Financial stability

• December 6, 2018

  Year-End Economic Progress Report: Financial Vulnerabilities in Focus

  Remarks Stephen S. Poloz CFA Toronto Toronto, Ontario

  Governor Poloz talks about how household debt levels and housing markets played a role in the latest interest-rate decision.

  Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Financial stability, Housing, Monetary policy, Recent economic and financial developments
• December 6, 2018

  Governor Poloz speaks on financial vulnerabilities and risks to the economy

  Speech summary Stephen S. Poloz CFA - Toronto Toronto, Ontario

  In his final speech of 2018, Governor Stephen S. Poloz discusses the vulnerabilities and risks in Canada’s financial system as well as Canadian and global economic developments. He explains how all this was taken into account in the December interest rate decision.

  Content Type(s): Press, Speeches and appearances, Speech summaries Research Topic(s): Financial stability, Housing, Monetary policy, Recent economic and financial developments

• Modelling the Macrofinancial Effects of a House Price Correction in Canada

  Staff Analytical Note 2018-36 Thibaut Duprey, Xuezhi Liu, Cameron MacDonald, Maarten van Oordt, Sofia Priazhkina, Xiangjin Shen, Joshua Slive

  We use a suite of risk-assessment models to examine the possible impact of a hypothetical house price correction, centred in the Toronto and Vancouver areas. We also assume financial stress significantly amplifies the macroeconomic impact of the house price decline.

  Content Type(s): Staff research, Staff analytical notes Research Topic(s): Financial institutions, Financial stability, Housing JEL Code(s): E, E2, E27, E3, E37, E4, E44, G, G2, G21

• The Framework for Risk Identification and Assessment

  Technical Report No. 113 Cameron MacDonald, Virginie Traclet

  Risk assessment models are an important component of the Bank’s analytical tool kit for assessing the resilience of the financial system. We describe the Framework for Risk Identification and Assessment (FRIDA), a suite of models developed at the Bank of Canada to quantify the impact of financial stability risks to the broader economy and a range of financial system participants (households, businesses and banks).

  Content Type(s): Staff research, Technical reports Research Topic(s): Economic models, Financial institutions, Financial stability, Housing JEL Code(s): C, C3, C5, C6, C7, D, D1, E, E0, E00, E2, E27, E3, E37, E4, E47, G, G0, G2, G21

• Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market-Based Stress Tests

  Staff Working Paper 2018-54 Maarten van Oordt

  How much capital do banks need as a buffer to absorb severe shocks? By using historical stock market data, market-based stress tests help estimate the magnitude of capital buffers necessary to absorb severe but plausible shocks.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G1, G10, G2, G21, G28

• Characterizing the Canadian Financial Cycle with Frequency Filtering Approaches

  Staff Analytical Note 2018-34 Andrew Lee-Poy

  In this note, I use two multivariate frequency filtering approaches to characterize the Canadian financial cycle by capturing fluctuations in the underlying variables with respect to a long-term trend. The first approach is a dynamically weighted composite, and the second is a stochastic cycle model.

  Content Type(s): Staff research, Staff analytical notes Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial stability, Monetary and financial indicators, Recent economic and financial developments JEL Code(s): C, C0, C01, C1, C13, C14, C18, C3, C32, C5, C51, C52, E, E3, E32, E6, E66, G, G0, G01, G1, G18

• Multibank Holding Companies and Bank Stability

  Staff Working Paper 2018-51 Radoslav Raykov, Consuelo Silva-Buston

  This paper studies the relationship between bank holding company affiliation and the individual and systemic risk of banks. Using the 2005 hurricane season in the US as an exogenous shock to bank balance sheets, we show that banks that are part of a holding parent company are more resilient than independent banks.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability JEL Code(s): G, G1, G2
• October 16, 2018

  Keeping the financial system healthy

  

  Joshua Slive, Donald Coletti

  We are all better off if the financial system can weather a storm or two. And every one of us plays a role in keeping it that way.

  Content Type(s): Publications, The Economy, Plain and Simple Research Topic(s): Credit risk management, Financial stability, Financial system regulation and policies, International topics, Sectoral balance sheet
• October 1, 2018

  Decrypting “Crypto”

  Remarks Timothy Lane Haskayne School of Business - University of Calgary Calgary, Alberta

  Deputy Governor Timothy Lane discusses the Bank of Canada’s research and responses to public interest in cryptocurrencies.

  Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Cryptoassets, Cryptocurrencies, Digital currencies and fintech, Financial stability

• Challenges in Implementing Worst-Case Analysis

  Staff Working Paper 2018-47 Jon Danielsson, Lerby Ergun, Casper G. de Vries

  Worst-case analysis is used among financial regulators in the wake of the recent financial crisis to gauge the tail risk. We provide insight into worst-case analysis and provide guidance on how to estimate it. We derive the bias for the non-parametric heavy-tailed order statistics and contrast it with the semi-parametric extreme value theory (EVT) approach.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability JEL Code(s): C, C0, C01, C1, C14, C5, C58