Credit and credit aggregates, Financial institutions, Financial markets, Financial services, Financial stability, Financial system regulation and policies, International financial markets, Lender of last resort, , Monetary policy implementation, Payment clearing and settlement systems
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Can the Canadian International Investment Position Stabilize a Slowing Economy?
In this note, we find that valuation effects can act as an important stabilizer, strengthening Canada’s net external wealth when its economic outlook worsens relative to that of other countries. -
Measuring Limits of Arbitrage in Fixed-Income Markets
We use relative value to measure limits to arbitrage in fixed-income markets. Relative value captures apparent deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond. -
Policy Rules for Capital Controls
This paper attempts to borrow the tradition of estimating policy reaction functions in monetary policy literature and apply it to capital controls policy literature. Using a novel weekly dataset on capital controls policy actions in 21 emerging economies over the period 1 January 2001 to 31 December 2015, I examine the mercantilist and macroprudential motivations for capital control policies. -
A Counterfactual Valuation of the Stock Index as a Predictor of Crashes
Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon—instead, I shift focus to severe downside risk (i.e., crashes). -
Aggregate Fluctuations and the Role of Trade Credit
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. -
The MacroFinancial Risk Assessment Framework (MFRAF), Version 2.0
This report provides a detailed technical description of the updated MacroFinancial Risk Assessment Framework (MFRAF), which replaces the version described in Gauthier, Souissi and Liu (2014) as the Bank of Canada’s stress-testing model for banks with a focus on domestic systemically important banks (D-SIBs). -
The Rise of Non-Regulated Financial Intermediaries in the Housing Sector and its Macroeconomic Implications
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. -
September 14, 2017
Monetary Policy Framework Issues: Toward the 2021 Inflation-Target Renewal
Senior Deputy Governor Carolyn A. Wilkins reviews key themes discussed by participants at the workshop “Monetary Policy Framework Issues: Toward the 2021 Inflation-Target Renewal”. -
Do Canadian Broker-Dealers Act as Agents or Principals in Bond Trading?
Technology, risk tolerance and regulation may influence dealers to reduce their trading as principals (using their own balance sheets for sales and purchases of securities) in favour of agency trading (matching client trades).