Research - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T11:24:09+00:00Credit Risk and Collateral Demand in a Retail Payment System
https://www.bankofcanada.ca/2016/07/staff-discussion-paper-2016-16/
The recent financial crisis has led to the development of new regulations to control risk in designated payment systems, and the implementation of new credit risk management standards is one of the key issues. In this paper, we study various credit risk management schemes for the Canadian retail payment system (ACSS) that are designed to cover the exposure of a defaulting member.2016-07-27T07:41:33+00:00enCredit Risk and Collateral Demand in a Retail Payment System2016-07-27Econometric and statistical methodsFinancial stabilityPayment clearing and settlement systemsStaff Discussion Paper 2016-16https://www.bankofcanada.ca/wp-content/uploads/2016/07/sdp2016-16.pdfCredit Risk and Collateral Demand in a Retail Payment SystemHéctor Pérez SaizGabriel XerriJuly 2016CC5C58GG2G21G23Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility
https://www.bankofcanada.ca/2016/07/staff-working-paper-2016-37/
Press releases announcing and explaining monetary policy decisions play a critical role in the communication strategy of central banks. Because of their market-moving potential, it is particularly important how they are drafted. Often, central banks start from the previous statement and update the earlier text with only small changes.2016-07-27T07:36:23+00:00enStarting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility2016-07-27Central bank researchFinancial marketsInterest ratesStaff Working Paper 2016-37https://www.bankofcanada.ca/wp-content/uploads/2016/07/swp2016-37.pdfStarting from a Blank Page? Semantic Similarity in Central Bank Communication and Market VolatilityMichael EhrmannJonathan TalmiJuly 2016EE4E43E5E52E58Output Comovement and Inflation Dynamics in a Two-Sector Model with Durable Goods: The Role of Sticky Information and Heterogeneous Factor Markets
https://www.bankofcanada.ca/2016/07/staff-working-paper-2016-36/
In a simple two-sector New Keynesian model, sticky prices generate a counterfactual negative comovement between the output of durable and nondurable goods following a monetary policy shock. We show that heterogeneous factor markets allow any combination of strictly positive price stickiness to generate positive output comovement.2016-07-26T11:08:57+00:00enOutput Comovement and Inflation Dynamics in a Two-Sector Model with Durable Goods: The Role of Sticky Information and Heterogeneous Factor Markets2016-07-26Inflation and pricesMonetary policy transmissionStaff Working Paper 2016-36https://www.bankofcanada.ca/wp-content/uploads/2016/07/swp2016-36.pdfOutput Comovement and Inflation Dynamics in a Two-Sector Model with Durable Goods: The Role of Sticky Information and Heterogeneous Factor MarketsTomiyuki KitamuraTamon TakamuraJuly 2016EE3E31E32E5E52Time-Varying Crash Risk: The Role of Stock Market Liquidity
https://www.bankofcanada.ca/2016/07/staff-working-paper-2016-35/
We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on return variance once we include market illiquidity as an economic variable in the model.2016-07-22T13:04:46+00:00enTime-Varying Crash Risk: The Role of Stock Market Liquidity2016-07-22Asset pricingEconometric and statistical methodsFinancial stabilityStaff Working Paper 2016-35https://www.bankofcanada.ca/wp-content/uploads/2016/07/swp2016-35.pdfTime-Varying Crash Risk: The Role of Stock Market LiquidityPeter ChristoffersenBruno FeunouYoontae JeonChayawat OrnthanalaiJuly 2016GG0G01G1G12International Banking and Cross-Border Effects of Regulation: Lessons from Canada
https://www.bankofcanada.ca/2016/07/staff-working-paper-2016-34/
We study how changes in prudential requirements affect cross-border lending of Canadian banks by utilizing an index that aggregates adjustments in key regulatory instruments across jurisdictions.2016-07-22T13:03:56+00:00enInternational Banking and Cross-Border Effects of Regulation: Lessons from Canada2016-07-22Financial institutionsFinancial stabilityFinancial system regulation and policiesStaff Working Paper 2016-34https://www.bankofcanada.ca/wp-content/uploads/2016/07/swp2016-34.pdfInternational Banking and Cross-Border Effects of Regulation: Lessons from CanadaH. Evren DamarAdi MordelJuly 2016FF3F34GG0G01G2G21Relationships in the Interbank Market
https://www.bankofcanada.ca/2016/07/staff-working-paper-2016-33/
In the interbank market, banks will sometimes trade below the central bank's deposit rate. We explain this anomaly using a theory based on market frictions and relationship lending.2016-07-22T13:03:12+00:00enRelationships in the Interbank Market2016-07-22Interest ratesMonetary policy implementationMonetary policy transmissionStaff Working Paper 2016-33https://www.bankofcanada.ca/wp-content/uploads/2016/07/swp2016-33.pdfRelationships in the Interbank MarketJonathan ChiuCyril MonnetJuly 2016EE4E5The Role of Central Banks in Promoting Financial Stability: An International Perspective
https://www.bankofcanada.ca/2016/07/staff-discussion-paper-2016-15/
The 2007–09 global financial crisis has led policy-makers around the world, including central banks, to refocus their efforts to promote financial stability. As part of this process, central banks became quite active in supporting financial stability in a variety of ways, such as publicly sharing their assessments of financial system vulnerabilities and risks and helping to strengthen regulation, supervision and macroprudential measures.2016-07-22T11:59:26+00:00enThe Role of Central Banks in Promoting Financial Stability: An International Perspective2016-07-22Financial stabilityFinancial system regulation and policiesStaff Discussion Paper 2016-15https://www.bankofcanada.ca/wp-content/uploads/2016/07/sdp2016-15.pdfThe Role of Central Banks in Promoting Financial Stability: An International PerspectiveRose CunninghamChristian FriedrichJuly 2016EE5GG0G01G2G28Low for Longer? Why the Global Oil Market in 2014 Is Not Like 1986
https://www.bankofcanada.ca/2016/07/staff-analytical-note-2016-11/
In the second half of 2014, oil prices experienced a sharp decline, falling more than 50 per cent between June 2014 and January 2015. A cursory glance at this oil price crash suggests similarities to developments in 1986, when the price of oil declined by more than 50 per cent, initiating an episode of relatively low oil prices that lasted for more than a decade.2016-07-22T10:22:18+00:00enLow for Longer? Why the Global Oil Market in 2014 Is Not Like 19862016-07-22The Case of Serial Disappointment
https://www.bankofcanada.ca/2016/07/staff-analytical-note-2016-10/
Similar to those of other forecasters, the Bank of Canada’s forecasts of global GDP growth have shown persistent negative errors over the past five years. This is in contrast to the pre-crisis period, when errors were consistently positive as global GDP surprised to the upside. All major regions have contributed to the forecast errors observed since 2011, although the United States has been the most persistent source of notable errors.2016-07-22T10:07:29+00:00enThe Case of Serial Disappointment2016-07-22Global Macro Risks in Currency Excess Returns
https://www.bankofcanada.ca/2016/07/staff-working-paper-2016-32/
We study a cross section of carry-trade-generated currency excess returns in terms of their exposure to global fundamental macroeconomic risk.2016-07-20T11:59:17+00:00enGlobal Macro Risks in Currency Excess Returns2016-07-20Asset pricingExchange ratesInterest ratesStaff Working Paper 2016-32https://www.bankofcanada.ca/wp-content/uploads/2016/07/swp2016-32.pdfGlobal Macro Risks in Currency Excess ReturnsKimberly BergNelson C. MarkJuly 2016EE2E21E4E43FF3F31GG1G12