C2 - Single Equation Models; Single Variables - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T08:37:37+00:00Regulation, Emissions and Productivity: Evidence from China’s Eleventh Five-Year Plan
https://www.bankofcanada.ca/2024/03/staff-working-paper-2024-7/
We study the degree to which China’s 11th Five-Year Plan softens trade-offs between emissions and output. Our model suggests efficient regulation could have further increased aggregate productivity by 3.5% and output by 4.7% without any increase in aggregate emissions.2024-03-21T14:07:50+00:00enRegulation, Emissions and Productivity: Evidence from China’s Eleventh Five-Year Plan2024-03-21Climate changeProductivityStaff Working Paper 2024-7https://www.bankofcanada.ca/wp-content/uploads/2024/03/swp2024-7.pdfRegulation, Emissions and Productivity: Evidence from China’s Eleventh Five-Year PlanBrantly CallawayTong LiJoel RodrigueYuya SasakiYong TanMarch 2024CC2C21DD2D24QQ5Q53Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps
https://www.bankofcanada.ca/2023/07/staff-working-paper-2023-38/
We study whether the credit derivatives of firms reflect the risk from climate transition. We find that climate transition risk has asymmetric and significant economic impacts on the credit risk of more vulnerable firms, and negligible effects on other firms.2023-07-17T13:28:18+00:00enIs Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps2023-07-17Climate changeCredit risk managementEconometric and statistical methodsStaff Working Paper 2023-38https://www.bankofcanada.ca/wp-content/uploads/2023/07/swp2023-38.pdfIs Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default SwapsAndrea UgoliniJuan C. ReboredoJavier Ojea FerreiroJuly 2023CC2C24GG1G12G3G32QQ5Q54We Didn’t Start the Fire: Effects of a Natural Disaster on Consumers’ Financial Distress
https://www.bankofcanada.ca/2023/02/staff-working-paper-2023-15/
We use detailed consumer credit data to investigate the impact of the 2016 Fort McMurray wildfire, the costliest wildfire disaster in Canadian history, on consumers’ financial stress. We focus on the arrears of insured mortgages because of their important implications for financial institutions and insurers’ business risk and relevant management practices.2023-02-28T14:59:47+00:00enWe Didn’t Start the Fire: Effects of a Natural Disaster on Consumers’ Financial Distress2023-02-28Climate changeCredit and credit aggregatesEconometric and statistical methodsFinancial stabilityStaff Working Paper 2023-15https://www.bankofcanada.ca/wp-content/uploads/2023/02/swp2023-15.pdfStaff Working Paper 2023-15Anson T. Y. HoKim HuynhDavid T. Jacho-ChávezGeneviève ValléeFebruary 2023CC2C21DD1D12GG2G21QQ5Q54Climate Variability and International Trade
https://www.bankofcanada.ca/2023/01/staff-working-paper-2023-8/
This paper quantifies the impact of hurricanes on seaborne international trade to the United States. Matching the timing of hurricane–trade route intersections with monthly U.S. port-level trade data, we isolate the unanticipated effects of a hurricane hitting a trade route using two separate identification schemes: an event study and a local projection.2023-01-30T10:17:33+00:00enClimate Variability and International Trade2023-01-30Climate changeInternational topicsStaff Working Paper 2023-8https://www.bankofcanada.ca/wp-content/uploads/2023/01/swp2023-8.pdfStaff Working Paper 2023-8Geoffrey R. DunbarWalter SteingressBen TomlinJanuary 2023CC2C22C5FF1F14F18QQ5Q54Macroeconomic Disasters and Consumption Smoothing: International Evidence from Historical Data
https://www.bankofcanada.ca/2023/01/staff-working-paper-2023-4/
Does consumption smoothing fundamentally decrease during macroeconomic disasters? This paper uses a large historical dataset (1870–2016) for 16 industrial economies to show that during macroeconomic disasters (e.g., wars, pandemics, depressions) aggregate consumption and income are significantly less decoupled than during normal times.2023-01-10T16:00:41+00:00enMacroeconomic Disasters and Consumption Smoothing: International Evidence from Historical Data2023-01-10Business fluctuations and cyclesCoronavirus disease (COVID-19)Econometric and statistical methodsStaff Working Paper 2023-4https://www.bankofcanada.ca/wp-content/uploads/2023/01/swp2023-4.pdfStaff Working Paper 2023-4Lorenzo PozziBarbara SadabaJanuary 2023CC2C23EE2E21Forecasting Banks’ Corporate Loan Losses Under Stress: A New Corporate Default Model
