Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1290
result(s)
Simulations du ratio du service de la dette des consommateurs en utilisant des données micro
Staff Working Paper 2009-18
Ramdane Djoudad
The author constructs a formal analytic framework to simulate the impact of various economic shocks on the household debt-service ratio, using data from the Canadian Financial Monitor (CFM) survey.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial stability
JEL Code(s):
C,
C1,
C15,
C3,
C31,
D,
D1,
D14,
E,
E5,
E51
Adopting Price-Level Targeting under Imperfect Credibility in ToTEM
Staff Working Paper 2009-17
Gino Cateau,
Oleksiy Kryvtsov,
Malik Shukayev,
Alexander Ueberfeldt
Using the Bank of Canada's main projection and policy-analysis model, ToTEM, this paper measures the welfare gains of switching from inflation targeting to price-level targeting under imperfect credibility. Following the policy change, private agents assign a probability to the event that the policy-maker will revert to inflation-targeting next period.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy framework,
Monetary policy implementation
JEL Code(s):
E,
E3,
E31,
E5,
E52
Real Effects of Price Stability with Endogenous Nominal Indexation
Staff Working Paper 2009-16
Césaire Meh,
Vincenzo Quadrini,
Yaz Terajima
We study a model with repeated moral hazard where financial contracts are not fully indexed to inflation because nominal prices are observed with delay as in Jovanovic & Ueda (1997).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets,
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
E,
E2,
E21,
E3,
E31,
E4,
E44,
E5,
E52
Heterogeneous Beliefs and Housing-Market Boom-Bust Cycles in a Small Open Economy
Staff Working Paper 2009-15
Hajime Tomura
This paper introduces heterogeneous beliefs among households in a small open economy model for the Canadian economy. The model suggests that simultaneous boom-bust cycles in house prices, output, investment, consumption and hours worked emerge when credit-constrained mortgage borrowers expect that future house prices will rise and this expectation is neither shared by savers nor realized ex-post.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial stability,
Inflation targets
JEL Code(s):
E,
E4,
E44,
E5,
E52
Testing for Financial Contagion with Applications to the Canadian Banking System
Staff Working Paper 2009-14
Fuchun Li
The author proposes a new test for financial contagion based on a non-parametric measure of the cross-market correlation. The test does not depend on the assumption that the data are drawn from a given probability distribution; therefore, it allows for maximal flexibility in fitting into the data.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Econometric and statistical methods,
Financial stability
JEL Code(s):
C,
C1,
C12,
G,
G0,
G01,
G1,
G15
Price Movements in the Canadian Residential Mortgage Market
Staff Working Paper 2009-13
Jason Allen,
Darcey McVanel
The authors empirically analyze the price-setting behaviour of the major Canadian banks in the residential mortgage market over the period 1991–2007. They use weekly posted prices of the major mortgage providers to study the degree of competition in mortgage price setting.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial services
JEL Code(s):
D,
D4,
G,
G2
Complex Ownership and Capital Structure
Staff Working Paper 2009-12
Teodora Paligorova,
Zhaoxia Xu
This paper investigates the impact of pyramid ownership structure and multiple controlling shareholders on firm leverage. Pyramids, having at least one controlling shareholder and a subsidiary, rely significantly more on debt financing than non-pyramid firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G3,
G31,
G32
Information Flows and Aggregate Persistence
Staff Working Paper 2009-11
Oleksiy Kryvtsov
Models with imperfect information that generate persistent monetary nonneutrality predominantly rely on assumptions leading to substantial heterogeneity of information across price-setters. This paper develops a quantitative general equilibrium model in which the degree of heterogeneity of information is determined endogenously.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Inflation and prices,
Monetary policy transmission
JEL Code(s):
D,
D8,
D83,
E,
E3,
E31,
E32
Computing the Accuracy of Complex Non-Random Sampling Methods: The Case of the Bank of Canada's Business Outlook Survey
Staff Working Paper 2009-10
Daniel de Munnik,
David Dupuis,
Mark Illing
A number of central banks publish their own business conditions survey based on non-random sampling methods. The results of these surveys influence monetary policy decisions and thus affect expectations in financial markets. To date, however, no one has computed the statistical accuracy of these surveys because their respective non-random sampling method renders this assessment non-trivial.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Econometric and statistical methods,
Regional economic developments
JEL Code(s):
C,
C4,
C8,
C81,
C9,
C90