A Foreign Activity Measure for Predicting Canadian Exports
The author constructs a measure of foreign activity that takes into account the composition of foreign demand for Canadian exports. It has a number of interesting features.
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293
result(s)
A Model of the EFA Liabilities
Staff Discussion Paper 2011-11
Francisco Rivadeneyra,
Oumar Dissou
The authors describe the liabilities model of the Exchange Fund Account (EFA). The EFA is managed using an asset-liability matching framework that requires currency and duration matching of both sides of the balance sheet.
Content Type(s):
Staff research,
Staff discussion papers
Research Topic(s):
Debt management,
Foreign reserves management
JEL Code(s):
G,
G1,
G12,
G3,
G32
Financial Frictions, Financial Shocks and Labour Market Fluctuations in Canada
Staff Discussion Paper 2011-10
Yahong Zhang
What are the effects of financial market imperfections on unemployment and vacancies in Canada? The author estimates the model of Zhang (2011) – a standard monetary dynamic stochastic general-equilibrium model augmented with explicit financial and labour market frictions – with Canadian data for the period 1984Q2–2010Q4, and uses it to examine the importance of financial shocks on labour market fluctuations in Canada.
Content Type(s):
Staff research,
Staff discussion papers
Research Topic(s):
Economic models,
Financial markets,
Labour markets
JEL Code(s):
E,
E3,
E32,
E4,
E44,
J,
J6
What Matters in Determining Capital Surcharges for Systemically Important Financial Institutions?
Staff Discussion Paper 2011-9
Céline Gauthier,
Toni Gravelle,
Xuezhi Liu,
Moez Souissi
One way of internalizing the externalities that each individual bank imposes on the rest of the financial system is to impose capital surcharges on them in line with their systemic importance.
Exchange Rates and Individual Good’s Price Misalignment: Some Preliminary Evidence of Long-Horizon Predictability
Staff Discussion Paper 2011-8
Wei Dong,
Deokwoo Nam
When prices are sticky, movements in the nominal exchange rate have a direct impact on international relative prices. A relative price misalignment would trigger an adjustment in consumption and employment, and may help to predict future movements in the exchange rate.
Content Type(s):
Staff research,
Staff discussion papers
Research Topic(s):
Exchange rates,
International topics
JEL Code(s):
F,
F3,
F31,
F4,
F47
The Impact of Operational Events on the Network Structure of the LVTS
Staff Discussion Paper 2011-7
Tom Roberts
The author uses a quantitative network analysis approach to assess how participants in the Large Value Transfer System (LVTS) respond to partial outages at other banks.
Content Type(s):
Staff research,
Staff discussion papers
Research Topic(s):
Payment clearing and settlement systems
JEL Code(s):
C,
C4,
C49,
G,
G1,
G14,
G2,
G21
The Role of Financial Speculation in Driving the Price of Crude Oil
Staff Discussion Paper 2011-6
Ron Alquist,
Olivier Gervais
Over the past 10 years, financial firms have increased the size of their positions in the oil futures market. At the same time, oil prices have increased dramatically.
Content Type(s):
Staff research,
Staff discussion papers
Research Topic(s):
International topics
JEL Code(s):
G,
G1,
G12,
Q,
Q4,
Q41
External Stability, Real Exchange Rate Adjustment and the Exchange Rate Regime in Emerging-Market Economies
Staff Discussion Paper 2011-5
Olivier Gervais,
Lawrence L. Schembri,
Lena Suchanek
In emerging-market economies, real exchange rate adjustment is critical for maintaining a sustainable current account position and thereby for helping to reduce macroeconomic and financial instability.
Content Type(s):
Staff research,
Staff discussion papers
Research Topic(s):
Development economics,
Exchange rate regimes,
International topics
JEL Code(s):
F,
F3,
F31,
F32,
F4,
F41
Lessons from International Central Counterparties: Benchmarking and Analysis
Staff Discussion Paper 2011-4
Alexandre Lazarow
Since the financial crisis, attention has focused on central counterparties (CCPs) as a solution to systemic risk for a variety of financial markets, ranging from repurchase agreements and options to swaps.
Content Type(s):
Staff research,
Staff discussion papers
Research Topic(s):
Financial markets,
Financial stability,
Financial system regulation and policies,
Payment clearing and settlement systems
JEL Code(s):
G,
G0,
G01,
G1,
G14,
G18,
G2,
G28,
G3,
G38
The Canadian Debt-Strategy Model: An Overview of the Principal Elements
Staff Discussion Paper 2011-3
David Bolder,
Simon Deeley
The Canadian Debt Strategy Model helps debt managers determine their optimal financing strategy. The model’s code and documentation are available to the public.
Content Type(s):
Staff research,
Staff discussion papers
Research Topic(s):
Debt management,
Econometric and statistical methods,
Financial markets,
Fiscal policy
JEL Code(s):
C,
C0,
G,
G1,
G11,
G17,
H,
H6,
H63