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Staff Working Papers

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07-1: How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables Downloads
John Galbraith and Greg Tkacz
06-49: Canadian City Housing Prices and Urban Market Segmentation Downloads
Jason Allen, Robert Amano, David Byrne and Allan Gregory
06-48: Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective Downloads
David Bolder
06-47: Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector Downloads
Miroslav Misina, David Tessier and Shubhasis Dey
06-46: Survey-Based Estimates of the Term Structure of Expected U.S. Inflation Downloads
Sharon Kozicki and Peter Tinsley
06-45: The Role of Debt and Equity Finance over the Business Cycle Downloads
Francisco Covas and Wouter den Haan
06-44: The Long-Term Effects of Cross-Listing Investor Recognition, and Ownership Structure on Valuation Downloads
Michael King and Dan Segal
06-43: Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets Downloads
Alexander Melnikov and Yuliya Romanyuk
06-42: Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model Downloads
Céline Gauthier and Fuchun Li
06-41: An Optimized Monetary Policy Rule for ToTEM Downloads
Jean-Philippe Cayen, Amy Corbett and Patrick Perrier
06-40: Education and Self-Employment: Changes in Earnings and Wealth Inequality Downloads
Yaz Terajima
06-39: Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices Downloads
Jean-Marie Dufour and David Tessier
06-38: Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence Downloads
Fousseni Chabi-Yo
06-37: Endogenous Borrowing Constraints and Consumption Volatility in a Small Open Economy Downloads
Carlos de Resende
06-36: Credit in a Tiered Payments System Downloads
Alexandra Lai, Nikil Chande and Sean O'Connor
06-35: Survey of Price-Setting Behaviour of Canadian Companies Downloads
David Amirault, Carolyn Kwan and Gordon Wilkinson
06-34: The Macroeconomic Effects of Non-Zero Trend Inflation Downloads
Robert Amano, Steven Ambler and Nooman Rebei
06-33: Are Canadian Banks Efficient? A Canada--U.S. Comparison Downloads
Jason Allen, Walter Engert and Ying Liu
06-32: Governance and the IMF: Does the Fund Follow Corporate Best Practice? Downloads
Eric Santor
06-31: Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns Downloads
Antonio Diez de los Rios and René Garcia
06-30: Multinationals and Exchange Rate Pass-Through Downloads
Alexandra Lai and Oana Secrieru
06-29: The Turning Black Tide: Energy Prices and the Canadian Dollar Downloads
Ramzi Issa, Robert Lafrance and John Murray
06-28: Estimation of the Default Risk of Publicly Traded Canadian Companies Downloads
Georges Dionne, Sadok Laajimi, Sofiane Mejri and Madalina Petrescu
06-27: Can Affine Term Structure Models Help Us Predict Exchange Rates? Downloads
Antonio Diez de los Rios
06-26: Using Monthly Indicators to Predict Quarterly GDP Downloads
Yi Zheng and James Rossiter
06-25: Linear and Threshold Forecasts of Output and Inflation with Stock and Housing Prices Downloads
Greg Tkacz and Carolyn Wilkins
06-24: Are Average Growth Rate and Volatility Related? Downloads
Partha Chatterjee and Malik Shukayev
06-23: Convergence in a Stochastic Dynamic Heckscher-Ohlin Model Downloads
Partha Chatterjee and Malik Shukayev
06-22: Launching the NEUQ: The New European Union Quarterly Model, A Small Model of the Euro Area and U.K. Economies Downloads
Anna Piretti and Charles St-Arnaud
06-21: The International Monetary Fund's Balance-Sheet and Credit Risk Downloads
Ryan Felushko and Eric Santor
06-20: Examining the Trade-Off between Settlement Delay and Intraday Liquidity in Canada's LVTS: A Simulation Approach Downloads
Neville Arjani
06-19: Institutional Quality, Trade, and the Changing Distribution of World Income Downloads
Brigitte Desroches and Michael Francis
06-18: Working Time over the 20th Century Downloads
Alexander Ueberfeldt
06-17: Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events Downloads
Alejandro Garcia and Ramazan Gencay
06-16: Benchmark Index of Risk Appetite Downloads
Miroslav Misina
06-15: LVTS, the Overnight Market, and Monetary Policy Downloads
Nadja Kamhi
06-14: Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion Downloads
Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian and Sebastien McMahon
06-13: Guarding Against Large Policy Errors under Model Uncertainty Downloads
Gino Cateau
06-12: The Welfare Implications of Inflation versus Price-Level Targeting in a Two-Sector, Small Open Economy Downloads
Eva Ortega and Nooman Rebei
06-11: The Federal Reserve's Dual Mandate: A Time-Varying Monetary Policy Priority Index for the United States Downloads
René Lalonde and Nicolas Parent
06-10: An Evaluation of Core Inflation Measures Downloads
Jamie Armour
06-9: Monetary Policy in an Estimated DSGE Model with a Financial Accelerator Downloads
Ian Christensen and Ali Dib
06-8: A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market Downloads
Ingrid Lo and Stephen Sapp
06-7: Ownership Concentration and Competition in Banking Markets Downloads
Alexandra Lai and Raphael Solomon
06-6: Regime Shifts in the Indicator Properties of Narrow Money in Canada Downloads
Tracy Chan, Ramdane Djoudad and Jackson Loi
06-5: Are Currency Crises Low-State Equilibria? An Empirical, Three-Interest-Rate Model Downloads
Christopher Cornell and Raphael Solomon
06-4: Forecasting Canadian Time Series with the New Keynesian Model Downloads
Ali Dib, Mohamed Gammoudi and Kevin Moran
06-3: Money and Credit Factors Downloads
Paul Gilbert and Erik Meijer
06-2: Structural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada Downloads
Lynda Khalaf and Maral Kichian
06-1: The Institutional and Political Determinants of Fiscal Adjustment Downloads
Robert Lavigne
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