Staff discussion papers - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T20:11:54+00:00A Model of the EFA Liabilities
https://www.bankofcanada.ca/2011/12/discussion-paper-2011-11/
The authors describe the liabilities model of the Exchange Fund Account (EFA). The EFA is managed using an asset-liability matching framework that requires currency and duration matching of both sides of the balance sheet.2011-12-23T09:50:29+00:00enA Model of the EFA Liabilities2011-12-23Debt managementForeign reserves managementDiscussion Paper 2011-11https://www.bankofcanada.ca/wp-content/uploads/2011/12/dp2011-11.pdfA Model of the EFA LiabilitiesFrancisco RivadeneyraOumar DissouDecember 2011GG1G12G3G32Financial Frictions, Financial Shocks and Labour Market Fluctuations in Canada
https://www.bankofcanada.ca/2011/12/discussion-paper-2011-10/
What are the effects of financial market imperfections on unemployment and vacancies in Canada? The author estimates the model of Zhang (2011) – a standard monetary dynamic stochastic general-equilibrium model augmented with explicit financial and labour market frictions – with Canadian data for the period 1984Q2–2010Q4, and uses it to examine the importance of financial shocks on labour market fluctuations in Canada.2011-12-14T11:14:54+00:00enFinancial Frictions, Financial Shocks and Labour Market Fluctuations in Canada2011-12-14Economic modelsFinancial marketsLabour marketsDiscussion Paper 2011-10https://www.bankofcanada.ca/wp-content/uploads/2011/12/dp2011-10.pdfFinancial Frictions, Financial Shocks and Labour Market Fluctuations in CanadaYahong ZhangDecember 2011EE3E32E4E44JJ6What Matters in Determining Capital Surcharges for Systemically Important Financial Institutions?
https://www.bankofcanada.ca/2011/11/discussion-paper-2011-9/
One way of internalizing the externalities that each individual bank imposes on the rest of the financial system is to impose capital surcharges on them in line with their systemic importance.2011-11-17T10:29:55+00:00enWhat Matters in Determining Capital Surcharges for Systemically Important Financial Institutions?2011-11-17Financial system regulation and policiesDiscussion Paper 2011 -9https://www.bankofcanada.ca/wp-content/uploads/2011/11/dp2011-09.pdfWhat Matters in Determining Capital Surcharges for Systemically Important Financial Institutions?Céline GauthierToni GravelleXuezhi LiuMoez SouissiNovember 2011CC1C15C8C81EE4E44GG0G01G2G21Exchange Rates and Individual Good’s Price Misalignment: Some Preliminary Evidence of Long-Horizon Predictability
https://www.bankofcanada.ca/2011/10/discussion-paper-2011-8/
When prices are sticky, movements in the nominal exchange rate have a direct impact on international relative prices. A relative price misalignment would trigger an adjustment in consumption and employment, and may help to predict future movements in the exchange rate.2011-10-07T10:06:16+00:00enExchange Rates and Individual Good’s Price Misalignment: Some Preliminary Evidence of Long-Horizon Predictability2011-10-07Exchange ratesInternational topicsDiscussion Paper 2011-8https://www.bankofcanada.ca/wp-content/uploads/2011/10/dp2011-08.pdfExchange Rates and Individual Good’s Price Misalignment: Some Preliminary Evidence of Long-Horizon PredictabilityWei DongDeokwoo NamOctober 2011FF3F31F4F47The Impact of Operational Events on the Network Structure of the LVTS
https://www.bankofcanada.ca/2011/08/discussion-paper-2011-7/
The author uses a quantitative network analysis approach to assess how participants in
