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271
result(s)
How does the Bank of Canada’s balance sheet impact the banking system?
Staff Analytical Note 2022-12
Daniel Bolduc,
Brad Howell,
Grahame Johnson
We examine how changes in the Bank of Canada’s balance sheet impact the banking system. Quantitative easing contributed to an increase in the size of the banking system’s balance sheet and an improvement in bank liquidity coverage ratios. Quantitative tightening is expected to partially reverse these impacts. The banking system will have to adjust its liquidity management strategy in response.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial institutions,
Financial stability,
Monetary policy
JEL Code(s):
E,
E5,
E51,
G,
G2,
G21,
G23,
G3,
G32
COVID and Financial Stability: Practice Ahead of Theory
Staff Discussion Paper 2022-18
Jing Yang,
Hélène Desgagnés,
Grzegorz Halaj,
Yaz Terajima
The Covid-19 pandemic uncovered policy challenges related to the economic measures that were taken to support the economy. Two years later, we attempt to identify the broader impact of these measures and research that needs to follow.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Coronavirus disease (COVID-19),
Financial stability,
Financial system regulation and policies
JEL Code(s):
E,
E5,
E58,
E6,
E61,
G,
G2,
G21,
H,
H3,
H8,
H84
BoC–BoE Sovereign Default Database: What’s new in 2022?
Staff Analytical Note 2022-11
David Beers,
Elliot Jones,
Karim McDaniels,
Zacharie Quiviger
The BoC–BoE database of sovereign debt defaults, published and updated annually by the Bank of Canada and the Bank of England, provides comprehensive estimates of stocks of government obligations in default.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Debt management,
Development economics,
Financial stability,
International financial markets
JEL Code(s):
F,
F3,
F34,
G,
G1,
G10,
G14,
G15
Risk and State-Dependent Financial Frictions
Staff Working Paper 2022-37
Martin Harding,
Rafael Wouters
Using a nonlinear New Keynesian model with a financial accelerator, we show that financial frictions generate large state-dependent amplification effects. Shocks propagate more strongly in periods of financial stress. We propose an endogenous regime-switching DSGE framework for efficient estimation and improved model fit.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Credit and credit aggregates,
Financial stability,
Monetary policy
JEL Code(s):
E,
E5,
E52,
E58
Cyber Security and Ransomware in Financial Markets
Staff Working Paper 2022-32
Toni Ahnert,
Michael Brolley,
David Cimon,
Ryan Riordan
We develop a principal-agent model of cyber-attacking with fee-paying clients who delegate security decisions to financial platforms. We derive testable implications about clients’ vulnerability to cyber attacks and about the fees charged.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial services,
Financial stability,
Financial system regulation and policies,
Payment clearing and settlement systems
JEL Code(s):
D,
D7,
D78,
D8,
D81,
G,
G1,
G18,
G2,
G21,
G23
Quantum Monte Carlo for Economics: Stress Testing and Macroeconomic Deep Learning
Staff Working Paper 2022-29
Vladimir Skavysh,
Sofia Priazhkina,
Diego Guala,
Thomas Bromley
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.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Central bank research,
Econometric and statistical methods,
Economic models,
Financial stability
JEL Code(s):
C,
C1,
C15,
C6,
C61,
C63,
C68,
C7,
E,
E1,
E13,
G,
G1,
G17,
G2,
G21
Unregulated Lending, Mortgage Regulations and Monetary Policy
Staff Working Paper 2022-28
Ugochi Emenogu,
Brian Peterson
This paper evaluates the effectiveness of macroprudential policies when regulations are uneven across mortgage lender types. We look at credit tightening that results from macroprudential regulations and examine how much of it is counteracted by credit shifting to unregulated lenders. We also study the impact of monetary policy tightening when some lenders are unregulated.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial system regulation and policies,
Monetary policy transmission
JEL Code(s):
E,
E4,
E44,
E5,
E50,
E52,
E58,
G,
G2,
G21,
G23,
G28
Analyzing the house price boom in the suburbs of Canada’s major cities during the pandemic
Staff Analytical Note 2022-7
Louis Morel
We assess how location affects house prices in Canada. The gap in prices between suburbs and downtown was closing gradually before the pandemic. The gap has been closing faster since spring 2020. This finding reflects a shift in preferences toward more living space.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Asset pricing,
Coronavirus disease (COVID-19),
Financial stability,
Housing
JEL Code(s):
R,
R2,
R21,
R23,
R3,
R32
How well can large banks in Canada withstand a severe economic downturn?
Staff Analytical Note 2022-6
Andisheh (Andy) Danaee,
Harsimran Grewal,
Brad Howell,
Guillaume Ouellet Leblanc,
Xuezhi Liu,
Mayur Patel,
Xiangjin Shen
We examine the potential impacts of a severe economic shock on the resilience of major banks in Canada. We find these banks would suffer significant financial losses but nevertheless remain resilient. This underscores the role well-capitalized banks and sound underwriting practices play in supporting economic activity in a downturn.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
E,
E2,
E27,
E3,
E37,
E4,
E44,
G,
G1,
G2,
G21,
G23