E44 - Financial Markets and the Macroeconomy - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T00:43:19+00:00The Impact of Surprising Monetary Policy Announcements on Exchange Rate Volatility
https://www.bankofcanada.ca/2018/12/staff-analytical-note-2018-39/
We identify a few Bank of Canada press releases that had the largest immediate impact on the exchange rate market. We find that volatility increases after these releases, but the effect is short-lived and mostly dissipates after the first hour, on average. Beyond the first hour, the size of the effect is similar to what we observe for other economic releases, such as those for inflation or economic growth data.2018-12-05T12:15:36+00:00enThe Impact of Surprising Monetary Policy Announcements on Exchange Rate Volatility2018-12-05Modelling the Macrofinancial Effects of a House Price Correction in Canada
https://www.bankofcanada.ca/2018/11/staff-analytical-note-2018-36/
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.2018-11-14T09:00:37+00:00enModelling the Macrofinancial Effects of a House Price Correction in Canada2018-11-14Non-Performing Loans, Fiscal Costs and Credit Expansion in China
https://www.bankofcanada.ca/2018/11/staff-working-paper-2018-53/
This paper studies how the credit expansion policy pursued by the Chinese government in an effort to stimulate its economy in the post-crisis period affects bank–firm loan contracts and the macroeconomy. We build a structural model with financial frictions in which the optimal loan contract reflects the trade-off between leverage and the probability of default.2018-11-01T13:08:43+00:00enNon-Performing Loans, Fiscal Costs and Credit Expansion in China2018-11-01Credit and credit aggregatesFiscal policyInternational topicsStaff Working Paper 2018-53https://www.bankofcanada.ca/wp-content/uploads/2018/11/swp2018-53.pdfNon-Performing Loans, Fiscal Costs and Credit Expansion in ChinaHuixin BiYongquan CaoWei DongNovember 2018EE4E44E6E62Financial Development Beyond the Formal Financial Market
https://www.bankofcanada.ca/2018/09/staff-working-paper-2018-49/
This paper studies the effects of financial development, taking into account both formal and informal financing. Using cross-country firm-level data, we document that informal financing is utilized more by rich countries than poor countries.2018-09-20T16:53:20+00:00enFinancial Development Beyond the Formal Financial Market2018-09-20Financial marketsFirm dynamicsProductivityStaff Working Paper 2018-49https://www.bankofcanada.ca/wp-content/uploads/2018/09/swp2018-49.pdfFinancial Development Beyond the Formal Financial MarketLin ShaoSeptember 2018EE4E44OO1O17O4O47How to Manage Macroeconomic and Financial Stability Risks: A New Framework
https://www.bankofcanada.ca/2018/04/staff-analytical-note-2018-11/
Financial system vulnerabilities increase the downside risk to future GDP growth. Macroprudential tightening significantly reduces financial stability risks associated with vulnerabilities. Monetary policy faces a trade-off between financial stability and macroeconomic risks.2018-04-30T13:46:39+00:00enHow to Manage Macroeconomic and Financial Stability Risks: A New Framework2018-04-30Asymmetric Risks to the Economic Outlook Arising from Financial System Vulnerabilities
https://www.bankofcanada.ca/2018/03/staff-analytical-note-2018-6/
When financial system vulnerabilities are elevated, they can give rise to asymmetric risks to the economic outlook. To illustrate this, I consider the economic outlook presented in the Bank of Canada’s October 2017 Monetary Policy Report in the context of two key financial system vulnerabilities: high levels of household indebtedness and housing market imbalances.2018-03-14T10:15:59+00:00enAsymmetric Risks to the Economic Outlook Arising from Financial System Vulnerabilities2018-03-14The Macroeconomic Effects of Quantitative Easing in the Euro Area: Evidence from an Estimated DSGE Model
https://www.bankofcanada.ca/2018/03/staff-working-paper-2018-11/
This paper estimates an open-economy dynamic stochastic general equilibrium model with Bayesian techniques to analyse the macroeconomic effects of the European Central Bank’s (ECB’s) quantitative easing (QE) programme. Using data on government debt stocks and yields across maturities, we identify the parameter governing portfolio adjustment in the private sector.2018-03-09T11:35:21+00:00enThe Macroeconomic Effects of Quantitative Easing in the Euro Area: Evidence from an Estimated DSGE Model2018-03-09Economic modelsInterest ratesMonetary policy transmissionStaff Working Paper 2018-11https://www.bankofcanada.ca/wp-content/uploads/2018/03/swp2018-11.pdfThe Macroeconomic Effects of Quantitative Easing in the Euro Area: Evidence from an Estimated DSGE ModelStefan HohbergerRomanos PriftisLukas VogelMarch 2018EE4E44E5E52FF4F41Is the Excess Bond Premium a Leading Indicator of Canadian Economic Activity?
https://www.bankofcanada.ca/2018/03/staff-analytical-note-2018-4/
This note investigates whether Canadian corporate spreads and the excess bond premium (EBP) lead Canadian economic activity. Indeed, we find that corporate spreads precede changes in real gross domestic product (GDP) in Canada over the subsequent year. The EBP accounts for most of this property. Further, an unanticipated increase in the Canadian EBP forecasts a deterioration of domestic macroeconomic conditions: a 10-basis-point increase results in a fall in both GDP and consumer price index (CPI) of 0.4 per cent and 0.1 per cent, respectively, over three years.2018-03-07T07:00:59+00:00enIs the Excess Bond Premium a Leading Indicator of Canadian Economic Activity?2018-03-07