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

Fontaine, Jean-Sébastien; Garcia, René; Gungor, Sermin - Bank of Canada - 2015

Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks. The dispersions of...

Persistent link: https://www.econbiz.de/10011206206

Securitization under Asymmetric Information over the Business Cycle

Kuncl, Martin - Bank of Canada - 2015

This paper studies the efficiency of financial intermediation through securitization in a model with heterogeneous investment projects and asymmetric information about the quality of securitized assets. I show that when retaining part of the risk, the issuer of securitized assets may credibly...

Persistent link: https://www.econbiz.de/10011170163

Changing Labour Market Participation Since the Great Recession: A Regional Perspective

Cheung, Calista; Granovsky, Dmitry; Velasco, Gabriella - Bank of Canada - 2015

This paper discusses broad trends in labour force participation and part-time employment across different age groups since the Great Recession and uses provincial data to identify changes related to population aging, cyclical effects and other factors. The main population age groups examined are...

Persistent link: https://www.econbiz.de/10011253081

Measuring Potential Output at the Bank of Canada: The Extended Multivariate Filter and the Integrated Framework

Pichette, Lise; St-Amant, Pierre; Tomlin, Ben; Anoma, Karine - Bank of Canada - 2015

Estimating potential output and the output gap - the difference between actual output and its potential - is important for the proper conduct of monetary policy. However, the measurement and interpretation of potential output, and hence the output gap, is fraught with uncertainty, since it is...

Persistent link: https://www.econbiz.de/10011253083

E-Money: Efficiency, Stability and Optimal Policy

Chiu, Jonathan; Wong, Tsz-Nga - Bank of Canada - 2014

What makes e-money more special than cash? Is the introduction of e-money necessarily welfare enhancing? Is an e-money system necessarily stable? What is the optimal way to design an efficient and stable e-money scheme? This paper provides a first attempt to develop a micro-founded, dynamic,...

Persistent link: https://www.econbiz.de/10010762052

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

Weber, Warren E. - Bank of Canada - 2014

In the United States prior to 1863 each bank issued its own distinct notes. E-money shares many of the characteristics of these bank notes. This paper describes some lessons relevant to e-money from the U.S. experience with state bank notes. It examines historical evidence on how well the bank...

Persistent link: https://www.econbiz.de/10010762053

The Role of Card Acceptance in the Transaction Demand for Money

Huynh, Kim; Schmidt-Dengler, Philipp; Stix, Helmut - Bank of Canada - 2014

The use of payment cards, either debit or credit, is becoming more and more widespread in developed economies. Nevertheless, the use of cash remains significant. We hypothesize that the lack of card acceptance at the point of sale is a key reason why cash continues to play an important role. We...

Persistent link: https://www.econbiz.de/10010960390

International Transmission Channels of U.S. Quantitative Easing: Evidence from Canada

Dahlhaus, Tatjana; Hess, Kristina; Reza, Abeer - Bank of Canada - 2014

The U.S. Federal Reserve responded to the great recession by reducing policy rates to the effective lower bound. In order to provide further monetary stimulus, they subsequently conducted large-scale asset purchases, quadrupling their balance sheet in the process. We assess the international...

Persistent link: https://www.econbiz.de/10010960398

Global Inflation Dynamics in the Post-Crisis Period: What Explains the Twin Puzzle?

Friedrich, Christian - Bank of Canada - 2014

financial crisis. The first puzzle emerged when inflation rates over the period 2009-11 were consistently higher than expected … points in the period after the global financial crisis show a significantly different but consistent pattern compared to data … points in the period before or during the crisis. In the next step, potential explanatory variables at the global level are …

Persistent link: https://www.econbiz.de/10010885041

Forecasting Short-Term Real GDP Growth in the Euro Area and Japan Using Unrestricted MIDAS Regressions

Leboeuf, Maxime; Morel, Louis - Bank of Canada - 2014

In this paper, the authors develop a new tool to improve the short-term forecasting of real GDP growth in the euro area and Japan. This new tool, which uses unrestricted mixed-data sampling (U-MIDAS) regressions, allows an evaluation of the usefulness of a wide range of indicators in predicting...

Persistent link: https://www.econbiz.de/10010783640

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