Posts

• Characterizing the Canadian Financial Cycle with Frequency Filtering Approaches

  Staff Analytical Note 2018-34 Andrew Lee-Poy

  In this note, I use two multivariate frequency filtering approaches to characterize the Canadian financial cycle by capturing fluctuations in the underlying variables with respect to a long-term trend. The first approach is a dynamically weighted composite, and the second is a stochastic cycle model.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial stability, Monetary and financial indicators, Recent economic and financial developments JEL Code(s): C, C0, C01, C1, C13, C14, C18, C3, C32, C5, C51, C52, E, E3, E32, E6, E66, G, G0, G01, G1, G18

• On the Essentiality of E-Money

  Staff Working Paper 2015-43 Jonathan Chiu, Tsz-Nga Wong

  Recent years have witnessed the advances of e-money systems such as Bitcoin, PayPal and various forms of stored-value cards. This paper adopts a mechanism design approach to identify some essential features of different payment systems that implement and improve the constrained optimal resource allocation.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Digital currencies and fintech, Payment clearing and settlement systems JEL Code(s): E, E4, E42, E5, E58, L, L5, L51

• Y a-t-il eu surinvestissement au Canada durant la seconde moitié des années 1990?

  Staff Working Paper 2005-5 Sylvain Martel

  This study on overinvestment differs from the existing literature in that investment in machinery and equipment is modelled as a structural vector autoregression with identification achieved by imposing long-run restrictions, as in Blanchard and Quah (1989).

  Content Type(s): Staff research, Staff working papers Topic(s): Domestic demand and components JEL Code(s): C, C3, C32, E, E3, E37, F, F4, F47

• Salaire réel, chocs technologiques et fluctuations économiques

  Staff Working Paper 2002-42 Dominique Tremblay

  The author presents empirical evidence that he has obtained from an analysis of the response of different economic variables, including the real wage rate, to a technology shock.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): C, C3, C32, E, E2, E24, E3, E32

• Effectiveness of Capital Controls in India: Evidence from the Offshore NDF Market

  Staff Working Paper 2011-29 Michael Hutchison, Gurnain Pasricha, Nirvikar Singh

  This paper examines the effectiveness of international capital controls in India over time by analyzing daily return differentials in the non-deliverable forward (NDF) markets using the self-exciting threshold autoregressive (SETAR) methodology.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International financial markets, International topics JEL Code(s): F, F3, F31, F32, G, G1, G15

• Downward Nominal-Wage Rigidity: Micro Evidence from Tobit Models

  Staff Working Paper 2001-7 Allan Crawford, Geoff Wright

  This paper uses Tobit models and data for union contracts to examine the extent of downward nominal-wage rigidity in Canada. To be consistent with important stylized facts, the models allow the variance of the notional wage-change distribution to be time-varying and test for menu-cost effects.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation targets, Labour markets JEL Code(s): E, E2, E24, E5, E52, E6, E61

• Resolving Failed Banks: Uncertainty, Multiple Bidding & Auction Design

  Staff Working Paper 2019-30 Jason Allen, Robert Clark, Brent Hickman, Eric Richert

  Bank resolution is costly. In the United States, the Federal Deposit Insurance Corporation (FDIC) typically resolves failing banks by auction.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial institutions JEL Code(s): C, C5, C57, D, D4, D44, G, G2, G21
• June 7, 2018

  Covered Bonds as a Source of Funding for Banks’ Mortgage Portfolios

  Financial System Review - June 2018 Toni Ahnert

  The author traces developments in the Canadian covered bond market. Covered bonds could be a valuable way to provide a stable and diverse source of funding, particularly for smaller banks. However, higher issuance could increase banks’ vulnerability to liquidity stress, with implications for the broader financial system. The author argues that these benefits and challenges can be balanced in a well-designed policy framework.

  Content Type(s): Publications, Financial System Review articles Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G1, G2, G21, G28

• Bank Loans for Private and Public Firms in a Credit Crunch

  Staff Working Paper 2011-13 Jason Allen, Teodora Paligorova

  Banks reliance on short-term funding has increased over time. While an effective source of financing in good times, the 2007 financial crisis has exposed the vulnerability of banks and ultimately firms to such a liability structure.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions JEL Code(s): G, G0, G01, G2, G20
• August 19, 2010

  Should Monetary Policy Be Used to Counteract Financial Imbalances?

  Bank of Canada Review - Summer 2010 Jean Boivin, Césaire Meh, Timothy Lane

  The authors examine whether monetary policy should and could do more to lean against financial imbalances (such as those associated with asset-price bubbles or unsustainable credit expansion) as they are building up, or whether its role should be limited to cleaning up the economic consequences as the imbalances unwind.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Financial system regulation and policies, Monetary policy framework