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Staff Working Papers

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07-21: A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate Downloads
Fousseni Chabi-Yo and Jun Yang
07-20: Multivariate Realized Stock Market Volatility Downloads
Gregory Bauer and Keith Vorkink
07-19: Perhaps the FOMC Did What It Said It Did: An Alternative Interpretation of the Great Inflation Downloads
Sharon Kozicki and Peter Tinsley
07-18: Central Bank Performance under Inflation Targeting Downloads
Marc-André Gosselin
07-17: Firms Dynamics, Bankruptcy Laws and Total Factor Productivity Downloads
Hajime Tomura
07-16: World Real Interest Rates: A Global Savings and Investment Perspective Downloads
Brigitte Desroches and Michael Francis
07-15: Does Indexation Bias the Estimated Frequency of Price Adjustment? Downloads
Maral Kichian and Oleksiy Kryvtsov
07-14: Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis Downloads
David Bolder and Tiago Rubin
07-13: Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis Downloads
David Bolder and Tiago Rubin
07-12: Schooling, Inequality and Government Policy Downloads
Oleksiy Kryvtsov and Alexander Ueberfeldt
07-11: Uncollateralized Overnight Loans Settled in LVTS Downloads
Scott Hendry and Nadja Kamhi
07-10: Do We Need the IMF to Resolve a Crisis? Lessons from Past Episodes of Debt Restructuring Downloads
Philipp Maier
07-9: Best Instruments for Market Discipline in Banking Downloads
Greg Caldwell
07-8: Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation Downloads
Calista Cheung and Frederick Demers
07-7: Technology Shocks and Business Cycles: The Role of Processing Stages and Nominal Rigidities Downloads
Louis Phaneuf and Nooman Rebei
07-6: Monetary Policy Committees in Action: Is There Room for Improvement? Downloads
Philipp Maier
07-5: Impact of Electronic Trading Platforms on the Brokered Interdealer Market for Government of Canada Benchmark Bonds Downloads
Natasha Khan
07-4: Price Discovery in Canadian Government Bond Futures and Spot Markets Downloads
Christopher Chung, Bryan Campbell and Scott Hendry
07-3: Time-Consistent Control in Non-Linear Models Downloads
Steven Ambler and Florian Pelgrin
07-2: Housing Market Cycles and Duration Dependence in the United States and Canada Downloads
Rose Cunningham and Ilan Kolet
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
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