Research - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T21:57:20+00:00How Important Are Liquidity Constraints for Canadian Households? Evidence from Micro-Data
https://www.bankofcanada.ca/2012/12/discussion-paper-2012-9/
Using a unique micro-dataset containing real and financial information on Canadian households for 2000–07, the authors address two questions: (1) What is the proportion of households whose consumption displays excess sensitivity to income, and who are likely liquidity constrained?2012-12-21T08:09:48+00:00enHow Important Are Liquidity Constraints for Canadian Households? Evidence from Micro-Data2012-12-21Economic modelsSectoral balance sheetDiscussion Paper 2012-09https://www.bankofcanada.ca/wp-content/uploads/2012/12/dp2012-09.pdfHow Important Are Liquidity Constraints for Canadian Households? Evidence from Micro-DataUmar FaruquiSamah TorchaniDecember 2012CC3C35DD1D12D3D30Extracting Information from the Business Outlook Survey Using Statistical Approaches
https://www.bankofcanada.ca/2012/12/discussion-paper-2012-8/
Since the autumn of 1997, the regional offices of the Bank of Canada have conducted quarterly consultations with businesses across Canada. These consultations, summarized in the Business Outlook Survey (BOS), are structured around a survey questionnaire that covers topics of importance to the Bank, notably business activity, pressures on production capacity, prices and inflation, and credit conditions.2012-12-21T08:03:59+00:00enExtracting Information from the Business Outlook Survey Using Statistical Approaches2012-12-21Business fluctuations and cyclesRegional economic developmentsDiscussion Paper 2012-08https://www.bankofcanada.ca/wp-content/uploads/2012/12/dp2012-08.pdfExtracting Information from the Business Outlook Survey Using Statistical ApproachesLise PichetteDecember 2012CC4C43C8C82EE3E37On the Welfare Effects of Credit Arrangements
https://www.bankofcanada.ca/2012/12/working-paper-2012-43/
This paper studies the welfare effects of different credit arrangements and how these effects depend on the trading mechanism and inflation. In a competitive market, a deviation from the Friedman rule is always sub-optimal. Moreover, credit arrangements can be welfare-reducing, because increased consumption by credit users will drive up the price level so that money users have to reduce consumption when facing a binding liquidity restraint.2012-12-21T07:59:17+00:00enOn the Welfare Effects of Credit Arrangements2012-12-21Credit and credit aggregatesPayment clearing and settlement systemsWorking Paper 2012-43https://www.bankofcanada.ca/wp-content/uploads/2012/12/wp2012-43.pdfOn the Welfare Effects of Credit ArrangementsJonathan ChiuMei DongEnchuan ShaoDecember 2012EE4E40E5E50Financial Crisis Resolution
https://www.bankofcanada.ca/2012/12/working-paper-2012-42/
This paper studies a dynamic version of the Holmstrom-Tirole model of intermediated finance. I show that competitive equilibria are not constrained efficient when the economy experiences a financial crisis. A pecuniary externality entails that banks’ desire to accumulate capital over time aggravates the scarcity of informed capital during the financial crisis.2012-12-21T07:52:41+00:00enFinancial Crisis Resolution2012-12-21Financial marketsFinancial system regulation and policiesWorking Paper 2012-42https://www.bankofcanada.ca/wp-content/uploads/2012/12/wp2012-42.pdfFinancial Crisis ResolutionJosef SchrothDecember 2012DD5D53EE6E60GG0G01G1G10G18Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy
https://www.bankofcanada.ca/2012/12/working-paper-2012-41/
Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Still, for most applications, researchers rely on the assumption that the policy rate changes linearly with economic conditions and they do not distinguish between dates with and without scheduled announcements.2012-12-18T16:32:04+00:00enEstimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy2012-12-18Asset pricingFinancial marketsInterest ratesWorking Paper 2012-41https://www.bankofcanada.ca/wp-content/uploads/2012/12/wp2012-41.pdfEstimating the Policy Rule from Money Market Rates when Target Rate Changes Are LumpyJean-Sébastien FontaineDecember 2012EE4E43E44E47GG1G12G13The Effects of Oil Price Uncertainty on the Macroeconomy