https://www.bankofcanada.ca/2022/10/technical-report-122/
We present a new corporate default model, one of the building blocks of the Bank of Canada’s bank stress-testing infrastructure. The model is used to forecast corporate loan losses of the Canadian banking sector under stress.2022-10-03T16:29:10+00:00enForecasting Banks’ Corporate Loan Losses Under Stress: A New Corporate Default Model2022-10-03Economic modelsFinancial institutionsFinancial stabilityFinancial system regulation and policiesTechnical Report 2022-122https://www.bankofcanada.ca/wp-content/uploads/2022/10/tr122.pdfTechnical Report 2022-122Gabriel BruneauThibaut DupreyRuben HippOctober 2022CC2C22C5C52C53GG1G17G2G21G28Weather the Storms? Hurricanes, Technology and Oil Production
https://www.bankofcanada.ca/2022/08/staff-working-paper-2022-36/
Do technological improvements mitigate the potential damages from extreme weather events? We show that hurricanes lower offshore oil production in the Gulf of Mexico and that stronger storms have larger impacts. Regulations enacted in 1980 that required improved offshore construction standards only modestly mitigated the production losses.2022-08-09T11:48:11+00:00enWeather the Storms? Hurricanes, Technology and Oil Production2022-08-09Business fluctuations and cyclesClimate changePotential outputStaff Working Paper 2022-36https://www.bankofcanada.ca/wp-content/uploads/2022/08/swp2022-36.pdfWeather the Storms? Hurricanes, Technology and Oil ProductionJohan BrannlundGeoffrey R. DunbarReinhard EllwangerMatthew KrutkiewiczAugust 2022CC2C22C23QQ4Q40Q48Q5Q54COVID-19, Containment and Consumption
https://www.bankofcanada.ca/2022/03/staff-discussion-paper-2022-5/
We assess the impact of COVID-19 on consumption indicators by estimating the effects of government-mandated containment measures and of the willingness of individuals to voluntarily physically distance to prevent contagion.2022-03-18T12:38:53+00:00enCOVID-19, Containment and Consumption2022-03-18Coronavirus disease (COVID-19)Domestic demand and componentsStaff Discussion Paper 2022-5https://www.bankofcanada.ca/wp-content/uploads/2022/03/sdp2022-5.pdfCOVID-19, Containment and ConsumptionTatjana DahlhausDaniel HyunAntoine Poulin-MooreJaime TrujilloSaarah SheikhBenjamin StrausMarch 2022CC2C23DD1D12EE6E65II1I18Can the characteristics of new mortgages predict borrowers’ financial stress? Insights from the 2014 oil price decline
https://www.bankofcanada.ca/2021/09/staff-analytical-note-2021-22/
We study the relationship between characteristics of new mortgages and borrowers’ financial stress in Canada’s energy-intensive regions following the 2014 collapse in oil prices. We find that borrowers with limited home equity were more likely to have difficulty repaying debt.2021-09-22T15:00:12+00:00enCan the characteristics of new mortgages predict borrowers’ financial stress? Insights from the 2014 oil price decline2021-09-22Payment Habits During COVID-19: Evidence from High-Frequency Transaction Data
https://www.bankofcanada.ca/2021/09/staff-working-paper-2021-43/
We examine how consumers have adjusted their payment habits during the COVID-19 pandemic. They seem to perform fewer transactions, spend more in each transaction, use less cash at the point of sale and withdraw cash from ATMs linked to their financial institution more often than from other ATMs.2021-09-10T09:14:25+00:00enPayment Habits During COVID-19: Evidence from High-Frequency Transaction Data2021-09-10Coronavirus disease (COVID-19)Domestic demand and componentsPayment clearing and settlement systemsRecent economic and financial developmentsStaff Working Paper 2021-43https://www.bankofcanada.ca/wp-content/uploads/2021/09/swp2021-43.pdfPayment Habits During COVID-19: Evidence from High-Frequency Transaction DataTatjana DahlhausAngelika WelteSeptember 2021CC2C22C5C55DD1D12EE2E21E4E42E5E52