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Showing 1-10 of 1298

Analyzing and Forecasting the Canadian Economy through the LENS Model

Technical Report No. 102 Olivier Gervais, Marc-André Gosselin
The authors describe the key features of a new large-scale Canadian macroeconomic forecasting model developed over the past two years at the Bank of Canada.
Content Type(s): Research, Technical Reports Topic(s): Econometric and statistical methods, Economic models JEL Code(s): C, C5, C53, E, E1, E17, E2, E27, E3, E37, F, F1, F17

Removal of the Unwinding Provisions in the Automated Clearing Settlement System: A Risk Assessment

Discussion Paper 2014-4 Nicholas Labelle, Varya Taylor
A default in the Automated Clearing Settlement System (ACSS) occurs when a Direct Clearer is unable to settle its final obligation.

Capital Flows and Macroprudential Policies - A Multilateral Assessment of Effectiveness and Externalities

Working Paper 2014-31 John Beirne, Christian Friedrich
This paper assesses the effectiveness and associated externalities that arise when macroprudential policies (MPPs) are used to manage international capital flows. Using a sample of up to 139 countries, we examine the impact of eight different MPP measures on cross-border bank flows over the period 1999-2009.

Information, Amplification and Financial Crisis

Working Paper 2014-30 Toni Ahnert, Ali Kakhbod
We propose a parsimonious model of information choice in a global coordination game of regime change that is used to analyze debt crises, bank runs or currency attacks. A change in the publicly available information alters the uncertainty about the behavior of other investors.
Content Type(s): Research, Working Papers Topic(s): Financial Institutions, Financial stability JEL Code(s): D, D8, D83, G, G0, G01

Optimal Margining and Margin Relief in Centrally Cleared Derivatives Markets

Working Paper 2014-29 Radoslav Raykov
A major policy challenge posed by derivatives clearinghouses is that their collateral requirements can rise sharply in times of stress, reducing market liquidity and further exacerbating downturns.

Forecasting Short-Term Real GDP Growth in the Euro Area and Japan Using Unrestricted MIDAS Regressions

Discussion Paper 2014-3 Maxime Leboeuf, Louis Morel
In this paper, the authors develop a new tool to improve the short-term forecasting of real GDP growth in the euro area and Japan. This new tool, which uses unrestricted mixed-data sampling (U-MIDAS) regressions, allows an evaluation of the usefulness of a wide range of indicators in predicting short-term real GDP growth.

Consumer Attitudes and the Epidemiology of Inflation Expectations

This paper studies the formation of consumers’ inflation expectations using micro-level data from the Michigan Survey. It shows that beyond the well-established socio-economic determinants of inflation expectations such as gender, income or education, other characteristics such as the households’ financial situation and their purchasing attitudes also matter.
Content Type(s): Research, Working Papers Topic(s): Inflation and prices JEL Code(s): C, C5, C53, D, D8, D84, E, E3, E31

Retail Payment Innovations and Cash Usage: Accounting for Attrition Using Refreshment Samples

Working Paper 2014-27 Heng Chen, Marie-Hélène Felt, Kim Huynh
We exploit the panel dimension of the Canadian Financial Monitor (CFM) data to estimate the impact of retail payment innovations on cash usage. We estimate a semiparametric panel data model that accounts for unobserved heterogeneity and allows for general forms of non-random attrition.

Filling in the Blanks: Network Structure and Interbank Contagion

Working Paper 2014-26 Kartik Anand, Ben Craig, Goetz von Peter
The network pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures.

Improving Overnight Loan Identification in Payments Systems

Working Paper 2014-25 Mark Rempel
Information on the allocation and pricing of over-the-counter (OTC) markets is scarce. Furfine (1999) pioneered an algorithm that provides transaction-level data on the OTC interbank lending market.

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