Research - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T21:53:32+00:00Information Sharing and Bargaining in Buyer-Seller Networks
https://www.bankofcanada.ca/2016/12/staff-working-paper-2016-63/
This paper presents a model of strategic buyer-seller networks with information exchange between sellers. Prior to engaging in bargaining with buyers, sellers can share access to buyers for a negotiated transfer. We study how this information exchange affects overall market prices, volumes and welfare, given different initial market conditions and information sharing rules.2016-12-30T10:04:33+00:00enInformation Sharing and Bargaining in Buyer-Seller Networks2016-12-30Economic modelsFirm dynamicsMarket structure and pricingStaff Working Paper 2016-63https://www.bankofcanada.ca/wp-content/uploads/2016/12/swp2016-63.pdfInformation Sharing and Bargaining in Buyer-Seller NetworksSofia PriazhkinaFrank H. PageDecember 2016CC7C71C78DD2D21D4D43D8D85LL1L13Can the Common-Factor Hypothesis Explain the Observed Housing Wealth Effect?
https://www.bankofcanada.ca/2016/12/staff-working-paper-2016-62/
The common-factor hypothesis is one possible explanation for the housing wealth effect. Under this hypothesis, house price appreciation is related to changes in consumption as long as the available proxies for the common driver of housing and non-housing demand are noisy and housing supply is not perfectly elastic.2016-12-30T09:39:12+00:00enCan the Common-Factor Hypothesis Explain the Observed Housing Wealth Effect?2016-12-30Economic modelsHousingStaff Working Paper 2016-62https://www.bankofcanada.ca/wp-content/uploads/2016/12/swp2016-62.pdfCan the Common-Factor Hypothesis Explain the Observed Housing Wealth Effect?Narayan BulusuJefferson DuarteCarles Vergara-AlertDecember 2016EE2E21RR3R31What Fed Funds Futures Tell Us About Monetary Policy Uncertainty
https://www.bankofcanada.ca/2016/12/staff-working-paper-2016-61/
The uncertainty around future changes to the Federal Reserve target rate varies over time. In our results, the main driver of uncertainty is a “path” factor signaling information about future policy actions, which is filtered from federal funds futures data.2016-12-28T08:34:12+00:00enWhat Fed Funds Futures Tell Us About Monetary Policy Uncertainty2016-12-28Asset pricingFinancial marketsInterest ratesStaff Working Paper 2016-61https://www.bankofcanada.ca/wp-content/uploads/2016/12/swp-2016-61.pdfWhat Fed Funds Futures Tell Us About Monetary Policy UncertaintyJean-Sébastien FontaineDecember 2016EE4E43E44E47GG1G12G13Non-Bank Investors and Loan Renegotiations
https://www.bankofcanada.ca/2016/12/staff-working-paper-2016-60/
We document that the structure of syndicates affects loan renegotiations. Lead banks with large retained shares have positive effects on renegotiations. In contrast, more diverse syndicates deter renegotiations, but only for credit lines.2016-12-22T11:46:34+00:00enNon-Bank Investors and Loan Renegotiations2016-12-22Financial institutionsFinancial system regulation and policiesStaff Working Paper 2016-60https://www.bankofcanada.ca/wp-content/uploads/2016/12/swp2016-60.pdfNon-Bank Investors and Loan RenegotiationsTeodora PaligorovaJoão SantosDecember 2016GG2G21G23Monetary Policy, Private Debt and Financial Stability Risks
https://www.bankofcanada.ca/2016/12/staff-working-paper-2016-59/
Can monetary policy be used to promote financial stability? We answer this question by estimating the impact of a monetary policy shock on private-sector leverage and the likelihood of a financial crisis. Impulse responses obtained from a panel VAR model of 18 advanced countries suggest that the debt-to-GDP ratio rises in the short run following an unexpected tightening in monetary policy.2016-12-19T13:17:39+00:00enMonetary Policy, Private Debt and Financial Stability Risks2016-12-19Credit and credit aggregatesFinancial stabilityMonetary policyMonetary policy transmissionStaff Working Paper 2016-59https://www.bankofcanada.ca/wp-content/uploads/2016/12/swp2016-59.pdfMonetary Policy, Private Debt and Financial Stability RisksGregory BauerEleonora GranzieraDecember 2016CC2C21C23EE5E52E58Equity Option-Implied Probability of Default and Equity Recovery Rate
