D58 - Computable and Other Applied General Equilibrium Models - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T06:26:01+00:00Transition Scenarios for Analyzing Climate-Related Financial Risk
https://www.bankofcanada.ca/2022/01/staff-discussion-paper-2022-1/
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.2022-01-13T14:04:27+00:00enTransition Scenarios for Analyzing Climate-Related Financial Risk2022-01-13Climate changeEconomic modelsFinancial stabilityInternational topicsStaff Discussion Paper 2022-1https://www.bankofcanada.ca/wp-content/uploads/2021/11/sdp2022-1.pdfY.-H. Henry ChenErik EnsOlivier GervaisHossein HosseiniCraig JohnstonSerdar KabacaMiguel MolicoSergey PaltsevAlex ProulxArgyn ToktamyssovJanuary 2022CC6C68DD5D58EE5E50OO4O44PP1P18QQ5Q54Scenario 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 2020CC6C68DD5D58EE5E50OO4O44PP1P18QQ4Q5Q54Q55Inflation, Nominal Portfolios, and Wealth Redistribution in Canada
https://www.bankofcanada.ca/2008/06/working-paper-2008-19/
There is currently a policy debate on potential refinements to monetary policy regimes in countries with low and stable inflation such as the U.S. and Canada. For example, in Canada, a systematic review of the current inflation targeting framework is underway.2008-06-18T09:31:05+00:00enInflation, Nominal Portfolios, and Wealth Redistribution in Canada2008-06-18Inflation and pricesInflation targetsInflation: costs and benefitsMonetary policy frameworkSectoral balance sheetWorking Paper 2008-19https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp08-19.pdfInflation, Nominal Portfolios, and Wealth Redistribution in CanadaCésaire MehYaz TerajimaJune 2008DD3D31D5D58EE3E31E5E50On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk
https://www.bankofcanada.ca/2008/05/working-paper-2008-16/
The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called twofund separation relies on special assumptions on either returns or preferences.2008-05-22T15:31:14+00:00enOn Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk2008-05-22Financial marketsMarket structure and pricingWorking Paper 2008-16 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp08-16.pdfOn Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards RiskFousseni Chabi-YoEric GhyselsEric RenaultMay 2008CC5C52DD5D58GG1G11G12Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing
https://www.bankofcanada.ca/2007/08/working-paper-2007-47/
Asymmetric shocks are common in markets; securities' payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous agents with preferences over mean, variance and skewness, and derives equilibrium prices.2007-08-07T11:40:55+00:00enImplications of Asymmetry Risk for Portfolio Analysis and Asset Pricing2007-08-07Financial marketsMarket structure and pricingWorking Paper 2007-47 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-47.pdfImplications of Asymmetry Risk for Portfolio Analysis and Asset PricingFousseni Chabi-YoDietmar LeisenEric RenaultAugust 2007CC5C52DD5D58GG1G11G12