Ian Christensen - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-19T08:07:34+00:00The Bank of Canada’s Financial System Survey
https://www.bankofcanada.ca/wp-content/uploads/2018/06/fsr-june18-bedard-page.pdf
This report presents the details of a new semi-annual survey that will improve the Bank of Canada’s surveillance across the financial system and deepen efforts to engage with financial system participants. The survey collects expert opinions on the risks to and resilience of the Canadian financial system as well as on emerging trends and financial innovations. The report presents an overview of the survey and provides high-level results from the spring 2018 survey.2018-06-07T11:49:39+00:00enThe Bank of Canada’s Financial System Survey2018-06-07Housing Market Dynamics and Macroprudential Policy
https://www.bankofcanada.ca/2016/07/staff-working-paper-2016-31/
We perform an analysis to determine how well the introduction of a countercyclical loanto- value (LTV) ratio can reduce household indebtedness and housing price fluctuations compared with a monetary policy rule augmented with house price inflation.2016-07-19T10:01:51+00:00enHousing Market Dynamics and Macroprudential Policy2016-07-19Business fluctuations and cyclesFinancial stabilityHousingMonetary policy frameworkMonetary policy transmissionStaff Working Paper 2016-31https://www.bankofcanada.ca/wp-content/uploads/2016/07/swp2016-31.pdfHousing Market Dynamics and Macroprudential PolicyGabriel BruneauIan ChristensenCésaire MehJuly 2016EE3E31E4E42HH2H23Assessing Vulnerabilities in the Canadian Financial System
https://www.bankofcanada.ca/wp-content/uploads/2015/06/fsr-june15-christensen.pdf
The authors present the four common cyclical vulnerabilities that appear in financial systems, providing examples of qualitative and quantitative indicators used to monitor these vulnerabilities across different sectors. They also discuss other inputs to the vulnerability assessment and to the internal process used at the Bank of Canada for identifying, evaluating and communicating vulnerabilities and risks, and highlight some of the key challenges in assessing financial system vulnerabilities and risks.2015-06-11T10:30:23+00:00enAssessing Vulnerabilities in the Canadian Financial System2015-06-11Predicting Financial Stress Events: A Signal Extraction Approach
https://www.bankofcanada.ca/2014/09/working-paper-2014-37/
The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of time. To achieve this goal, the signal extraction approach proposed by Kaminsky, Lizondo and Reinhart (1998) is used to monitor the evolution of a number of economic indicators that tend to exhibit an unusual behaviour in the periods preceding a financial stress event.2014-09-04T09:14:36+00:00enPredicting Financial Stress Events: A Signal Extraction Approach2014-09-04Econometric and statistical methodsFinancial stabilityWorking Paper 2014-37https://www.bankofcanada.ca/wp-content/uploads/2014/09/wp2014-37.pdfPredicting Financial Stress Events: A Signal Extraction ApproachIan ChristensenFuchun LiAugust 2014CC1C14C4EE3E37E4E47FF3F36F37GG0G01G1G17Assessing Financial System Vulnerabilities: An Early Warning Approach
https://www.bankofcanada.ca/wp-content/uploads/2013/11/boc-review-autumn13-pasricha.pdf
This article focuses on a quantitative method to identify financial system vulnerabilities, specifically, an imbalance indicator model (IIM) and its application to Canada. An IIM identifies potential vulnerabilities in a financial system by comparing current economic and financial data with data from periods leading up to past episodes of financial stress. It complements other sources of information - including market intelligence and regular monitoring of the economy - that policy-makers use to assess vulnerabilities.2013-11-14T08:09:13+00:00enAssessing Financial System Vulnerabilities: An Early Warning Approach2013-11-14A Semiparametric Early Warning Model of Financial Stress Events
https://www.bankofcanada.ca/2013/05/working-paper-2013-13/
The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States.2013-05-14T12:28:51+00:00enA Semiparametric Early Warning Model of Financial Stress Events2013-05-14Econometric and statistical methodsFinancial stabilityWorking Paper 2013-13https://www.bankofcanada.ca/wp-content/uploads/2013/05/wp2013-13.pdfA Semiparametric Early Warning Model of Financial Stress EventsIan ChristensenFuchun LiMay 2013CC1C12C14GG0G01G1G17Conference Summary: Financial Intermediation and Vulnerabilities
https://www.bankofcanada.ca/wp-content/uploads/2013/02/boc-review-winter-12-13-allen.pdf
The Bank of Canada’s annual economic conference, held in October 2012, brought together experts from across Canada and around the world to discuss key issues concerning financial intermediation and vulnerabilities. The conference covered such topics as household finances and their relationship to financial stability, as well as bank regulation, securitization and shadow banking.2013-02-21T10:30:03+00:00enConference Summary: Financial Intermediation and Vulnerabilities2013-02-21Bank Leverage Regulation and Macroeconomic Dynamics
https://www.bankofcanada.ca/2011/12/working-paper-2011-32/
This paper assesses the merits of countercyclical bank balance sheet regulation for the stabilization of financial and economic cycles and examines its interaction with monetary policy.2011-12-22T15:31:46+00:00enBank Leverage Regulation and Macroeconomic Dynamics2011-12-22Economic modelsFinancial institutionsFinancial system regulation and policiesMonetary policy frameworkMonetary policy transmissionWorking Paper 2011-32https://www.bankofcanada.ca/wp-content/uploads/2011/12/wp2011-32.pdfBank Leverage Regulation and Macroeconomic DynamicsIan ChristensenCésaire MehKevin MoranDecember 2011EE4E44E5E52GG2G21Mortgage Debt and Procyclicality in the Housing Market
https://www.bankofcanada.ca/wp-content/uploads/2011/08/christensen.pdf
This article focuses on the role that loans backed by housing collateral play in amplifying housing booms and, more generally, procyclicality in the housing market. The author uses a model developed to include borrower and lender households, as well as a housing market, to examine the impact that altering the loan-to-value ratio (either permanently or countercyclically) might have on the volatility of house prices and mortgage debt.2011-08-18T09:32:17+00:00enMortgage Debt and Procyclicality in the Housing Market2011-08-18The Countercyclical Bank Capital Buffer: Insights for Canada
https://www.bankofcanada.ca/wp-content/uploads/2011/12/fsr-1210-xiao.pdf
2010-12-09T11:10:53+00:00enThe Countercyclical Bank Capital Buffer: Insights for Canada2010-12-09