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Capital Flows and Macroprudential Policies - A Multilateral Assessment of Effectiveness and Externalities

Beirne, John; Friedrich, Christian - Bank of Canada - 2014

This paper assesses the effectiveness and associated externalities that arise when macroprudential policies (MPPs) are used to manage international capital flows. Using a sample of up to 139 countries, we examine the impact of eight different MPP measures on cross-border bank flows over the...

Persistent link: https://www.econbiz.de/10010849941

Improving Public Equity Markets? No Pain, No Gain

Kartashova, Katya - Bank of Canada - 2014

This paper quantifies the effects of improving public equity markets on macroeconomic aggregates and welfare. I use an open-economy extension of Angeletos (2007), where entrepreneurs face idiosyncratic productivity risk in privately held firms. They can diversify by investing in publicly traded...

Persistent link: https://www.econbiz.de/10010960401

Household Stockholding Behavior During the Great Financial Crisis

Zhou, Jie - Bank of Canada - 2015

Using the Panel Study of Income Dynamics, this paper studies household stock market participation and trading behavior in 2007–09, a period that saw a major stock market downswing. The stock market participation rate fell after the market crash. We find evidence that less-educated households,...

Persistent link: https://www.econbiz.de/10011272205

On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk

Chabi-Yo, Fousseni; Ghysels, Eric; Renault, Eric - Bank of Canada - 2008

The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first … preferences. Tobin (1958) analyzed portfolio demand in a mean-variance setting. We revisit the fund separation in settings that … beliefs portfolios, pertaining to heterogeneity of beliefs, a skewness portfolio similar to Kraus and Litzenberger (1976 …

Persistent link: https://www.econbiz.de/10005220952

The Canadian Debt-Strategy Model: An Overview of the Principal Elements

Bolder, David Jamieson; Deeley, Simon - Bank of Canada - 2011

As part of managing a debt portfolio, debt managers face the challenging task of choosing a strategy that minimizes the …

Persistent link: https://www.econbiz.de/10009323063

Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances

Gungor, Sermin; Luger, Richard - Bank of Canada - 2013

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...

Persistent link: https://www.econbiz.de/10010667177

An Equilibrium Analysis of the Rise in House Prices and Mortgage Debt

Xu, Shaofeng - Bank of Canada - 2013

This paper examines the contributions of population aging, mortgage innovation and historically low interest rates to the sharp rise in U.S. house prices and mortgage debt between 1994 and 2005. I construct an overlapping generations general equilibrium housing model and find that these three...

Persistent link: https://www.econbiz.de/10010640465

Financial Constraints and the Cash-Holding Behaviour of Canadian Firms

McVanel, Darcey; Perevalov, Nikita - Bank of Canada - 2008

The proportion of assets held by the average Canadian firm in the form of cash has increased steadily since the early 1990s, and is now roughly twice as large as in 1990. The literature has established that the cash-holding behaviour of firms is highly correlated with financial constraints and...

Persistent link: https://www.econbiz.de/10005808263

The Demand for Money in a Stochastic Environment

Atta-Mensah, Joseph - Bank of Canada - 2004

The author re-examines the demand-for-money theory in an intertemporal optimization model. The demand for real money balances is derived to be a function of real income and the rates of return of all financial assets traded in the economy. Unlike the traditional money-demand relation, however,...

Persistent link: https://www.econbiz.de/10005808361

Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing

Chabi-Yo, Fousseni; Leisen, Dietmar; Renault, Eric - Bank of Canada - 2007

paper studies the portfolio holdings of heterogeneous agents with preferences over mean, variance and skewness, and derives … equilibrium prices. A three funds separation theorem holds, adding a skewness portfolio to the market portfolio; the pricing …

Persistent link: https://www.econbiz.de/10005808375