Research - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T21:15:40+00:00Cross-Border Bank Flows and Monetary Policy: Implications for Canada
https://www.bankofcanada.ca/2017/08/staff-working-paper-2017-34/
Using the Bank for International Settlements (BIS) Locational Banking Statistics data on bilateral bank claims from 1995 to 2014, we analyze the impact of monetary policy on cross-border bank flows. We find that monetary policy in a source country is an important determinant of cross-border bank flows.2017-08-17T14:21:41+00:00enCross-Border Bank Flows and Monetary Policy: Implications for Canada2017-08-17Financial institutionsMonetary policyStaff Working Paper 2017-34https://www.bankofcanada.ca/wp-content/uploads/2017/08/swp2017-34.pdfCross-Border Bank Flows and Monetary Policy: Implications for CanadaRicardo CorreaTeodora PaligorovaHoracio SaprizaAndrei ZlateAugust 2017FF3F34F36GG0G01Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions
https://www.bankofcanada.ca/2017/08/staff-working-paper-2017-33/
This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian dynamic term structure models that is easy to compute and asymptotically efficient, even when the number of countries is relatively large—a situation in which other recently proposed approaches lose their tractability.2017-08-10T07:38:59+00:00enOptimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions2017-08-10Asset pricingEconometric and statistical methodsExchange ratesInterest ratesStaff Working Paper 2017-33https://www.bankofcanada.ca/wp-content/uploads/2017/08/swp2017-33.pdfOptimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear RegressionsAntonio Diez de los RiosAugust 2017EE4E43FF3F31GG1G12G15Has Liquidity in Canadian Government Bond Markets Deteriorated?
https://www.bankofcanada.ca/2017/08/staff-analytical-note-2017-10/
This note presents measures of liquidity used by the Bank of Canada to monitor market conditions and discusses recent trends in Government of Canada (GoC) fixed-income market liquidity. Our results indicate that the Bank’s measures have improved since the financial crisis. Furthermore, GoC market liquidity deteriorated following several stressful events: the euro crisis in 2011, the taper tantrum in 2013 and the oil price shock in 2015. In all three cases, the deterioration remained within historical norms and liquidity returned to normal levels afterwards.2017-08-08T07:52:01+00:00enHas Liquidity in Canadian Government Bond Markets Deteriorated?2017-08-08How to Predict Financial Stress? An Assessment of Markov Switching Models
https://www.bankofcanada.ca/2017/08/staff-working-paper-2017-32/
This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a transition to a tranquil state.2017-08-04T12:08:21+00:00enHow to Predict Financial Stress? An Assessment of Markov Switching Models2017-08-04Business fluctuations and cyclesCentral bank researchEconometric and statistical methodsFinancial marketsFinancial stabilityFinancial system regulation and policiesMonetary and financial indicatorsStaff Working Paper 2017-32https://www.bankofcanada.ca/wp-content/uploads/2017/08/swp2017-32.pdfHow to Predict Financial Stress? An Assessment of Markov Switching ModelsBenjamin KlausThibaut DupreyAugust 2017CC5C54GG0G01G1G15Downward Nominal Wage Rigidity in Canada: Evidence Against a “Greasing Effect”
https://www.bankofcanada.ca/2017/08/staff-working-paper-2017-31/
The existence of downward nominal wage rigidity (DNWR) has often been used to justify a positive inflation target. It is traditionally assumed that positive inflation could “grease the wheels” of the labour market by putting downward pressure on real wages, easing labour market adjustments during a recession.2017-08-03T11:47:33+00:00enDownward Nominal Wage Rigidity in Canada: Evidence Against a “Greasing Effect”2017-08-03Inflation targetsLabour marketsStaff Working Paper 2017-31https://www.bankofcanada.ca/wp-content/uploads/2017/08/swp2017-31.pdfDownward Nominal Wage Rigidity in Canada: Evidence Against a “Greasing Effect”Joel WagnerAugust 2017EE2E24E5E52