Research - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T15:47:39+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 2011GG1G12G3G32Bank Leverage Regulation and Macroeconomic Dynamics
https://www.bankofcanada.ca/2011/12/working-paper-2011-32/
This paper assesses the merits of countercyclical bank balance sheet regulation for the stabilization of financial and economic cycles and examines its interaction with monetary policy.2011-12-22T15:31:46+00:00enBank Leverage Regulation and Macroeconomic Dynamics2011-12-22Economic modelsFinancial institutionsFinancial system regulation and policiesMonetary policy frameworkMonetary policy transmissionWorking Paper 2011-32https://www.bankofcanada.ca/wp-content/uploads/2011/12/wp2011-32.pdfBank Leverage Regulation and Macroeconomic DynamicsIan ChristensenCésaire MehKevin MoranDecember 2011EE4E44E5E52GG2G21Do Low Interest Rates Sow the Seeds of Financial Crises?
https://www.bankofcanada.ca/2011/12/working-paper-2011-31/
A view advanced in the aftermath of the late-2000s financial crisis is that lower than optimal interest rates lead to excessive risk taking by financial intermediaries.2011-12-19T11:28:29+00:00enDo Low Interest Rates Sow the Seeds of Financial Crises?2011-12-19Financial system regulation and policiesMonetary policy transmissionWorking Paper 2011-31https://www.bankofcanada.ca/wp-content/uploads/2011/12/wp2011-31.pdfDo Low Interest Rates Sow the Seeds of Financial Crises?Simona CociubaMalik ShukayevAlexander UeberfeldtDecember 2011DD5D53EE4E44E5E52GG2G28Trading Dynamics with Adverse Selection and Search: Market Freeze, Intervention and Recovery
https://www.bankofcanada.ca/2011/12/working-paper-2011-30/
We study the trading dynamics in an asset market where the quality of assets is private information of the owner and finding a counterparty takes time. When trading of a financial asset ceases in equilibrium as a response to an adverse shock to asset quality, a large player can resurrect the market by buying up lemons which involves assuming financial losses.2011-12-15T08:06:22+00:00enTrading Dynamics with Adverse Selection and Search: Market Freeze, Intervention and Recovery2011-12-15Financial marketsFinancial stabilityWorking Paper 2011-30https://www.bankofcanada.ca/wp-content/uploads/2011/12/wp2011-30.pdfTrading Dynamics with Adverse Selection and Search: Market Freeze, Intervention and RecoveryJonathan ChiuThorsten KoepplDecember 2011EE6GG1Financial 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 2011EE3E32E4E44JJ6Effectiveness of Capital Controls in India: Evidence from the Offshore NDF Market
https://www.bankofcanada.ca/2011/12/working-paper-2011-29/
This paper examines the effectiveness of international capital controls in India over time by analyzing daily return differentials in the non-deliverable forward (NDF) markets using the self-exciting threshold autoregressive (SETAR) methodology.2011-12-07T09:56:04+00:00enEffectiveness of Capital Controls in India: Evidence from the Offshore NDF Market2011-12-07Econometric and statistical methodsInternational financial marketsInternational topicsWorking Paper 2011-29https://www.bankofcanada.ca/wp-content/uploads/2011/12/wp2011-29.pdfEffectiveness of Capital Controls in India: Evidence from the Offshore NDF MarketMichael HutchisonGurnain PasrichaNirvikar SinghDecember 2011FF3F31F32GG1G15The Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market
https://www.bankofcanada.ca/2011/11/working-paper-2011-28/
There has been a systematic increase in the volatility of the real price of crude oil since 1986, followed by a decline in the volatility of oil production since the early 1990s. We explore reasons for this evolution. We show that a likely explanation of this empirical fact is that both the short-run price elasticities of oil demand and of oil supply have declined considerably since the second half of the 1980s.2011-11-29T14:06:17+00:00enThe Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market2011-11-29Econometric and statistical methodsInternational topicsWorking Paper 2011-28https://www.bankofcanada.ca/wp-content/uploads/2011/11/wp2011-28.pdfThe Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil MarketChristiane BaumeisterGert PeersmanNovember 2011EE3E31E32QQ4Q43Portfolio Considerations in Differentiated Product Purchases: An Application to the Japanese Automobile Market
https://www.bankofcanada.ca/2011/11/working-paper-2011-27/
Consumers often purchase more than one differentiated product, assembling a portfolio, which might potentially affect substitution patterns of demand and, as a consequence, oligopolistic firms’ pricing strategies.2011-11-29T08:58:23+00:00enPortfolio Considerations in Differentiated Product Purchases: An Application to the Japanese Automobile Market2011-11-29Economic modelsMarket structure and pricingWorking Paper 2011-27https://www.bankofcanada.ca/wp-content/uploads/2011/11/wp2011-27.pdfNaoki WakamoriNovember 2011DD4LL5QQ5Security Transaction Taxes and Market Quality
https://www.bankofcanada.ca/2011/11/working-paper-2011-26/
We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask spreads, lower volume, and increased price impact of trades.2011-11-23T13:35:04+00:00enSecurity Transaction Taxes and Market Quality2011-11-23Econometric and statistical methodsFinancial marketsMarket structure and pricingWorking Paper 2011-26https://www.bankofcanada.ca/wp-content/uploads/2011/11/wp2011-26.pdfSecurity Transaction Taxes and Market QualityAnna PomeranetsDaniel G. WeaverNovember 2011CC4C43GG1G10G12What 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 2011CC1C15C8C81EE4E44GG0G01G2G21