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

Papers by year: All | 2015 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003

Title Author(s)

Option Valuation with Observable Volatility and Jump Dynamics

Paper: 2015-39, 07.11.2015

JEL: G1, G12

Nowcasting BRIC+M in Real Time

Paper: 2015-38, 28.10.2015

JEL: C33, C53

Domestic and Multilateral Effects of Capital Controls in Emerging Markets

Paper: 2015-37, 23.10.2015

JEL: F3, F32, F4, F41, F42, G1, G15

Downside Variance Risk Premium

Paper: 2015-36, 22.10.2015

JEL: G1, G12

Analyzing Fiscal Sustainability

Paper: 2013-27, 20.08.2013

Volatility and Liquidity Costs

Paper: 2013-29, 20.08.2013

Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach

Paper: 2013-28, 20.08.2013

Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis

Paper: 2013-25, 16.08.2013

Uncertain Fiscal Consolidations

Paper: 2013-26, 16.08.2013

Is There a Quality Bias in the Canadian CPI? Evidence from Micro Data

Paper: 2013-24, 25.07.2013

A Semiparametric Early Warning Model of Financial Stress Events

Paper: 2013-13, 15.05.2013

Forecasting with Many Models: Model Confidence Sets and Forecast Combination

Paper: 2013-11, 24.04.2013

JEL: C53

Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics

Paper: 2013-12, 24.04.2013

JEL: G12, G17

A New Linear Estimator for Gaussian Dynamic Term Structure Models

Paper: 2013-10, 23.04.2013

JEL: C13, E43, G12

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

Paper: 2013-09, 23.04.2013

JEL: E21, E44, G11, R21

Countercyclical Bank Capital Requirement and Optimized Monetary Policy Rules

Paper: 2013-08, 09.04.2013

To Link or Not To Link? Netting and Exposures Between Central Counterparties

Paper: 2013-06, 16.03.2013

A Tractable Monetary Model Under General Preferences

Paper: 2013-07, 16.03.2013

Market Structure and Cost Pass-Through in Retail

Paper: 2013-05, 08.03.2013

Financial Development and the Volatility of Income

Paper: 2013-04, 31.01.2013

A General Equilibrium Model with Banks and Default on Loans

Paper: 2013-03, 10.01.2013

House Prices, Consumption and the Role of Non-Mortgage Debt

Paper: 2013-02, 10.01.2013

The Cyclicality of Sales, Regular and Effective Prices: Business Cycle and Policy Implications

Paper: 2013-01, 08.01.2013

Financial Crisis Resolution

Paper: 2012-42, 21.12.2012

On the Welfare Effects of Credit Arrangements

Paper: 2012-43, 21.12.2012

Consumer Interest Rates and Retail Mutual Fund Flows

Paper: 2012-39, 19.12.2012

Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy

Paper: 2012-41, 19.12.2012

The Effects of Oil Price Uncertainty on the Macroeconomy

Paper: 2012-40, 19.12.2012

Liquidity and Central Clearing: Evidence from the CDS Market

Paper: 2012-38, 07.12.2012

JEL: G30, G38

The Role of Credit in International Business Cycles

Paper: 2012-36, 15.11.2012

Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields

Paper: 2012-37, 15.11.2012

When Lower Risk Increases Profit: Competition and Control of a Central Counterparty

Paper: 2012-35, 10.11.2012

The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation

Paper: 2012-34, 08.10.2012

The Evolution of Canada's Global Export Market Share

Paper: 2012-31, 08.10.2012

China's Emergence in the World Economy and Business Cycles in Latin America

Paper: 2012-32, 08.10.2012

Financial Conditions and the Money-Output Relationship in Canada

Paper: 2012-33, 08.10.2012

Price Negotiation in Differentiated Products Markets: Evidence from the Canadian Mortgage Market

Paper: 2012-30, 28.09.2012

Efficiency and Bargaining Power in the Interbank Loan Market

Paper: 2012-29, 28.09.2012

What Drags and Drives Mobility: Explaining Canada's Aggregate Migration Patterns

Paper: 2012-28, 11.09.2012

Natural Monopoly and Distorted Competition: Evidence from Unbundling Fiber-Optic Networks

Paper: 2012-26, 27.08.2012

JEL: K23, L43, L96

Systematic Risk, Debt Maturity and the Term Structure of Credit Spreads

Paper: 2012-27, 27.08.2012

JEL: G32, G33

Does the Buck Stop Here? A Comparison of Withdrawals from Money Market Mutual Funds with Floating and Constant Share Prices

Paper: 2012-25, 27.08.2012

JEL: F30, G01, G18, G20

Inflation and Growth: A New Keynesian Perspective

Paper: 2012-23, 14.08.2012

JEL: E31, E52, O31, O42

Why Do Shoppers Use Cash? Evidence from Shopping Diary Data

Paper: 2012-24, 14.08.2012

JEL: C2, D1, G2

The Ex-Ante Versus Ex-Post Effect of Public Guarantees

Paper: 2012-22, 14.08.2012

JEL: G21, G28, G32

Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound

Paper: 2012-21, 23.07.2012

JEL: C11, C32, E52, E58

The Sensitivity of Producer Prices to Exchange Rates: Insights from Micro Data

Paper: 2012-20, 23.07.2012

JEL: E30, F31, F41, L11

Consumer Bankruptcy and Information

Paper: 2012-18, 20.07.2012

JEL: D4, G2

International Business Cycles and Financial Frictions

Paper: 2012-19, 20.07.2012

JEL: E30, F42, F44

On the Existence and Fragility of Repo Markets

Paper: 2012-17, 22.06.2012

JEL: G24

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