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2333
result(s)
August 18, 2011
Introducing Multiple Interest rates in ToTEM
This article describes changes to the structure of ToTEM—the Bank of Canada’s main model for projection and policy analysis—that allow an independent role for long-term interest rates, as well as for the risk spreads that lead to differences in the interest rates faced by households, firms and the government. These changes broaden the range of policy questions that the model can address and improve its ability to explain data. The authors use the model to simulate the effects of shocks to the risk spreads on interest rates similar to those that occurred during the recent financial crisis. They also use the model to assess the macroeconomic impact of higher requirements for bank capital and liquidity.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Economic models,
Financial system regulation and policies,
Interest rates
August 18, 2011
The BoC-GEM-Fin: Banking in the Global Economy
This article describes the Bank of Canada’s version of the Global Economy Model structured to incorporate an active banking system that features an interbank market and cross-border lending. After describing the new model, the authors use it to examine the responses of selected U.S. and Canadian macroeconomic variables to a “credit crunch” in the United States and also to study the impact of changes in the regulatory limits to bank leverage in Canada. They also discuss the relative merits of a monetary policy framework based on inflation targeting and one based on price-level targeting in the presence of shocks to the U.S. and Canadian banking sectors.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Economic models,
Financial institutions,
Financial system regulation and policies,
Monetary policy framework
August 18, 2011
Bank Balance Sheets, Deleveraging and the Transmission Mechanism
The author investigates the influence of bank capital on economic activity, using a macroeconomic model that incorporates an explicit role for financial intermediation. The analysis focuses on the role of a “bank-capital channel” in propagating and amplifying monetary policy actions and other shocks. The question of whether weaker bank balance sheets make the economy more vulnerable to adverse shocks is examined, together with the impact of initiatives, such as countercyclical capital buffers, on the transmission of monetary policy and other shocks to the real economy.
August 18, 2011
Mortgage Debt and Procyclicality in the Housing Market
This article focuses on the role that loans backed by housing collateral play in amplifying housing booms and, more generally, procyclicality in the housing market. The author uses a model developed to include borrower and lender households, as well as a housing market, to examine the impact that altering the loan-to-value ratio (either permanently or countercyclically) might have on the volatility of house prices and mortgage debt.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Economic models,
Financial system regulation and policies,
Market structure and pricing
August 18, 2011
Developing a Medium-Term Debt-Management Strategy for the Government of Canada
As the Government of Canada’s fiscal agent, the Bank of Canada provides strategic policy advice on the management of the government’s debt, in addition to being responsible for conducting debt-management operations. In this article, the authors review the evolution of the debt strategy over the past 20 years and outline the complex process of developing a sound strategy that balances various cost and risk considerations. This includes an examination of the tools and practices used to develop the new medium-term debt-management strategy, such as the modelling approach involved, market consultations and various debt-management metrics.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Debt management,
Economic models
Analyzing Default Risk and Liquidity Demand during a Financial Crisis: The Case of Canada
Staff Working Paper 2011-17
Jason Allen,
Ali Hortaçsu,
Jakub Kastl
This paper explores the reliability of using prices of credit default swap contracts (CDS) as indicators of default probabilities during the 2007/2008 financial crisis.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E42,
E5,
E58,
G,
G0,
G01,
G2,
G28
The Impact of Operational Events on the Network Structure of the LVTS
Staff Discussion Paper 2011-7
Tom Roberts
The author uses a quantitative network analysis approach to assess how participants in the Large Value Transfer System (LVTS) respond to partial outages at other banks.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Payment clearing and settlement systems
JEL Code(s):
C,
C4,
C49,
G,
G1,
G14,
G2,
G21
Real-Time Forecasts of the Real Price of Oil
Staff Working Paper 2011-16
Christiane Baumeister,
Lutz Kilian
We construct a monthly real-time data set consisting of vintages for 1991.1-2010.12 that is suitable for generating forecasts of the real price of oil from a variety of models.
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
The Role of Financial Speculation in Driving the Price of Crude Oil
Staff Discussion Paper 2011-6
Ron Alquist,
Olivier Gervais
Over the past 10 years, financial firms have increased the size of their positions in the oil futures market. At the same time, oil prices have increased dramatically.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
International topics
JEL Code(s):
G,
G1,
G12,
Q,
Q4,
Q41