C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling

• Transition Scenarios for Analyzing Climate-Related Financial Risk

  Staff Discussion Paper 2022-1 Y.-H. Henry Chen, Erik Ens, Olivier Gervais, Hossein Hosseini, Craig Johnston, Serdar Kabaca, Miguel Molico, Sergey Paltsev, Alex Proulx, Argyn Toktamyssov

  Climate transition scenarios clarify climate-related risks to our economy and financial system. This paper summarizes key results of Canada-relevant scenarios developed in a pilot project on climate risk by the Bank of Canada and the Office of the Superintendent of Financial Institutions.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Climate change, Economic models, Financial stability, International topics JEL Code(s): C, C6, C68, D, D5, D58, E, E5, E50, O, O4, O44, P, P1, P18, Q, Q5, Q54

• Stressed but not Helpless: Strategic Behaviour of Banks Under Adverse Market Conditions

  Staff Working Paper 2021-35 Grzegorz Halaj, Sofia Priazhkina

  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.

  Content Type(s): Staff research, Staff working papers Topic(s): Central bank research, Economic models, Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): C, C6, C63, C7, C72, G, G2, G21

• Occasionally Binding Constraints in Large Models: A Review of Solution Methods

  Staff Discussion Paper 2021-5 Jonathan Swarbrick

  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.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): C, C6

• A Generalized Endogenous Grid Method for Default Risk Models

  Staff Working Paper 2021-11 Youngsoo Jang, Soyoung Lee

  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.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Credit risk management JEL Code(s): C, C6, C63, E, E3, E37

• Chinese Monetary Policy and Text Analytics: Connecting Words and Deeds

  Staff Working Paper 2021-3 Jeannine Bailliu, Xinfen Han, Barbara Sadaba, Mark Kruger

  What are the main drivers behind the monetary policy reaction function of the People’s Bank of China?

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics, Monetary policy communications, Monetary policy framework JEL Code(s): C, C6, C63, E, E5, E52, E58

• Allocative Efficiency and Aggregate Productivity Growth in Canada and the United States

  Staff Working Paper 2021-1 Lin Shao, Rongsheng Tang

  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.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Productivity JEL Code(s): C, C6, C67, D, D4, D5, D57, E, E2, E23

• Interbank Asset-Liability Networks with Fire Sale Management

  Staff Working Paper 2020-41 Zachary Feinstein, Grzegorz Halaj

  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?

  Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): C, C6, C62, C63, C7, C72, G, G0, G01, G1, G11

• Survival Analysis of Bank Note Circulation: Fitness, Network Structure and Machine Learning

  Staff Working Paper 2020-33 Diego Rojas, Juan Estrada, Kim Huynh, David T. Jacho-Chávez

  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.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Econometric and statistical methods, Payment clearing and settlement systems JEL Code(s): C, C5, C52, C6, C65, C8, C81, E, E4, E42, E5, E51

• Scenario Analysis and the Economic and Financial Risks from Climate Change

  Staff Discussion Paper 2020-3 Erik Ens, Craig Johnston

  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.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Climate change, Economic models, Financial stability, International topics JEL Code(s): C, C6, C68, D, D5, D58, E, E5, E50, O, O4, O44, P, P1, P18, Q, Q4, Q5, Q54, Q55

• IMPACT: The Bank of Canada’s International Model for Projecting Activity

  Technical Report No. 116 Patrick Blagrave, Claudia Godbout, Justin-Damien Guénette, René Lalonde, Nikita Perevalov

  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.

  Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Economic models, International topics JEL Code(s): C, C6, C68, E, E2, E27, E3, E37, F, F0, F01, F3, F32, F4, F47