Central Bank Research Hub - Series: Bank of Canada Working papers 2006

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Title Author(s)

Canadian City Housing Prices and Urban Market Segmentation

Paper: 2006-49, 21.12.2006

JEL: C22, C32, R2

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

Paper: 2006-48, 21.12.2006

JEL: C0, C6, E4, G1

Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector

Paper: 2006-47, 20.12.2006

JEL: C15, G21, G33

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

Paper: 2006-46, 14.12.2006

JEL: E3, E5

The Role of Debt and Equity Finance over the Business Cycle

Paper: 2006-45, 08.12.2006

JEL: E3, G1, G3

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

Paper: 2006-44, 06.12.2006

JEL: G12, G15

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

Paper: 2006-43, 30.11.2006

JEL: D81, G10, G12

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

Paper: 2006-42, 25.11.2006

JEL: C5, E4

An Optimized Monetary Policy Rule for ToTEM

Paper: 2006-41, 25.11.2006

JEL: E5, E52

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

Paper: 2006-40, 16.11.2006

JEL: D31, I21, J23

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

Paper: 2006-39, 27.10.2006

JEL: C1, C12, C15, C32, C51, C53, E52

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

Paper: 2006-38, 26.10.2006

JEL: C61, G12, G13

Endogenous Borrowing Constraints and Consumption Volatility in a Small Open Economy

Paper: 2006-37, 18.10.2006

JEL: F32, F34, F41

Credit in a Tiered Payments System

Paper: 2006-36, 03.10.2006

JEL: G21, L12, L13, L22

Survey of Price-Setting Behaviour of Canadian Companies

Paper: 2006-35, 27.09.2006

JEL: D40, E30, L11

The Macroeconomic Effects of Non-Zero Trend Inflation

Paper: 2006-34, 27.09.2006

JEL: E24, E32

Are Canadian Banks Efficient? A Canada¿U.S. Comparison

Paper: 2006-33, 25.09.2006

JEL: C33, D24, G21

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

Paper: 2006-32, 25.09.2006

JEL: F3

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

Paper: 2006-31, 25.09.2006

JEL: C1, C5, G1

Multinationals and Exchange Rate Pass-Through

Paper: 2006-30, 25.09.2006

JEL: F23, L16

The Turning Black Tide: Energy Prices and the Canadian Dollar

Paper: 2006-29, 25.09.2006

JEL: F31

Estimation of the Default Risk of Publicly Traded Canadian Companies

Paper: 2006-28, 05.08.2006

JEL: G21, G24, G28, G33

Can Affine Term Structure Models Help Us Predict Exchange Rates?

Paper: 2006-27, 04.08.2006

JEL: E43, F31, G12, G15

Using Monthly Indicators to Predict Quarterly GDP

Paper: 2006-26, 02.08.2006

JEL: C22, C53

Linear and Threshold Forecasts of Output and Inflation with Stock and Housing Prices

Paper: 2006-25, 31.07.2006

JEL: C53, E4

Are Average Growth Rate and Volatility Related?

Paper: 2006-24, 13.07.2006

JEL: E32

Convergence in a Stochastic Dynamic Heckscher-Ohlin Model

Paper: 2006-23, 10.07.2006

JEL: F43, O41

Launching the NEUQ: The New European Union Quarterly Model, A Small Model of the Euro Area and U.K. Economies

Paper: 2006-22, 03.07.2006

JEL: C53, E17, E37

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

Paper: 2006-21, 23.06.2006

JEL: F3

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

Paper: 2006-20, 16.06.2006

JEL: E47, G21

Institutional Quality, Trade, and the Changing Distribution of World Income

Paper: 2006-19, 01.06.2006

JEL: F11, F15, O11, P48

Working Time over the 20th Century

Paper: 2006-18, 01.06.2006

JEL: E13, E24, O11

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

Paper: 2006-17, 01.06.2006

JEL: C1, G0, G1

Benchmark Index of Risk Appetite

Paper: 2006-16, 01.06.2006

JEL: G12

LVTS, the Overnight Market, and Monetary Policy

Paper: 2006-15, 01.06.2006

JEL: E5

Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion

Paper: 2006-14, 01.05.2006

JEL: C52, C53, E37

Guarding Against Large Policy Errors under Model Uncertainty

Paper: 2006-13, 01.05.2006

JEL: D8, D81, E5, E58

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

Paper: 2006-12, 01.05.2006

JEL: E31, E32, E52

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

Paper: 2006-11, 01.05.2006

JEL: C22, C52, E52

An Evaluation of Core Inflation Measures

Paper: 2006-10, 01.04.2006

JEL: E31

Monetary Policy in an Estimated DSGE Model with a Financial Accelerator

Paper: 2006-09, 01.04.2006

JEL: E32, E37, E44

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

Paper: 2006-08, 01.04.2006

JEL: C3, D8, F31

Ownership Concentration and Competition in Banking Markets

Paper: 2006-07, 01.04.2006

JEL: G21, G28, G32, L10

Regime Shifts in the Indicator Properties of Narrow Money in Canada

Paper: 2006-06, 01.04.2006

JEL: E40, E42, E50

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

Paper: 2006-05, 01.04.2006

JEL: C62, E59, F41

Forecasting Canadian Time Series with the New Keynesian Model

Paper: 2006-04, 01.04.2006

JEL: C12, E32, E37

Money and Credit Factors

Paper: 2006-03, 01.04.2006

JEL: C43, C82, E51

Structural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada

Paper: 2006-02, 01.03.2006

JEL: C52, E31, F31, F40

The Institutional and Political Determinants of Fiscal Adjustment

Paper: 2006-01, 01.03.2006

JEL: E62, O17, O19

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