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1775
result(s)
Procyclicality in Central Counterparty Margin Models: A Conceptual Tool Kit and the Key Parameters
Staff Discussion Paper 2023-34
Alper Odabasioglu
Regulators need to provide effective procyclicality guidance, and central counterparties must design and calibrate their margin systems and procyclicality frameworks appropriately. To serve these needs, we provide a novel conceptual tool kit. Further, we highlight that the focus should be on the key margin system parameters in determining procyclicality.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Coronavirus disease (COVID-19),
Credit risk management,
Financial institutions,
Financial markets,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G0,
G01,
G2,
G23,
G28
Communicating Inflation Uncertainty and Household Expectations
Staff Working Paper 2023-63
Olena Kostyshyna,
Luba Petersen
We examine the value of direct communication to households about inflation and the uncertainty around inflation statistics. All types of information about inflation are effective at immediately managing inflation expectations, with information about outlooks being more effective and relevant than that about recent inflation and Bank targets.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Credibility,
Inflation and prices,
Inflation targets,
Monetary policy and uncertainty,
Monetary policy communications
JEL Code(s):
C,
C9,
C93,
D,
D8,
D84,
E,
E5,
E59,
E7
Monetary Policy and Racial Inequality in Housing Markets: A Study of 140 US Metropolitan Areas
We find that minority households see greater declines in housing returns and entries into homeownership than White households after a tightening of monetary policy. Our findings emphasize the unintended consequences of monetary policy on racial inequality in the housing market.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Housing,
Monetary policy
JEL Code(s):
E,
E4,
E40,
E5,
E52,
R,
R0,
R00
Predictive Density Combination Using a Tree-Based Synthesis Function
Staff Working Paper 2023-61
Tony Chernis,
Niko Hauzenberger,
Florian Huber,
Gary Koop,
James Mitchell
This paper studies non-parametric combinations of density forecasts. We introduce a regression tree-based approach that allows combination weights to vary on the features of the densities, time-trends or economic indicators. In two empirical applications, we show the benefits of this approach in terms of improved forecast accuracy and interpretability.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C1,
C11,
C3,
C32,
C5,
C53
Third-Country Effects of U.S. Immigration Policy
Staff Working Paper 2023-60
Agostina Brinatti,
Xing Guo
We study how the tightening of US immigration policy affects the Canadian economy and American workers. After the reduction in H-1B visa admissions in 2017, more immigrants came to Canada, and Canadian firms expanded their employment, sales and exports. The close trade link between the United States and Canada dampens the benefit American workers derive from this policy change.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics,
Labour markets,
Recent economic and financial developments,
Trade integration
JEL Code(s):
F,
F1,
F16,
F2,
F22,
J,
J6,
J61
Perceived versus Calibrated Income Risks in Heterogeneous-Agent Consumption Models
Staff Working Paper 2023-59
Tao Wang
Perceived income risks reported in a survey of consumer expectations are more heterogeneous and, on average, lower than indirectly calibrated risks based on panel data. They prove to be one explanation for why a large fraction of households hold very little liquid savings and why accumulated wealth is widely unequal across households.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Monetary policy,
Monetary policy and uncertainty
JEL Code(s):
D,
D1,
D14,
E,
E2,
E21,
E7,
E71,
G,
G5,
G51
Climate-Related Flood Risk to Residential Lending Portfolios in Canada
Staff Discussion Paper 2023-33
Craig Johnston,
Geneviève Vallée,
Hossein Hosseini,
Brett Lindsay,
Miguel Molico,
Marie-Christine Tremblay,
Aidan Witts
We assess the potential financial risks of current and projected flooding caused by extreme weather events in Canada. We focus on the residential real estate secured lending (RESL) portfolios of Canadian financial institutions (FIs) because RESL portfolios are an important component of FIs’ balance sheets and because the assets used to secure such loans are immobile and susceptible to climate-related extreme weather events.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Central bank research,
Climate change,
Credit risk management,
Econometric and statistical methods,
Financial institutions,
Financial stability
JEL Code(s):
C,
C8,
C81,
G,
G2,
G21,
Q,
Q5,
Q54
Understanding the Systemic Implications of Climate Transition Risk: Applying a Framework Using Canadian Financial System Data
Staff Discussion Paper 2023-32
Gabriel Bruneau,
Javier Ojea Ferreiro,
Andrew Plummer,
Marie-Christine Tremblay,
Aidan Witts
Our study aims to gain insight on financial stability and climate transition risk. We develop a methodological framework that captures the direct effects of a stressful climate transition shock as well as the indirect—or systemic—implications of these direct effects. We apply this framework using data from the Canadian financial system.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Climate change,
Economic models,
Financial institutions,
Financial markets,
Financial stability
JEL Code(s):
C,
C6,
C63,
G,
G0,
G01,
G1,
G10,
G2,
G20,
Q,
Q5,
Q54
The impact of higher interest rates on mortgage payments
Staff Analytical Note 2023-19
Maria teNyenhuis,
Adam Su
We investigate how the increase in interest rates since early 2022 is affecting mortgage payments. By November 2023, less than half of mortgage holders had faced higher payments. Many borrowers will see a sizable increase in payments at renewal, although income growth could help mitigate the impact.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Credit and credit aggregates,
Financial institutions,
Interest rates,
Recent economic and financial developments
JEL Code(s):
D,
D1,
E,
E4,
E5,
G,
G2,
G21