https://www.bankofcanada.ca/2012/12/working-paper-2012-40/
This paper investigates the effect of oil price uncertainty on real economic activity using a quarterly VAR with stochastic volatility in mean. Stochastic volatility allows oil price uncertainty to vary separately from changes in the level of oil prices, and thus the impact of oil price uncertainty can be examined in a more flexible yet tractable way.2012-12-18T11:13:54+00:00enThe Effects of Oil Price Uncertainty on the Macroeconomy2012-12-18Business fluctuations and cyclesEconometric and statistical methodsWorking Paper 2012-40https://www.bankofcanada.ca/wp-content/uploads/2012/12/wp2012-40.pdfThe Effects of Oil Price Uncertainty on the MacroeconomySoojin JoDecember 2012CC3C32EE3E32QQ4Q43Consumer Interest Rates and Retail Mutual Fund Flows
https://www.bankofcanada.ca/2012/12/working-paper-2012-39/
This paper documents a link between the real and financial sides of the economy. We find that retail equity mutual fund flows in Canada are negatively related to current and past changes in a component of the prime and 5-year mortgage rates that is uncorrelated with government rates.2012-12-18T11:02:44+00:00enConsumer Interest Rates and Retail Mutual Fund Flows2012-12-18Financial servicesInterest ratesWorking Paper 2012-39https://www.bankofcanada.ca/wp-content/uploads/2012/12/wp2012-39.pdfConsumer Interest Rates and Retail Mutual Fund FlowsJesus SierraDecember 2012GG2G21G23Liquidity and Central Clearing: Evidence from the CDS Market
https://www.bankofcanada.ca/2012/12/working-paper-2012-38/
An international initiative to increase the use of central clearing for OTC derivatives emerged as one of the reactions to the 2008 financial crisis. The move to central clearing is a fundamental change in the structure of the market.2012-12-06T13:06:17+00:00enLiquidity and Central Clearing: Evidence from the CDS Market2012-12-06Financial marketsWorking Paper 2012-38https://www.bankofcanada.ca/wp-content/uploads/2012/12/wp2012-38.pdfLiquidity and Central Clearing: Evidence from the CDS MarketJoshua SliveJonathan WitmerElizabeth WoodmanDecember 2012GG3G30G38Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields
https://www.bankofcanada.ca/2012/11/working-paper-2012-37/
We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk premiums when real bonds or inflation swaps are unavailable or unreliable due to their relative illiquidity.2012-11-14T15:35:41+00:00enForecasting Inflation and the Inflation Risk Premiums Using Nominal Yields2012-11-14Asset pricingEconometric and statistical methodsInflation and pricesInterest ratesWorking Paper 2012-37https://www.bankofcanada.ca/wp-content/uploads/2012/11/wp2012-37.pdfForecasting Inflation and the Inflation Risk Premiums Using Nominal YieldsBruno FeunouJean-Sébastien FontaineNovember 2012EE4E43E47GG1G12The Role of Credit in International Business Cycles
https://www.bankofcanada.ca/2012/11/working-paper-2012-36/
This paper examines the role of bank credit in modeling and forecasting business cycle fluctuations, and investigates the international transmission of US credit shocks, using a global vector autoregressive (GVAR) framework and associated country-specific error correction models.2012-11-14T15:28:29+00:00enThe Role of Credit in International Business Cycles2012-11-14Business fluctuations and cyclesCredit and credit aggregatesEconometric and statistical methodsInternational financial marketsWorking Paper 2012-36https://www.bankofcanada.ca/wp-content/uploads/2012/11/wp2012-36.pdfThe Role of Credit in International Business CyclesTengTeng XuNovember 2012CC3C32EE3E32E4E44GG2G21