C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
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Stressed but not Helpless: Strategic Behaviour of Banks Under Adverse Market Conditions
Our stress-testing tool considers banks under stress that can strategically manage their balance sheets. Using confidential Canadian supervisory data, we assess whether bank behaviour to maximize shareholder value can amplify a hypothetical stress scenario. -
Occasionally Binding Constraints in Large Models: A Review of Solution Methods
Solving macroeconomic models is difficult. One challenge is the occasionally binding constraint of the zero lower bound on nominal interest rates. This paper reviews various ways to solve models that include this feature. -
A Generalized Endogenous Grid Method for Default Risk Models
Models with default options are hard to solve. We propose an extension of the endogenous grid method that solves default risk models more efficiently and accurately. -
Chinese Monetary Policy and Text Analytics: Connecting Words and Deeds
What are the main drivers behind the monetary policy reaction function of the People’s Bank of China? -
Allocative Efficiency and Aggregate Productivity Growth in Canada and the United States
The lack of improvement in allocative efficiency plays a quantitatively important role in the productivity slowdown in the United States and the widening Canada–US productivity gap. -
Interbank Asset-Liability Networks with Fire Sale Management
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? -
Survival Analysis of Bank Note Circulation: Fitness, Network Structure and Machine Learning
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. -
Scenario Analysis and the Economic and Financial Risks from Climate Change
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. -
IMPACT: The Bank of Canada’s International Model for Projecting Activity
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.