https://www.bankofcanada.ca/2016/12/staff-working-paper-2016-58/
There is a close link between prices of equity options and the default probability of a firm. We show that in the presence of positive expected equity recovery, standard methods that assume zero equity recovery at default misestimate the option-implied default probability.2016-12-15T12:23:13+00:00enEquity Option-Implied Probability of Default and Equity Recovery Rate2016-12-15Asset pricingFinancial marketsMarket structure and pricingStaff Working Paper 2016-58https://www.bankofcanada.ca/wp-content/uploads/2016/12/swp2016-58.pdfEquity Option-Implied Probability of Default and Equity Recovery RateBo Young ChangGreg OrosiDecember 2016GG1G13G3G33Options Decimalization
https://www.bankofcanada.ca/2016/12/staff-working-paper-2016-57/
We document the outcome of an options decimalization pilot on Canada’s derivatives exchange. Decimalization improves measures of liquidity and price efficiency. The impact differs by the moneyness of an option and is greatest for out-of-the-money options.2016-12-13T15:04:23+00:00enOptions Decimalization2016-12-13Financial marketsFinancial system regulation and policiesMarket structure and pricingStaff Working Paper 2016-57https://www.bankofcanada.ca/wp-content/uploads/2016/12/swp2016-57.pdfOptions DecimalizationFaith ChinCorey GarriottDecember 2016GG1G14G2G20LL1L10Bank Screening Heterogeneity
https://www.bankofcanada.ca/2016/12/staff-working-paper-2016-56/
Production efficiency and financial stability do not necessarily go hand in hand. With heterogeneity in banks’ abilities to screen borrowers, the market for loans becomes segmented and a self-competition mechanism arises. When heterogeneity increases, the intensive and extensive margins have opposite effects.2016-12-13T11:58:20+00:00enBank Screening Heterogeneity2016-12-13Financial institutionsFinancial stabilityFinancial system regulation and policiesStaff Working Paper 2016-56https://www.bankofcanada.ca/wp-content/uploads/2016/12/swp2016-56.pdfBank Screening HeterogeneityThibaut DupreyDecember 2016GG1G14G2G21LL1L13Quantitative Easing in a Small Open Economy: An International Portfolio Balancing Approach
https://www.bankofcanada.ca/2016/12/staff-working-paper-2016-55/
This paper studies the effects of quantitative easing (QE) in a small open economy dynamic stochastic general-equilibrium model with international portfolio balancing. Portfolios are classified as imperfectly substitutable short-term and long-term subportfolios, each including domestic and foreign bonds.2016-12-08T14:26:41+00:00enQuantitative Easing in a Small Open Economy: An International Portfolio Balancing Approach2016-12-08International topicsMonetary policy transmissionStaff Working Paper 2016-55https://www.bankofcanada.ca/wp-content/uploads/2016/12/swp2016-55.pdfQuantitative Easing in a Small Open Economy: An International Portfolio Balancing ApproachSerdar KabacaDecember 2016EE5E52FF4F41Producer Heterogeneity, Value-Added, and International Trade
https://www.bankofcanada.ca/2016/12/staff-working-paper-2016-54/
Standard new trade models depict producers as heterogeneous in total factor productivity. In this paper, I adapt the Eaton and Kortum (2002) model of international trade to incorporate tradable intermediate goods and producer heterogeneity in value-added productivity.2016-12-08T13:55:18+00:00enProducer Heterogeneity, Value-Added, and International Trade2016-12-08Economic modelsInternational topicsProductivityTrade integrationStaff Working Paper 2016-54https://www.bankofcanada.ca/wp-content/uploads/2016/12/swp2016-54.pdfProducer Heterogeneity, Value-Added, and International TradePatrick AlexanderDecember 2016FF1F11F12F14