Research - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T19:33:58+00:00Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach
https://www.bankofcanada.ca/2016/04/staff-working-paper-2016-21/
We propose an early warning model for predicting the likelihood of a financial stress event for a given future time, and examine whether credit plays an important role in the model as a non-linear propagator of shocks.2016-04-27T13:39:57+00:00enEarly Warning of Financial Stress Events: A Credit-Regime-Switching Approach2016-04-27Econometric and statistical methodsFinancial stabilityStaff Working Paper 2016-21https://www.bankofcanada.ca/wp-content/uploads/2016/04/swp2016-21.pdfEarly Warning of Financial Stress Events: A Credit-Regime-Switching ApproachFuchun LiHongyu XiaoApril 2016CC1C12C14GG0G01G1G17Retail Order Flow Segmentation
https://www.bankofcanada.ca/2016/04/staff-working-paper-2016-20/
In August 2012, the New York Stock Exchange launched the Retail Liquidity Program (RLP), a trading facility that enables participating organizations to quote dark limit orders executable only by retail traders.2016-04-27T13:18:56+00:00enRetail Order Flow Segmentation2016-04-27Financial marketsFinancial system regulation and policiesMarket structure and pricingStaff Working Paper 2016-20https://www.bankofcanada.ca/wp-content/uploads/2016/04/swp2016-20.pdfRetail Order Flow SegmentationCorey GarriottAdrian WaltonApril 2016GG1G14G2G20LL1L10What to Expect When China Liberalizes Its Capital Account
https://www.bankofcanada.ca/2016/04/staff-discussion-paper-2016-10/
When China joined the World Trade Organization in December 2001, it marked a watershed for the world economy. Ten years from now, the opening of China’s capital account and the financial integration that will unfold will be viewed as a milestone of similar importance.2016-04-22T11:35:32+00:00enWhat to Expect When China Liberalizes Its Capital Account2016-04-22Balance of payments and componentsExchange rate regimesInternational topicsStaff Discussion Paper 2016-10https://www.bankofcanada.ca/wp-content/uploads/2016/04/sdp2016-10.pdfWhat to Expect When China Liberalizes Its Capital AccountMark KrugerGurnain PasrichaApril 2016FF3F31F32GG1G18Should Monetary Policy Lean Against Housing Market Booms?
https://www.bankofcanada.ca/2016/04/staff-working-paper-2016-19/
Should monetary policy lean against housing market booms? We approach this question using a small-scale, regime-switching New Keynesian model, where housing market crashes arrive with a logit probability that depends on the level of household debt.2016-04-21T10:11:25+00:00enShould Monetary Policy Lean Against Housing Market Booms?2016-04-21Economic modelsFinancial stabilityHousingMonetary policy frameworkStaff Working Paper 2016-19https://www.bankofcanada.ca/wp-content/uploads/2016/04/swp2016-19.pdfShould Monetary Policy Lean Against Housing Market Booms?Sami AlpandaAlexander UeberfeldtApril 2016EE4E44E5E52GG0G01A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
https://www.bankofcanada.ca/2016/04/staff-working-paper-2016-18/
Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset.2016-04-18T09:53:37+00:00enA General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil2016-04-18Econometric and statistical methodsInternational topicsStaff Working Paper 2016-18https://www.bankofcanada.ca/wp-content/uploads/2016/04/swp2016-18.pdfA General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude OilChristiane BaumeisterLutz KilianApril 2016CC5C53DD8D84GG1G14QQ4Q43Opaque Assets and Rollover Risk
https://www.bankofcanada.ca/2016/04/staff-working-paper-2016-17/
We model the asset-opacity choice of an intermediary subject to rollover risk in wholesale funding markets. Greater opacity means investors form more dispersed beliefs about an intermediary’s profitability.2016-04-14T16:10:59+00:00enOpaque Assets and Rollover Risk2016-04-14Financial institutionsFinancial stabilityStaff Working Paper 2016-17https://www.bankofcanada.ca/wp-content/uploads/2016/04/swp2016-17.pdfOpaque Assets and Rollover RiskBenjamin NelsonToni AhnertApril 2016GG0G01G2Asset Encumbrance, Bank Funding and Financial Fragility
https://www.bankofcanada.ca/2016/04/staff-working-paper-2016-16/
In this piece we show that a limit on the level of asset encumbrance and minimum capital requirements are effective tools for minimizing the incentive for banks to take excessive risk.2016-04-14T11:10:57+00:00enAsset Encumbrance, Bank Funding and Financial Fragility2016-04-14Financial institutionsFinancial stabilityFinancial system regulation and policiesStaff Working Paper 2016-16https://www.bankofcanada.ca/wp-content/uploads/2016/04/swp2016-16.pdfAsset Encumbrance, Bank Funding and Financial FragilityKartik AnandPrasanna GaiJames ChapmanToni AhnertApril 2016DD8D82GG0G01G2G21G28April 2016 Annual Reassessment of Potential Output in Canada
https://www.bankofcanada.ca/2016/04/staff-analytical-note-2016-4/
This note summarizes the Bank of Canada’s 2016 annual reassessment of potential output growth, which is projected to be 1.5 per cent over 2016–18 and 1.6 per cent in 2019–20. This projection is weaker than the one presented in the April 2015 Monetary Policy Report.2016-04-13T10:00:57+00:00enApril 2016 Annual Reassessment of Potential Output in Canada2016-04-13How Fast Can China Grow? The Middle Kingdom’s Prospects to 2030
https://www.bankofcanada.ca/2016/04/staff-working-paper-2016-15/
Given its size and importance for global commodity markets, the question of how fast the Chinese economy can grow over the medium term is an important one. This paper addresses this question by examining the evolution of the supply side of the Chinese economy over history and projecting how it will evolve over the next 15 years.2016-04-05T08:27:03+00:00enHow Fast Can China Grow? The Middle Kingdom’s Prospects to 20302016-04-05Development economicsInternational topicsPotential outputProductivityStaff Working Paper 2016-15https://www.bankofcanada.ca/wp-content/uploads/2016/04/swp2016-15.pdfHow Fast Can China Grow? The Middle Kingdom’s Prospects to 2030Jeannine BailliuMark KrugerArgyn ToktamyssovWheaton WelbournApril 2016EE2E22E23E3E32O4