the Large Value Transfer System (LVTS) respond to partial outages at other banks.2011-08-05T12:50:20+00:00enThe Impact of Operational Events on the Network Structure of the LVTS2011-08-05Payment clearing and settlement systemsDiscussion Paper 2011-7https://www.bankofcanada.ca/wp-content/uploads/2011/08/dp2011-07.pdfThe Impact of Operational Events on the Network Structure of the LVTSTom RobertsAugust 2011CC4C49GG1G14G2G21The Role of Financial Speculation in Driving the Price of Crude Oil
https://www.bankofcanada.ca/2011/07/discussion-paper-2011-6/
Over the past 10 years, financial firms have increased the size of their positions in the oil futures market. At the same time, oil prices have increased dramatically.2011-07-05T08:13:56+00:00enThe Role of Financial Speculation in Driving the Price of Crude Oil2011-07-05International topicsDiscussion paper 2011-6https://www.bankofcanada.ca/wp-content/uploads/2011/07/dp2011-06.pdfThe Role of Financial Speculation in Driving the Price of Crude OilRon AlquistOlivier GervaisJuly 2011GG1G12QQ4Q41External Stability, Real Exchange Rate Adjustment and the Exchange Rate Regime in Emerging-Market Economies
https://www.bankofcanada.ca/2011/06/discussion-paper-2011-5/
In emerging-market economies, real exchange rate adjustment is critical for maintaining a sustainable current account position and thereby for helping to reduce macroeconomic and financial instability.2011-06-21T10:45:55+00:00enExternal Stability, Real Exchange Rate Adjustment and the Exchange Rate Regime in Emerging-Market Economies2011-06-21Development economicsExchange rate regimesInternational topicsDiscussion paper 2011-5https://www.bankofcanada.ca/wp-content/uploads/2011/06/discussion-paper-2011-5.pdfExternal Stability, Real Exchange Rate Adjustment and the Exchange Rate Regime in Emerging-Market EconomiesOlivier GervaisLawrence L. SchembriLena SuchanekJune 2011FF3F31F32F4F41Lessons from International Central Counterparties: Benchmarking and Analysis
https://www.bankofcanada.ca/2011/06/discussion-paper-2011-4/
Since the financial crisis, attention has focused on central counterparties (CCPs) as a solution to systemic risk for a variety of financial markets, ranging from repurchase agreements and options to swaps.2011-06-02T10:42:57+00:00enLessons from International Central Counterparties: Benchmarking and Analysis2011-06-02Financial marketsFinancial stabilityFinancial system regulation and policiesPayment clearing and settlement systemsDiscussion Paper 2011-4https://www.bankofcanada.ca/wp-content/uploads/2011/06/dp2011-04.pdfLessons from International Central Counterparties: Benchmarking and AnalysisAlexandre LazarowJune 2011GG0G01G1G14G18G2G28G3G38The Canadian Debt-Strategy Model: An Overview of the Principal Elements
https://www.bankofcanada.ca/2011/05/discussion-paper-2011-3/
The Canadian Debt Strategy Model helps debt managers determine their optimal financing strategy. The model’s code and documentation are available to the public.2011-05-13T13:51:30+00:00enThe Canadian Debt-Strategy Model: An Overview of the Principal Elements2011-05-13Debt managementEconometric and statistical methodsFinancial marketsFiscal policyDiscussion Paper 2011-3https://www.bankofcanada.ca/wp-content/uploads/2011/05/dp11-3.pdfThe Canadian Debt-Strategy Model: An Overview of the Principal ElementsDavid BolderSimon DeeleyMay 2011CC0GG1G11G17HH6H63The Behaviour of Consumer Prices Across Provinces
https://www.bankofcanada.ca/2011/05/discussion-paper-2011-2/
Measures of core inflation enable a central bank to distinguish price movements that are transitory and generated by non-monetary events from those that are more permanent and related to prior monetary policy decisions.2011-05-04T08:44:16+00:00enThe Behaviour of Consumer Prices Across Provinces2011-05-04Inflation and pricesDiscussion Paper 2011-2https://www.bankofcanada.ca/wp-content/uploads/2011/05/dp11-2.pdfThe Behaviour of Consumer Prices Across ProvincesGordon WilkinsonMay 2011EE3E31