Find Bank of Canada research by keyword, author, content type, JEL code, topic or date of publication.
Receive notification by email whenever new research is added to the website.
1770
result(s)
Macroprudential Rules and Monetary Policy when Financial Frictions Matter
Staff Working Paper 2012-6
Jeannine Bailliu,
Césaire Meh,
Yahong Zhang
This paper examines the interaction between monetary policy and macroprudential policy and whether policy makers should respond to financial imbalances. To address this issue, we build a dynamic general equilibrium model that features financial market frictions and financial shocks as well as standard macroeconomic shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets,
Financial stability,
Monetary policy framework
JEL Code(s):
E,
E4,
E42,
E5,
E50,
E6,
E60
Why Is Cash (Still) So Entrenched? Insights from the Bank of Canada’s 2009 Methods-of-Payment Survey
Staff Discussion Paper 2012-2
Carlos Arango,
Dylan Hogg,
Alyssa Lee
The authors present key insights from the Bank of Canada’s 2009 Methods-of-Payment survey. In the survey, about 6,800 participants completed a questionnaire with detailed information regarding their personal finances, as well as their use and perceptions of different payment methods.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Bank notes,
Financial services
JEL Code(s):
D,
D1,
D12,
E,
E4,
E41,
L,
L8,
L81
An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks
Staff Working Paper 2012-5
Gregory Bauer,
Antonio Diez de los Rios
We construct a multi-country affine term structure model that contains unspanned macroeconomic and foreign exchange risks. The canonical version of the model is derived and is shown to be easy to estimate.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Exchange rates,
Interest rates
JEL Code(s):
E,
E4,
E43,
F,
F3,
F31,
G,
G1,
G12,
G15
Price Competition and Concentration in Search and Negotiation Markets: Evidence from Mortgage Lending
Staff Working Paper 2012-4
Jason Allen,
Robert Clark,
Jean-François Houde
This paper examines the impact of bank consolidation on mortgage rates in order to evaluate the extent to which mortgage markets are competitive. Mortgage markets are decentralized and so rates are determined through a search and negotiation process.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial services,
Interest rates
JEL Code(s):
G,
G2,
L,
L1
Fooled by Search: Housing Prices, Turnover and Bubbles
Staff Working Paper 2012-3
Brian Peterson
his paper develops and estimates a model to explain the behaviour of house prices in the United States. The main finding is that over 70% of the increase in house prices relative to trend during the increase of house prices in the United States from 1995 to 2006 can be explained by a pricing mechanism where market participants are ‘Fooled by Search.’
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Business fluctuations and cycles
JEL Code(s):
E,
E3,
R,
R2,
R21
A Foreign Activity Measure for Predicting Canadian Exports
Staff Discussion Paper 2012-1
Louis Morel
The author constructs a measure of foreign activity that takes into account the composition of foreign demand for Canadian exports. It has a number of interesting features.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Balance of payments and components,
Exchange rates,
Recent economic and financial developments
JEL Code(s):
E,
E0,
E00,
F,
F1,
F17
Time-Varying Effects of Oil Supply Shocks on the U.S. Economy
Staff Working Paper 2012-2
Christiane Baumeister,
Gert Peersman
We use vector autoregressions with drifting coefficients and stochastic volatility to investigate how the dynamic effects of oil supply shocks on the U.S. economy have changed over time. We find a substantial decline in the short-run price elasticity of oil demand since the mid-eighties.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
E,
E3,
E31,
E32,
Q,
Q4,
Q43
Real-Time Analysis of Oil Price Risks Using Forecast Scenarios
Staff Working Paper 2012-1
Christiane Baumeister,
Lutz Kilian
Recently, there has been increased interest in real-time forecasts of the real price of crude oil. Standard oil price forecasts based on reduced-form regressions or based on oil futures prices do not allow consumers of forecasts to explore how much the forecast would change relative to the baseline forecast under alternative scenarios about future oil demand and oil supply conditions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C5,
C53,
E,
E3,
E32,
Q,
Q4,
Q43
A Model of the EFA Liabilities
Staff Discussion Paper 2011-11
Francisco Rivadeneyra,
Oumar Dissou
The authors describe the liabilities model of the Exchange Fund Account (EFA). The EFA is managed using an asset-liability matching framework that requires currency and duration matching of both sides of the balance sheet.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Debt management,
Foreign reserves management
JEL Code(s):
G,
G1,
G12,
G3,
G32