large-Scale Asset Purchases: Impact on Commodity Prices and International Spillover Effects

Sharon Kozicki, Eric Santor and Lena Suchanek

15-20: Changes in Payment Timing in Canada’s Large Value Transfer System

Yinan Nellie Zhang

15-19: Productive Misallocation and International Transmission of Credit Shocks

Yuko Imura and Julia Thomas

15-18: Government and Private E-Money-Like Systems: Federal Reserve Notes and National Bank Notes

Warren Weber

15-17: Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates

Fuchun Li

15-16: Exploring Differences in Household Debt Across Euro Area Countries and the United States

Dimitris Christelis, Michael Ehrmann and Dimitris Georgarakos

15-15: Household Stockholding Behavior During the Great Financial Crisis

Jie Zhou

15-14: A Wake-Up-Call Theory of Contagion

Toni Ahnert and Christoph Bertsch

15-13: Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis

Michael Ehrmann and Marcel Fratzscher

15-12: Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns

Jean-Sebastien Fontaine, René Garcia and Sermin Gungor

15-11: Fourier Inversion Formulas for Multiple-Asset Option Pricing

Bruno Feunou and Ernest Tafolong

15-10: Effects of Funding Portfolios on the Credit Supply of Canadian Banks

Evren Damar, Cesaire Meh and Yaz Terajima

15-9: Securitization under Asymmetric Information over the Business Cycle

Martin Kuncl

15-8: What Drives Bank-Intermediated Trade Finance? Evidence from Cross-Country Analysis

Jose Maria Serena Garralda and Garima Vasishtha

15-7: Information, Risk Sharing and Incentives in Agency Problems

Jia Xie

15-6: A New Data Set of Quarterly Total Factor Productivity in the Canadian Business Sector

Shutao Cao and Sharon Kozicki

15-5: Motivations for Capital Controls and Their Effectiveness

Radhika Pandey, Gurnain Pasricha, Ila Patnaik and Ajay Shah

15-4: Does Financial Integration Increase Welfare? Evidence from International Household-Level Data

Christian Friedrich

15-3: The Efficiency of Private E-Money-Like Systems: The U.S. Experience with National Bank Notes

Warren Weber

15-2: International Spillovers of Large-Scale Asset Purchases

Sami Alpanda and Serdar Kabaca

15-1: Immigrants and Mortgage Delinquency in the United States

Zhenguo Lin, Yingchun Liu and Jia Xie

14-59: Demographics and the Demand for Currency

Geoffrey Dunbar

14-58: Addressing Household Indebtedness: Monetary, Fiscal or Macroprudential Policy?

Sami Alpanda and Sarah Zubairy

14-57: International Spillovers of Policy Uncertainty

Stefan Klößner and Rodrigo Sekkel

14-56: High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market

George Jiang, Ingrid Lo and Giorgio Valente

14-55: Persistent Leverage in Portfolio Sorts: An Artifact of Measurement Error?

Michael Mueller

14-54: International House Price Cycles, Monetary Policy and Risk Premiums

Gregory Bauer

14-53: The Impact of U.S. Monetary Policy Normalization on Capital Flows to Emerging-Market Economies

Tatjana Dahlhaus and Garima Vasishtha

14-52: Targeting Inflation from Below - How Do Inflation Expectations Behave?

Michael Ehrmann

14-51: Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings

Sermin Gungor and Richard Luger

14-50: The Effect of the Federal Reserve’s Tapering Announcements on Emerging Markets

Vikram Rai and Lena Suchanek

14-49: Credit Market Frictions and Sudden Stops

Yuko Imura

14-48: The Propagation of Industrial Business Cycles

Maximo Camacho and Danilo Leiva-Leon

14-47: Labour Share Fluctuations in Emerging Markets: The Role of the Cost of Borrowing

Serdar Kabaca

14-46: Are There Gains from Pooling Real-Time Oil Price Forecasts?

Christiane Baumeister, Lutz Kilian and Thomas Lee

14-45: On the Importance of Sales for Aggregate Price Flexibility

Oleksiy Kryvtsov and Nicolas Vincent

14-44: The Role of Card Acceptance in the Transaction Demand for Money

Kim Huynh, Philipp Schmidt-Dengler and Helmut Stix