Posts

• January 29, 2018

  Chartered banks: Total claims booked worldwide vis-à-vis non-residents (formerly C10)

  Quarter-end data on chartered bank non-residents’ foreign and Canadian currency claims.
• January 29, 2018

  Chartered banks: Classification of deposit liabilities (formerly K12)

  Quarter-end data on chartered bank deposit liabilities.
• January 29, 2018

  Chartered banks: Classification of non-mortgage loans (formerly C7)

  Quarter-end data on chartered bank non-mortgage loans.
• January 29, 2018

  Statistics on the counterfeiting of Canadian bank notes (formerly B4)

  Year-end data on the average number of bank notes in circulation, as well as data supplied by the Royal Canadian Mounted Police on counterfeit notes. Counterfeits are categorized as passed (detected in circulation) or seized (those confiscated by law enforcement before being circulated).
• January 25, 2018

  Banking and Financial Statistics - January 2018

  Content Type(s): Publications, Historical: Banking and Financial Statistics

• A Calibrated Model of Intraday Settlement

  Staff discussion paper 2018-3 Héctor Pérez Saiz, Siddharth Untawala, Gabriel Xerri

  This paper estimates potential exposures, netting benefits and settlement gains by merging retail and wholesale payments into batches and conducting multiple intraday settlements in this hypothetical model of a single "calibrated payments system." The results demonstrate that credit risk exposures faced by participants in the system are largely dependent on their relative activity in the retail and wholesale payments systems.

  Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C5, C58, G, G2, G21, G23 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods, Money and payments, Payment and financial market infrastructures

• Non-linéarité de la courbe de Phillips : un survol de la littérature

  Staff analytical note 2018-3 Renaud St-Cyr

  The paper reviews evidence from the economic literature on the nature of the relationship between excess capacity and inflation, better known as the Phillips curve. In particular, we examine the linearity of this relationship. This is an important issue in the current economic context in which advanced economies are approaching or exceed their potential output.

  Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E3, E31, E32 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
• January 23, 2018

  Overview of the Net Stable Funding Ratio - January 23, 2018

  Presentation for the January 23, 2018 meeting of the Canadian Fixed-Income Forum.
• January 23, 2018

  CFIF Meeting (January 23, 2018)

  Content Type(s): Meetings Source(s): Canadian Fixed-Income Forum

• Tail Risk in a Retail Payment System: An Extreme-Value Approach

  Staff discussion paper 2018-2 Héctor Pérez Saiz, Blair Williams, Gabriel Xerri

  The increasing importance of risk management in payment systems has led to the development of an array of sophisticated tools designed to mitigate tail risk in these systems. In this paper, we use extreme value theory methods to quantify the level of tail risk in the Canadian retail payment system (ACSS) for the period from 2002 to 2015.

  Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C5, C58, G, G2, G21, G23 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods, Money and payments, Payment and financial market infrastructures