E13 - Neoclassical - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T04:44:32+00:00Should Banks Be Worried About Dividend Restrictions?
https://www.bankofcanada.ca/2023/09/staff-working-paper-2023-49/
A regulator would want to restrict dividends to force banks to rebuild capital during a crisis. But such a policy is not time-consistent. A time-consistent policy would let banks gradually rebuild capital and pay dividends even when their equity remains below pre-crisis levels.2023-09-27T13:03:27+00:00enShould Banks Be Worried About Dividend Restrictions?2023-09-27Business fluctuations and cyclesCredit and credit aggregatesCredit risk managementFinancial stabilityFinancial system regulation and policiesLender of last resortStaff Working Paper 2023-49https://www.bankofcanada.ca/wp-content/uploads/2023/09/swp2023-49.pdfStaff Working Paper 2023-49Josef SchrothSeptember 2023EE1E13E3E32E4E44Learning in a Complex World: Insights from an OLG Lab Experiment
https://www.bankofcanada.ca/2023/02/staff-working-paper-2023-13/
This paper brings novel insights into group coordination and price dynamics in complex environments. We implement a chaotic overlapping-generation model in the lab and find that group coordination is always on the steady state or on the two-cycle and that behavior is non-monotonic.2023-02-21T13:34:14+00:00enLearning in a Complex World: Insights from an OLG Lab Experiment2023-02-21Business fluctuations and cyclesEconomic modelsStaff Working Paper 2023-13https://www.bankofcanada.ca/wp-content/uploads/2023/02/swp2023-13.pdfStaff Working Paper 2023-13Cars HommesStefanie J. HuberDaria MininaIsabelle SalleFebruary 2023CC6C62C68C9C91C92EE1E13E7E70GG1G12G4G41Quantum Monte Carlo for Economics: Stress Testing and Macroeconomic Deep Learning
https://www.bankofcanada.ca/2022/06/staff-working-paper-2022-29/
Using the quantum Monte Carlo algorithm, we study whether quantum computing can improve the run time of economic applications and challenges in doing so. We apply the algorithm to two models: a stress testing bank model and a DSGE model solved with deep learning. We also present innovations in the algorithm and benchmark it to classical Monte Carlo.2022-06-28T15:47:31+00:00enQuantum Monte Carlo for Economics: Stress Testing and Macroeconomic Deep Learning2022-06-28Business fluctuations and cyclesCentral bank researchEconometric and statistical methodsEconomic modelsFinancial stabilityStaff Working Paper 2022-29https://www.bankofcanada.ca/wp-content/uploads/2022/06/swp2022-29.pdfStaff Working Paper 2022-29Vladimir SkavyshSofia PriazhkinaDiego GualaThomas BromleyJune 2022CC1C15C6C61C63C68C7EE1E13GG1G17G2G21Can regulating bank capital help prevent and mitigate financial downturns?
https://www.bankofcanada.ca/2021/06/staff-analytical-note-2021-12/
Countercyclical capital buffers are regulatory measures developed in response to the global financial crisis of 2008–09. This note focuses on how time-varying capital buffers can improve financial stability in Canada2021-06-01T14:00:43+00:00enCan regulating bank capital help prevent and mitigate financial downturns?2021-06-01Macroprudential Policy with Capital Buffers
https://www.bankofcanada.ca/2019/02/staff-working-paper-2019-8/
The countercyclical capital buffer is part of Basel III, the set of regulatory measures developed in response to the financial crisis of 2007–09. This study focuses on how time-varying capital buffers can address inefficiencies in economies with endogenous financial crises.2019-02-20T09:14:06+00:00enMacroprudential Policy with Capital Buffers2019-02-20Business fluctuations and cyclesCredit and credit aggregatesCredit risk managementFinancial stabilityFinancial system regulation and policiesLender of last resortStaff Working Paper 2019-8https://www.bankofcanada.ca/wp-content/uploads/2019/02/swp2019-8.pdfMacroprudential Policy with Capital BuffersJosef SchrothFebruary 2019EE1E13E3E32E4E44Can Capital Deepening Explain the Global Decline in Labor’s Share?
