Staff Working Papers

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07-4: Price Discovery in Canadian Government Bond Futures and Spot Markets

Christopher Chung, Bryan Campbell and Scott Hendry

07-3: Time-Consistent Control in Non-Linear Models

Steven Ambler and Florian Pelgrin

07-2: Housing Market Cycles and Duration Dependence in the United States and Canada

Rose Cunningham and Ilan Kolet

07-1: How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables

John Galbraith and Greg Tkacz

06-49: Canadian City Housing Prices and Urban Market Segmentation

Jason Allen, Robert Amano, David Byrne and Allan Gregory

06-48: Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective

David Bolder

06-47: Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector

Miroslav Misina, David Tessier and Shubhasis Dey

06-46: Survey-Based Estimates of the Term Structure of Expected U.S. Inflation

Sharon Kozicki and Peter Tinsley

06-45: The Role of Debt and Equity Finance over the Business Cycle

Francisco Covas and Wouter den Haan

06-44: The Long-Term Effects of Cross-Listing Investor Recognition, and Ownership Structure on Valuation

Michael King and Dan Segal

06-43: Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets

Alexander Melnikov and Yuliya Romanyuk

06-42: Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model

Céline Gauthier and Fuchun Li

06-41: An Optimized Monetary Policy Rule for ToTEM

Jean-Philippe Cayen, Amy Corbett and Patrick Perrier

06-40: Education and Self-Employment: Changes in Earnings and Wealth Inequality

Yaz Terajima

06-39: Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices

Jean-Marie Dufour and David Tessier

06-38: Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence

Fousseni Chabi-Yo

06-37: Endogenous Borrowing Constraints and Consumption Volatility in a Small Open Economy

Carlos de Resende

06-36: Credit in a Tiered Payments System

Alexandra Lai, Nikil Chande and Sean O'Connor

06-35: Survey of Price-Setting Behaviour of Canadian Companies

David Amirault, Carolyn Kwan and Gordon Wilkinson

06-34: The Macroeconomic Effects of Non-Zero Trend Inflation

Robert Amano, Steven Ambler and Nooman Rebei

06-33: Are Canadian Banks Efficient? A Canada--U.S. Comparison

Jason Allen, Walter Engert and Ying Liu

06-32: Governance and the IMF: Does the Fund Follow Corporate Best Practice?

Eric Santor

06-31: Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns

Antonio Diez de los Rios and René Garcia

06-30: Multinationals and Exchange Rate Pass-Through

Alexandra Lai and Oana Secrieru

06-29: The Turning Black Tide: Energy Prices and the Canadian Dollar

Ramzi Issa, Robert Lafrance and John Murray

06-28: Estimation of the Default Risk of Publicly Traded Canadian Companies

Georges Dionne, Sadok Laajimi, Sofiane Mejri and Madalina Petrescu

06-27: Can Affine Term Structure Models Help Us Predict Exchange Rates?

Antonio Diez de los Rios

06-26: Using Monthly Indicators to Predict Quarterly GDP

Yi Zheng and James Rossiter

06-25: Linear and Threshold Forecasts of Output and Inflation with Stock and Housing Prices

Greg Tkacz and Carolyn Wilkins

06-24: Are Average Growth Rate and Volatility Related?

Partha Chatterjee and Malik Shukayev

06-23: Convergence in a Stochastic Dynamic Heckscher-Ohlin Model

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

Anna Piretti and Charles St-Arnaud

06-21: The International Monetary Fund's Balance-Sheet and Credit Risk

Ryan Felushko and Eric Santor

06-20: Examining the Trade-Off between Settlement Delay and Intraday Liquidity in Canada's LVTS: A Simulation Approach

Neville Arjani

06-19: Institutional Quality, Trade, and the Changing Distribution of World Income

Brigitte Desroches and Michael Francis

06-18: Working Time over the 20th Century

Alexander Ueberfeldt

06-17: Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events

Alejandro Garcia and Ramazan Gencay

06-16: Benchmark Index of Risk Appetite

Miroslav Misina

06-15: LVTS, the Overnight Market, and Monetary Policy

Nadja Kamhi

06-14: Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion

Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian and Sebastien McMahon

06-13: Guarding Against Large Policy Errors under Model Uncertainty

Gino Cateau

06-12: The Welfare Implications of Inflation versus Price-Level Targeting in a Two-Sector, Small Open Economy

Eva Ortega and Nooman Rebei

06-11: The Federal Reserve's Dual Mandate: A Time-Varying Monetary Policy Priority Index for the United States

René Lalonde and Nicolas Parent

06-10: An Evaluation of Core Inflation Measures

Jamie Armour

06-9: Monetary Policy in an Estimated DSGE Model with a Financial Accelerator

Ian Christensen and Ali Dib

06-8: A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market

Ingrid Lo and Stephen Sapp

06-7: Ownership Concentration and Competition in Banking Markets

Alexandra Lai and Raphael Solomon

06-6: Regime Shifts in the Indicator Properties of Narrow Money in Canada

Tracy Chan, Ramdane Djoudad and Jackson Loi

06-5: Are Currency Crises Low-State Equilibria? An Empirical, Three-Interest-Rate Model

Christopher Cornell and Raphael Solomon

06-4: Forecasting Canadian Time Series with the New Keynesian Model

Ali Dib, Mohamed Gammoudi and Kevin Moran