C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T07:14:37+00:00Interbank Asset-Liability Networks with Fire Sale Management
https://www.bankofcanada.ca/2020/09/staff-working-paper-2020-41/
Raising liquidity when funding is stressed creates pressure on the financial market. Liquidating large quantities of assets depresses their prices and may amplify funding shocks. How do banks weathering a funding crisis contribute to contagion risk?2020-09-28T14:30:46+00:00enInterbank Asset-Liability Networks with Fire Sale Management2020-09-28Financial stabilityFinancial system regulation and policiesPayment clearing and settlement systemsStaff Working Paper 2020-41https://www.bankofcanada.ca/wp-content/uploads/2020/09/swp2020-41.pdfStaff Working Paper 2020-41Zachary FeinsteinGrzegorz HalajSeptember 2020CC6C62C63C7C72GG0G01G1G11Survival Analysis of Bank Note Circulation: Fitness, Network Structure and Machine Learning
https://www.bankofcanada.ca/2020/08/staff-working-paper-2020-33/
Using the Bank of Canada's Currency Information Management Strategy, we analyze the network structure traced by a bank note’s travel in circulation and find that the denomination of the bank note is important in our potential understanding of the demand and use of cash.2020-08-19T08:55:16+00:00enSurvival Analysis of Bank Note Circulation: Fitness, Network Structure and Machine Learning2020-08-19Bank notesEconometric and statistical methodsPayment clearing and settlement systemsStaff Working Paper 2020-33https://www.bankofcanada.ca/wp-content/uploads/2020/08/swp2020-33.pdfStaff Working Paper 2020-33Diego RojasJuan EstradaKim HuynhDavid T. Jacho-ChávezAugust 2020CC5C52C6C65C8C81EE4E42E5E51Scenario Analysis and the Economic and Financial Risks from Climate Change
https://www.bankofcanada.ca/2020/05/staff-discussion-paper-2020-3/
This paper adapts climate-economy models that have been applied in other contexts for use in climate-related scenario analysis. We consider illustrative scenarios for the global economy that could generate economic and financial risks. Our results suggest there are significant economic risks from climate change and the move to a low-carbon economy.2020-05-19T10:00:47+00:00enScenario Analysis and the Economic and Financial Risks from Climate Change2020-05-19Climate changeEconomic modelsFinancial stabilityInternational topicsErik EnsCraig JohnstonMay 2020CC6C68DD5D58EE5E50OO4O44PP1P18QQ4Q5Q54Q55IMPACT: The Bank of Canada’s International Model for Projecting Activity
https://www.bankofcanada.ca/2020/03/technical-report-116/
We present the structure and features of the International Model for Projecting Activity (IMPACT), a global semi-structural model used to conduct projections and policy analysis at the Bank of Canada. Major blocks of the model are developed based on the rational error correction framework of Kozicki and Tinsley (1999), which allows the model to strike a balance between theoretical structure and empirical performance.2020-03-06T11:09:46+00:00enIMPACT: The Bank of Canada’s International Model for Projecting Activity2020-03-06Business fluctuations and cyclesEconometric and statistical methodsEconomic modelsInternational topicsTechnical Report 116https://www.bankofcanada.ca/wp-content/uploads/2020/03/tr116.pdfTechnical Report 116Patrick BlagraveClaudia GodboutJustin-Damien GuénetteRené LalondeNikita PerevalovMarch 2020CC6C68EE2E27E3E37FF0F01F3F32F4F47