Find Bank of Canada research by keyword, author, content type, JEL code, topic or date of publication.
Receive notification by email whenever new research is added to the website.
1780
result(s)
Banks, Credit Market Frictions, and Business Cycles
Staff Working Paper 2010-24
Ali Dib
The author proposes a micro-founded framework that incorporates an active banking sector into a dynamic stochastic general-equilibrium model with a financial accelerator.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Economic models,
Financial stability
JEL Code(s):
E,
E3,
E32,
E4,
E44,
G,
G1
Central Bank Haircut Policy
Staff Working Paper 2010-23
James Chapman,
Jonathan Chiu,
Miguel Molico
We present a model of central bank collateralized lending to study the optimal choice of the haircut policy. We show that a lending facility provides a bundle of two types of insurance: insurance against liquidity risk as well as insurance against downside risk of the collateral.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Financial services,
Financial system regulation and policies,
Monetary policy implementation,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E40,
E5,
E50
Liquidity, Risk, and Return: Specifying an Objective Function for the Management of Foreign Reserves
Staff Discussion Paper 2010-13
Yuliya Romanyuk
An objective function is a key component of a strategic portfolio management model used to determine the optimal allocations of assets and, possibly, their associated liabilities over some investment horizon.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Foreign reserves management
JEL Code(s):
G,
G1,
G11
Nowcasting the Global Economy
Staff Discussion Paper 2010-12
James Rossiter
Forecasts of global economic activity and inflation are important inputs when conducting monetary policy in small open economies such as Canada. As part of the Bank of Canada's broad agenda to augment its short-term forecasting tools, the author constructs simple mixed-frequency forecasting equations for quarterly global output, imports, and inflation using the monthly global Purchasing Managers Index (PMI).
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Economic models,
International topics
JEL Code(s):
E,
E3,
E37,
F,
F4,
F47
Evaluating the Effect of the Bank of Canada's Conditional Commitment Policy
Staff Discussion Paper 2010-11
Zhongfang He
The author evaluates the effect of the Bank of Canada's conditional commitment regarding the target overnight rate on longer-term market interest rates by taking into account the relationship between interest rates, inflation, and unemployment rates.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Interest rates,
Monetary policy implementation,
Monetary policy transmission
JEL Code(s):
E,
E4,
E5,
E6
Liquidity Transformation and Bank Capital Requirements
Staff Working Paper 2010-22
Hajime Tomura
This paper presents a dynamic general equilibrium model where asymmetric information about asset quality leads to asset illiquidity. Banking arises endogenously in this environment as banks can pool illiquid assets to average out their idiosyncratic qualities and issue liquid liabilities backed by pooled assets whose total quality is public information.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Financial system regulation and policies
JEL Code(s):
D,
D8,
D82,
E,
E4,
E44,
G,
G2,
G21
Identifying Asymmetric Comovements of International Stock Market Returns
Staff Working Paper 2010-21
Fuchun Li
Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock market downturns will lead to stronger comovements than market upturns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial stability,
Financial system regulation and policies,
International topics
JEL Code(s):
C,
C4,
C49,
F,
F2,
F21,
G,
G1,
G15,
G19
Asset-Liability Management: An Overview
Staff Discussion Paper 2010-10
Yuliya Romanyuk
Relevant literature on asset-liability management (ALM) is reviewed and different ALM approaches are discussed that may be of interest to the Bank of Canada for the purpose of modelling the Exchange Fund Account (EFA).
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Foreign reserves management
JEL Code(s):
G,
G1,
G11
Inventories in ToTEM
Staff Discussion Paper 2010-9
Oleksiy Kryvtsov,
Yang Zhang
ToTEM – the Bank of Canada’s principal projection and policy-analysis model for the Canadian economy – is extended to include inventories. In the model, firms accumulate inventories of finished goods for their role in facilitating the demand for goods.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Business fluctuations and cycles,
Economic models
JEL Code(s):
E,
E3,
E31,
E32