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Fontaine, Jean-Sébastien; Garcia, René - 2009

. We measure the value of funding liquidity from the cross-section of on-the-run premia by adding a liquidity factor to an … arbitrage-free term structure model. As predicted, we find that funding liquidity explains the cross-section of risk premia. An … increase in the value of liquidity predicts lower risk premia for on-the-run and off-the-run bonds but higher risk premia on …

Persistent link: https://www.econbiz.de/10003933337

The effect of economic news on bond market liquidity

D'Souza, Chris; Gaa, Charles - 2004

Persistent link: https://www.econbiz.de/10002098773

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

Bank Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach

Gungor, Sermin; Luger, Richard - Bank of Canada - 2010

We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of...

Persistent link: https://www.econbiz.de/10008765828

Simulations du ratio du service de la dette des consommateurs en utilisant des données micro

Djoudad, Ramdane - Bank of Canada - 2009

The author constructs a formal analytic framework to simulate the impact of various economic shocks on the household debt-service ratio, using data from the Canadian Financial Monitor (CFM) survey. The impact of these shocks on individual households depends on the socio-economic characteristics...

Persistent link: https://www.econbiz.de/10005256656

A Framework to Assess Vulnerabilities Arising from Household Indebtedness Using Microdata

Djoudad, Ramdane - Bank of Canada - 2012

Rising levels of household indebtedness have created concerns about the vulnerabilities of households to adverse economic shocks and the impact on financial stability. To assess these risks, the author presents a formal stress-testing framework that uses microdata to simulate how various...

Persistent link: https://www.econbiz.de/10009653922

Demographics and the Demand for Currency

Dunbar, Geoffrey R. - Bank of Canada - 2014

I use data from the Bank of Canada’s Bank Note Distribution System and exploit a natural experiment offered by the timing of Easter in the Gregorian calendar to analyze the effects of demographic change for currency demand. I find that the main drivers of low-denomination bank note demand are...

Persistent link: https://www.econbiz.de/10011103293

Durées d’utilisation des facteurs et fonction de production : une estimation par la méthode des moments généralisés en système

Heyer, Eric; Pelgrin, Florian; Sylvain, Arnaud - Bank of Canada - 2004

Although a number of studies have demonstrated the importance of the degree of factor utilization in economic analysis, the impact of the durations of utilization in a production function remains largely unknown, particularly in terms of the duration of equipment utilization. Using French data...

Persistent link: https://www.econbiz.de/10005808313

Efficiency and Economies of Scale of Large Canadian Banks

Allen, Jason; Liu, Ying - Bank of Canada - 2005

The authors measure the economies of scale of Canada's six largest banks and their cost-efficiency over time. Using a unique panel data set from 1983 to 2003, they estimate pooled translog cost functions and derive measures of relative efficiency and economies of scale. The disaggregation of the...

Persistent link: https://www.econbiz.de/10005808369

The Employment Costs of Downward Nominal-Wage Rigidity

Farès, J.; Hogan, S. - Bank of Canada - 2000

In this paper, we use firm-level wage and employment data to address whether there is evidence of downward nominal-wage rigidity, and whether that rigidity is associated with a reduction in employment. We describe an estimation bias that can result when estimating reduced-form wage and...

Persistent link: https://www.econbiz.de/10005808403

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