Martin Kuncl - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T15:58:22+00:00The Canadian Neutral Rate of Interest through the Lens of an Overlapping-Generations Model
https://www.bankofcanada.ca/2023/02/staff-discussion-paper-2023-5/
We use a small open economy model with overlapping generations to evaluate secular dynamics of the neutral rate in Canada from 1980 to 2018. We find that changes in both foreign and domestic factors resulted in a protracted decline in the neutral rate.2023-02-21T16:42:36+00:00enThe Canadian Neutral Rate of Interest through the Lens of an Overlapping-Generations Model2023-02-21Economic modelsInterest ratesMonetary policyStaff Discussion Paper 2023-5https://www.bankofcanada.ca/wp-content/uploads/2023/02/sdp2023-5.pdfStaff Discussion Paper 2023-5Martin KunclDmitry MatveevFebruary 2023EE2E21E22E4E43E5E50E52E58FF4F41Potential output and the neutral rate in Canada: 2022 reassessment
https://www.bankofcanada.ca/2022/04/staff-analytical-note-2022-3/
We expect potential output growth to be lower in 2021 than anticipated in the April 2021 assessment. By 2025, growth is expected to reach 2.3%. We assess that the Canadian nominal neutral rate increased slightly to lie in the range of 2.00% to 3.00%.2022-04-13T14:07:41+00:00enPotential output and the neutral rate in Canada: 2022 reassessment2022-04-13The uneven economic consequences of COVID 19: A structural analysis
https://www.bankofcanada.ca/2021/08/staff-analytical-note-2021-17/
Using a structural model, we study the economic consequences of the COVID-19 shock. The uneven consequences, such as higher unemployment among young households, amplify the negative implications for the macroeconomy, household vulnerabilities and consumption inequality. Government support programs have stimulated the economy and lowered inequality and medium-term vulnerabilities.2021-08-06T08:25:00+00:00enThe uneven economic consequences of COVID 19: A structural analysis2021-08-06Monetary Policy and the Persistent Aggregate Effects of Wealth Redistribution
https://www.bankofcanada.ca/2021/08/staff-working-paper-2021-38/
Monetary policy in the presence of nominal debt and labour supply heterogeneity creates a policy trade-off: a short-term economic stimulus leads to persistently reduced output over the medium term. Price-level targeting weakens this trade-off and is better able to stabilize inflation and output than inflation targeting.2021-08-06T07:40:09+00:00enMonetary Policy and the Persistent Aggregate Effects of Wealth Redistribution2021-08-06Monetary policy frameworkMonetary policy transmissionStaff Working Paper 2021-38https://www.bankofcanada.ca/wp-content/uploads/2021/08/swp2021-38.pdfMonetary Policy and the Persistent Aggregate Effects of Wealth RedistributionMartin KunclAlexander UeberfeldtAugust 2021EE2E21E5E50Potential output and the neutral rate in Canada: 2021 update
https://www.bankofcanada.ca/2021/04/staff-analytical-note-2021-6/
We expect potential output growth to be higher than in the October 2020 reassessment. By 2024, growth will be slightly above its average growth from 2010 to 2019. We assess that the Canadian nominal neutral rate continues to lie in the range of 1.75 to 2.75 percent.2021-04-21T10:01:22+00:00enPotential output and the neutral rate in Canada: 2021 update2021-04-21Loan Insurance, Market Liquidity, and Lending Standards
https://www.bankofcanada.ca/2019/12/staff-working-paper-2019-47/
We examine loan insurance—credit risk transfer upon origination—in a model in which lenders can screen, learn loan quality over time, and can sell loans. Some lenders with low screening ability insure, benefiting from higher market liquidity of insured loans while forgoing the option to exploit future information about loan quality.2019-12-09T13:55:35+00:00enLoan Insurance, Market Liquidity, and Lending Standards2019-12-09Financial institutionsFinancial marketsFinancial system regulation and policiesStaff Working Paper 2019-47https://www.bankofcanada.ca/wp-content/uploads/2019/12/swp2019-47.pdfLoan Insurance, Market Liquidity, and Lending StandardsToni AhnertMartin KunclDecember 2019GG0G01G2G21G28Fragility of Resale Markets for Securitized Assets and Policy of Asset Purchases
https://www.bankofcanada.ca/2016/10/staff-working-paper-2016-46/
Markets for securitized assets were characterized by high liquidity prior to the recent financial crisis and by a sudden market dry-up at the onset of the crisis. A general equilibrium model with heterogeneous investment opportunities and information frictions predicts that, in boom periods or mild recessions, the degree of adverse selection in resale markets for securitized assets is limited because of the reputation-based guarantees by asset originators.2016-10-31T15:15:40+00:00enFragility of Resale Markets for Securitized Assets and Policy of Asset Purchases2016-10-31Business fluctuations and cyclesCredit and credit aggregatesEconomic modelsFinancial marketsFinancial stabilityFinancial system regulation and policiesStaff Working Paper 2016-46https://www.bankofcanada.ca/wp-content/uploads/2016/10/swp2016-46.pdfFragility of Resale Markets for Securitized Assets and Policy of Asset PurchasesMartin KunclOctober 2016EE3E32E5GG0G01G2Assessment of the Effects of Macroprudential Tightening in Canada
https://www.bankofcanada.ca/2016/08/staff-analytical-note-2016-12/
During the period of 2008 to 2012, the rules for government-backed mortgage insurance were tightened on four occasions. In this note, we estimate the effects through a simple econometric exercise using a vector error-correction model (VECM).2016-08-22T14:21:46+00:00enAssessment of the Effects of Macroprudential Tightening in Canada2016-08-22Securitization under Asymmetric Information over the Business Cycle
https://www.bankofcanada.ca/2015/02/working-paper-2015-9/
This paper studies the efficiency of financial intermediation through securitization in a model with heterogeneous investment projects and asymmetric information about the quality of securitized assets. I show that when retaining part of the risk, the issuer of securitized assets may credibly signal its quality.2015-02-18T11:47:01+00:00enSecuritization under Asymmetric Information over the Business Cycle2015-02-18Business fluctuations and cyclesCredit and credit aggregatesEconomic modelsFinancial marketsFinancial stabilityFinancial system regulation and policiesWorking Paper 2015-9https://www.bankofcanada.ca/wp-content/uploads/2015/02/wp2015-9.pdfSecuritization under Asymmetric Information over the Business CycleMartin KunclFebruary 2015EE3E32E4E44GG0G01G2G20