Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1292
result(s)
The Ex-Ante Versus Ex-Post Effect of Public Guarantees
Staff Working Paper 2012-22
H. Evren Damar,
Reint Gropp,
Adi Mordel
In October 2006, Dominion Bond Rating Service (DBRS) introduced new ratings for banks that account for the potential of government support. The rating changes are not a reflection of any changes in the respective banks’ credit fundamentals.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G28,
G3,
G32
Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound
Staff Working Paper 2012-21
Christiane Baumeister,
Luca Benati
We explore the macroeconomic effects of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a time-varying parameter structural VAR model.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Interest rates,
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
C,
C1,
C11,
C3,
C32,
E,
E5,
E52,
E58
The Sensitivity of Producer Prices to Exchange Rates: Insights from Micro Data
Staff Working Paper 2012-20
Shutao Cao,
Wei Dong,
Ben Tomlin
This paper studies the sensitivity of Canadian producer prices to the Canada-U.S. exchange rate. Using a unique product-level price data set, we estimate and analyze the impact of movements in the exchange rate on both domestic and export producer prices.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Inflation and prices,
Market structure and pricing
JEL Code(s):
E,
E3,
E30,
F,
F3,
F31,
F4,
F41,
L,
L1,
L11
International Business Cycles and Financial Frictions
Staff Working Paper 2012-19
Wen Yao
This paper builds a two-country DSGE model to study the quantitative impact of financial frictions on business cycle co-movements when investors have foreign asset exposure. The investor in each country holds capital in both countries and faces a leverage constraint on her debt.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
International financial markets,
International topics
JEL Code(s):
E,
E3,
E30,
F,
F4,
F42,
F44
Consumer Bankruptcy and Information
Staff Working Paper 2012-18
Jason Allen,
H. Evren Damar,
David Martinez-Miera
We analyze the relationship between the intensity of banks’ use of soft-information and household bankruptcy patterns. Using a unique data set on the universe of Canadian household bankruptcies, we document that bankruptcy rates are higher in markets where the collection of soft, or qualitative locally gathered information, is the weakest.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial services
JEL Code(s):
D,
D4,
G,
G2
On the Existence and Fragility of Repo Markets
Staff Working Paper 2012-17
Hajime Tomura
This paper presents a model of an over-the-counter bond market in which bond dealers and cash investors arrange repurchase agreements (repos) endogenously.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
G,
G2,
G24
Commodities and Monetary Policy: Implications for Inflation and Price Level Targeting
Staff Working Paper 2012-16
Donald Coletti,
René Lalonde,
Paul Masson,
Dirk Muir,
Stephen Snudden
We examine the relative ability of simple inflation targeting (IT) and price level targeting (PLT) monetary policy rules to minimize both inflation variability and business cycle fluctuations in Canada for shocks that have important consequences for global commodity prices.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Inflation and prices,
International topics,
Monetary policy framework
JEL Code(s):
E,
E1,
E17,
E3,
E31,
E37,
E5,
E52,
F,
F4,
F41,
Q,
Q4,
Q43
Estimating the Demand for Settlement Balances in the Canadian Large Value Transfer System
Staff Working Paper 2012-15
Nellie Zhang
This paper applies a static model of an interest rate corridor to the Canadian data, and estimates the aggregate demand for central-bank settlement balances in the Large Value Transfer System (LVTS).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Interest rates,
Monetary policy implementation,
Payment clearing and settlement systems
JEL Code(s):
C,
C3,
C36,
E,
E4,
E40,
E5,
E50,
G,
G0,
G01
The Impact of Retail Payment Innovations on Cash Usage
Staff Working Paper 2012-14
Ben Fung,
Kim Huynh,
Leonard Sabetti
Many predict that innovations in retail payment may render cash obsolete. We investigate this possibility in the context of recent payment innovations such as contactless-credit and stored-value cards.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial services,
Payment clearing and settlement systems
JEL Code(s):
C,
C3,
C35,
C8,
C83,
E,
E4,
E41