Staff working papers - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T11:45:40+00:00The Propagation of U.S. Shocks to Canada: Understanding the Role of Real-Financial Linkages
https://www.bankofcanada.ca/2010/12/the-propagation-of-u-s-shocks-to-canada-understanding-the-role-of-real-financial-linkages/
This paper examines the transmission of U.S. real and financial shocks to Canada and, in particular, the role of financial frictions in affecting the transmission of these shocks. These questions are addressed within the Bank of Canada's Global Economy Model (de Resende et al. forthcoming), a dynamic stochastic general-equilibrium model with an active banking sector and a detailed role for financial frictions.2010-12-24T07:40:36+00:00enThe Propagation of U.S. Shocks to Canada: Understanding the Role of Real-Financial Linkages2010-12-24Business fluctuations and cyclesEconomic modelsInternational topicsWorking Paper 2010-40https://www.bankofcanada.ca/wp-content/uploads/2010/12/wp10-40.pdfThe Propagation of U.S. Shocks to Canada: Understanding the Role of Real-Financial LinkagesKimberly BeatonRené LalondeStephen SnuddenDecember 2010EE2E21E27E3E32FF3F36F4F40Leverage, Balance Sheet Size and Wholesale Funding
https://www.bankofcanada.ca/2010/12/leverage-balance-sheet-size-and-wholesale-funding/
Some evidence points to the procyclicality of leverage among financial institutions leading to aggregate volatility. This procyclicality occurs when financial institutions finance their assets with non-equity funding (i.e., debt financed asset expansions). Wholesale funding is an important source of market-based funding that allows some institutions to quickly adjust their leverage.2010-12-23T15:27:10+00:00enLeverage, Balance Sheet Size and Wholesale Funding2010-12-23Financial stabilityFinancial system regulation and policiesRecent economic and financial developmentsWorking Paper 2010-39https://www.bankofcanada.ca/wp-content/uploads/2010/12/wp10-39.pdfLeverage, Balance Sheet Size and Wholesale FundingH. Evren DamarCésaire MehYaz TerajimaDecember 2010GG2G21G28The Impact of Liquidity on Bank Profitability
https://www.bankofcanada.ca/2010/12/working-paper-2010-38/
The recent crisis has underlined the importance of sound bank liquidity management. In response, regulators are devising new liquidity standards with the aim of making the financial system more stable and resilient. In this paper, the authors analyse the impact of liquid asset holdings on bank profitability for a sample of large U.S. and Canadian banks.2010-12-23T13:04:16+00:00enThe Impact of Liquidity on Bank Profitability2010-12-23Financial institutionsFinancial stabilityFinancial system regulation and policiesWorking Paper 2010-38https://www.bankofcanada.ca/wp-content/uploads/2010/12/wp10-38.pdfThe Impact of Liquidity on Bank ProfitabilityÉtienne BordeleauChristopher GrahamDecember 2010GG2G21G3G32G33'Lean' versus 'Rich' Data Sets: Forecasting during the Great Moderation and the Great Recession
https://www.bankofcanada.ca/2010/12/working-paper-2010-37/
We evaluate forecasts for the euro area in data-rich and ‘data-lean' environments by comparing three different approaches: a simple PMI model based on Purchasing Managers' Indices (PMIs), a dynamic factor model with euro area data, and a dynamic factor model with data from the euro plus data from national economies (pseudo-real time data).2010-12-23T12:55:41+00:00en'Lean' versus 'Rich' Data Sets: Forecasting during the Great Moderation and the Great Recession2010-12-23Econometric and statistical methodsInternational topicsWorking Paper 2010-37https://www.bankofcanada.ca/wp-content/uploads/2010/12/wp10-37.pdf‘Lean' versus ‘Rich' Data Sets: Forecasting during the Great Moderation and the Great RecessionMarco J. LombardiPhilipp MaierDecember 2010CC5C50C53EE3E37E4E47Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach
https://www.bankofcanada.ca/2010/12/working-paper-2010-36/
We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of non-normalities, heteroskedasticity, time-varying correlations, and even outliers in the asset returns.2010-12-22T11:16:11+00:00enTesting Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach2010-12-22Econometric and statistical methodsFinancial marketsWorking Paper 2010-36https://www.bankofcanada.ca/wp-content/uploads/2010/12/wp10-36.pdfTesting Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free ApproachSermin GungorRichard LugerDecember 2010CC1C12C14C3C33GG1G11G12Bank Competition and International Financial Integration: Evidence Using a New Index
https://www.bankofcanada.ca/2010/12/working-paper-2010-35/
This paper finds a strong empirical link between domestic banking sector competitiveness and de facto international integration. De-facto international integration is measured through a new index of financial integration, which measures, for deviations from covered interest parity, the size of no-arbitrage bands and the speed of arbitrage outside the no-arbitrage band.2010-12-20T12:02:08+00:00enBank Competition and International Financial Integration: Evidence Using a New Index2010-12-20Econometric and statistical methodsFinancial marketsInternational topicsWorking Paper 2010-35https://www.bankofcanada.ca/wp-content/uploads/2010/12/wp10-35.pdfBank Competition and International Financial Integration: Evidence Using a New IndexGurnain PasrichaDecember 2010FF3F32GG1G15G2G21Semi-Structural Models for Inflation Forecasting
https://www.bankofcanada.ca/2010/12/working-paper-2010-34/
We propose alternative single-equation semi-structural models for forecasting inflation in Canada, whereby structural New Keynesian models are combined with time-series features in the data. Several marginal cost measures are used, including one that in addition to unit labour cost also integrates relative price shocks known to play an important role in open-economies.2010-12-20T11:43:12+00:00enSemi-Structural Models for Inflation Forecasting2010-12-20Econometric and statistical methodsInflation and pricesWorking Paper 2010-34https://www.bankofcanada.ca/wp-content/uploads/2010/12/wp10-34.pdfSemi-Structural Models for Inflation ForecastingMaral KichianRumler FabioPaul CorriganDecember 2010CC1C13C5C53EE3E31Composition of International Capital Flows: A Survey
https://www.bankofcanada.ca/2010/12/working-paper-2010-33/
We survey several key mechanisms that explain the composition of international capital flows: foreign direct investment, foreign portfolio investment and debt flows (bank loans and bonds). In particular, we focus on the following market frictions: asymmetric information in capital markets and exposure to liquidity shocks.2010-12-20T11:42:20+00:00enComposition of International Capital Flows: A Survey2010-12-20International topicsWorking Paper 2010-33https://www.bankofcanada.ca/wp-content/uploads/2010/12/wp10-33.pdfComposition of International Capital Flows: A SurveyKoralai KirabaevaAssaf RazinDecember 2010DD8D82FF2F21F3F34Adverse Selection, Liquidity, and Market Breakdown
https://www.bankofcanada.ca/2010/12/working-paper-2010-32/
This paper studies the interaction between adverse selection, liquidity risk and beliefs about systemic risk in determining market liquidity, asset prices and welfare. Even a small amount of adverse selection in the asset market can lead to fire-sale pricing and possibly to a market breakdown if it is accompanied by a flight-to-liquidity, a misassessment of systemic risk, or uncertainty about asset values.2010-12-13T15:02:52+00:00enAdverse Selection, Liquidity, and Market Breakdown2010-12-13Financial institutionsFinancial marketsFinancial stabilityAdverse Selection, Liquidity, and Market Breakdownhttps://www.bankofcanada.ca/wp-content/uploads/2010/12/wp10-32.pdfAdverse Selection, Liquidity, and Market BreakdownKoralai KirabaevaDecember 2010DD8D82GG0G01G1G11