E44 - Financial Markets and the Macroeconomy - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-29T07:08:55+00:00On the Tail Risk Premium in the Oil Market
https://www.bankofcanada.ca/2017/11/staff-working-paper-2017-46/
This paper shows that changes in market participants’ fear of rare events implied by crude oil options contribute to oil price volatility and oil return predictability. Using 25 years of historical data, we document economically large tail risk premia that vary substantially over time and significantly forecast crude oil futures and spot returns.2017-11-20T07:47:32+00:00enOn the Tail Risk Premium in the Oil Market2017-11-20Asset pricingEconometric and statistical methodsFinancial marketsStaff Working Paper 2017-46https://www.bankofcanada.ca/wp-content/uploads/2017/11/swp2017-46.pdfOn the Tail Risk Premium in the Oil MarketReinhard EllwangerNovember 2017CC5C53C58DD8D84EE4E44GG1G12G13QQ4Q43An Initial Assessment of Changes to the Bank of Canada’s Framework for Market Operations
https://www.bankofcanada.ca/wp-content/uploads/2017/11/boc-review-autumn2017-mcrae.pdf
The Bank of Canada made changes to several of the tools that make up its framework for operations and liquidity provision. These changes came about after a comprehensive re-view of the framework and are designed to help the Bank better achieve its objectives of reinforcing the target for the overnight rate and supporting the well-functioning of Cana-dian financial markets under normal market conditions.2017-11-16T11:21:22+00:00enAn Initial Assessment of Changes to the Bank of Canada’s Framework for Market Operations2017-11-16Aggregate Fluctuations and the Role of Trade Credit
https://www.bankofcanada.ca/2017/09/staff-working-paper-2017-37/
In an economy where production takes place in multiple stages and is subject to financial frictions, how firms finance intermediate inputs matters for aggregate outcomes. This paper focuses on trade credit—the lending and borrowing of input goods between firms—and quantifies its aggregate impacts during the Great Recession.2017-09-20T11:07:16+00:00enAggregate Fluctuations and the Role of Trade Credit2017-09-20Business fluctuations and cyclesCredit and credit aggregatesFirm dynamicsStaff Working Paper 2017-37https://www.bankofcanada.ca/wp-content/uploads/2017/09/swp2017-37.pdfAggregate Fluctuations and the Role of Trade CreditLin ShaoSeptember 2017EE3E32E4E44E5E51The Rise of Non-Regulated Financial Intermediaries in the Housing Sector and its Macroeconomic Implications
https://www.bankofcanada.ca/2017/09/staff-working-paper-2017-36/
I examine the impact of non-regulated lenders in the mortgage market using a dynamic stochastic general equilibrium (DSGE) model. My model features two types of financial intermediaries that differ in three ways: (i) only regulated intermediaries face a capital requirement, (ii) non-regulated intermediaries finance themselves by selling securities and cannot accept deposits, and (iii) non-regulated intermediaries face a more elastic demand.2017-09-14T10:26:31+00:00enThe Rise of Non-Regulated Financial Intermediaries in the Housing Sector and its Macroeconomic Implications2017-09-14Business fluctuations and cyclesEconomic modelsFinancial system regulation and policiesHousingStaff Working Paper 2017-36https://www.bankofcanada.ca/wp-content/uploads/2017/09/swp2017-36.pdfThe Rise of Non-Regulated Financial Intermediaries in the Housing Sector and its Macroeconomic ImplicationsHélène DesgagnésSeptember 2017EE3E32E4E44E47E6E60GG2G21G23G28Understanding Monetary Policy and its Effects: Evidence from Canadian Firms Using the Business Outlook Survey
https://www.bankofcanada.ca/2017/06/staff-working-paper-2017-24/
This paper shows (i) that business sentiment, as captured by survey data, matters for monetary policy decisions in Canada, and (ii) how business perspectives are affected by monetary policy shocks. Measures of business sentiment (soft data) are shown to have systematic explanatory power for monetary policy decisions over and above typical Taylor rule variables.2017-06-26T07:46:04+00:00enUnderstanding Monetary Policy and its Effects: Evidence from Canadian Firms Using the Business Outlook Survey2017-06-26Firm dynamicsInterest ratesMonetary policy transmissionStaff Working Paper 2017-24https://www.bankofcanada.ca/wp-content/uploads/2017/06/swp2017-24.pdfUnderstanding Monetary Policy and its Effects: Evidence from Canadian Firms Using the Business Outlook SurveyMatthieu VerstraeteLena SuchanekJune 2017DD2D22EE4E44E5E52Wholesale Funding of the Big Six Canadian Banks
https://www.bankofcanada.ca/wp-content/uploads/2017/05/boc-review-spring17-truno.pdf
The Big Six Canadian banks are a dominant component of the Canadian financial system. How they finance their business activities is fundamental to how effective they are. Retail and commercial deposits along with wholesale funding represent the two major sources of funds for Canadian banks. What wholesale funding instruments do the Big Six banks use? How do they choose between different funding sources, funding strategies and why? How have banks changed their funding mix since the 2007–09 global financial crisis?2017-05-11T10:27:11+00:00enWholesale Funding of the Big Six Canadian Banks2017-05-11Optimal Capital Regulation
https://www.bankofcanada.ca/2017/02/staff-working-paper-2017-6/
We study constrained-efficient bank capital regulation in a model with market-imposed equity requirements. Banks hold equity buffers to insure against sudden loss of access to funding. However, in the model, banks choose to only partially self-insure because equity is privately costly.2017-02-15T14:00:52+00:00enOptimal Capital Regulation2017-02-15Credit and credit aggregatesFinancial institutionsFinancial stabilityFinancial system regulation and policiesStaff Working Paper 2017-6https://www.bankofcanada.ca/wp-content/uploads/2017/02/swp2017-6.pdfOptimal Capital RegulationStéphane MoyenJosef SchrothFebruary 2017EE1E13E3E32E4E44