https://www.bankofcanada.ca/2019/01/staff-working-paper-2019-3/
We estimate an aggregate elasticity of substitution between capital and labor near or below one, which implies that capital deepening cannot explain the global decline in labor's share. Our methodology derives from transition paths in the neo-classical growth model.2019-01-14T09:53:44+00:00enCan Capital Deepening Explain the Global Decline in Labor’s Share?2019-01-14Firm dynamicsInternational topicsLabour marketsStaff Working Paper 2019-3https://www.bankofcanada.ca/wp-content/uploads/2019/01/swp2019-3.pdfCan Capital Deepening Explain the Global Decline in Labor’s Share?Andrew GloverJacob ShortJanuary 2019EE1E13E2E22E25JJ3Optimal Capital Regulation
https://www.bankofcanada.ca/2017/02/staff-working-paper-2017-6/
We study constrained-efficient bank capital regulation in a model with market-imposed equity requirements. Banks hold equity buffers to insure against sudden loss of access to funding. However, in the model, banks choose to only partially self-insure because equity is privately costly.2017-02-15T14:00:52+00:00enOptimal Capital Regulation2017-02-15Credit and credit aggregatesFinancial institutionsFinancial stabilityFinancial system regulation and policiesStaff Working Paper 2017-6https://www.bankofcanada.ca/wp-content/uploads/2017/02/swp2017-6.pdfOptimal Capital RegulationStéphane MoyenJosef SchrothFebruary 2017EE1E13E3E32E4E44Capital Flows to Developing Countries: Is There an Allocation Puzzle?
https://www.bankofcanada.ca/2016/11/staff-working-paper-2016-53/
Foreign direct investment inflows are positively related to growth across developing countries—but so are savings in excess of investment. I develop an explanation for this well-established puzzle by focusing on the limited availability of consumer credit in developing countries together with general equilibrium effects.2016-11-25T11:31:40+00:00enCapital Flows to Developing Countries: Is There an Allocation Puzzle?2016-11-25Foreign reserves managementInterest ratesInternational financial marketsStaff Working Paper 2016-53https://www.bankofcanada.ca/wp-content/uploads/2016/11/swp2016-53.pdfCapital Flows to Developing Countries: Is There an Allocation Puzzle?Josef SchrothNovember 2016EE1E13E2E21FF4F43Business Cycles in Small, Open Economies: Evidence from Panel Data Between 1900 and 2013
https://www.bankofcanada.ca/2016/11/staff-working-paper-2016-48/
Using a novel data set for 17 countries dating from 1900 to 2013, we characterize business cycles in both small developed and developing countries in a model with financial frictions and a common shock structure. We estimate the model jointly for these 17 countries using Bayesian methods.2016-11-01T15:18:47+00:00enBusiness Cycles in Small, Open Economies: Evidence from Panel Data Between 1900 and 20132016-11-01Business fluctuations and cyclesEconomic modelsInternational topicsStaff Working Paper 2016-48https://www.bankofcanada.ca/wp-content/uploads/2016/11/swp2016-48.pdfBusiness Cycles in Small, Open Economies: Evidence from Panel Data Between 1900 and 2013Thuy Lan NguyenWataru MiyamotoNovember 2016EE1E13E3E32FF4F41F44Financial Crisis Interventions
https://www.bankofcanada.ca/2016/06/staff-working-paper-2016-29/
This paper develops a model of an economy where bank credit supports both productive investment and individual consumption smoothing in the face of idiosyncratic income risk. Bank credit is constrained by bank equity capital.2016-06-24T15:28:00+00:00enFinancial Crisis Interventions2016-06-24Credit and credit aggregatesFinancial stabilityFinancial system regulation and policiesLender of last resortStaff Working Paper 2016-29https://www.bankofcanada.ca/wp-content/uploads/2016/06/swp2016-29.pdfFinancial Crisis InterventionsJosef SchrothJune 2016EE1E13E3E32E4E44