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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

International asset substitutability : theory and evidence for Canada

Boothe, Paul Michael (contributor) - 1985

Persistent link: https://www.econbiz.de/10000723094

International asset substitutability : theory and evidence for Canada

Boothe, Paul (contributor) - 1985

Persistent link: https://www.econbiz.de/10003479724

Monetary and fiscal policies in Canada : some interesting principles for EMU?

Traclet, Virginie - 2004

Persistent link: https://www.econbiz.de/10002175183

Uncertain Fiscal Consolidations

Bi, Huixin; Leeper, Eric M.; Leith, Campbell - Bank of Canada - 2013

The paper explores the macroeconomic consequences of fiscal consolidations whose timing and composition - either tax …- or spending-based - are uncertain. We find that the composition of the fiscal consolidation, its duration, the monetary …

Persistent link: https://www.econbiz.de/10010849954

Housing and Tax Policy

Alpanda, Sami; Zubairy, Sarah - Bank of Canada - 2013

In this paper, we investigate the effects of housing-related tax policy measures on macroeconomic aggregates using a …-occupied housing. Using our model, we analyze the effects of changes in housing-related tax policy measures on the level of output, tax … revenue and household debt, along with other macroeconomic aggregates. The tax policies we consider are (i) increasing …

Persistent link: https://www.econbiz.de/10010849964

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

Friedrich, Christian - Bank of Canada - 2014

Inflation dynamics in advanced countries have produced two consecutive puzzles during the years after the global financial crisis. The first puzzle emerged when inflation rates over the period 2009-11 were consistently higher than expected, although economic slack in advanced countries reached...

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

Housework and Fiscal Expansions

Gnocchi, Stefano; Hauser, Daniela; Pappa, Evi - Bank of Canada - 2014

We build an otherwise-standard business cycle model with housework, calibrated consistently with data on time use, in order to discipline consumption-hours complementarity and relate its strength to the size of fiscal multipliers. We show that if substitutability between home and market goods is...

Persistent link: https://www.econbiz.de/10010885042

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 cost of debt, subject to limitations on risk. The Bank of Canada provides debt-management analysis and advice to the Government of Canada to assist in this task, with the...

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

On Fiscal Multipliers: Estimates from a Medium Scale DSGE Model

Zubairy, Sarah - Bank of Canada - 2010

small response of private consumption to increased government spending. The multipliers for labor and capital tax on impact … stimulative effects of higher spending at horizons of 12-20 quarters. The expansionary effects of tax cuts are primarily driven by … government spending shocks, using Bayesian techniques for US data. I find the multiplier for government spending to be 1.12, and …

Persistent link: https://www.econbiz.de/10008740311