A Generalized Endogenous Grid Method for Default Risk Models
Models with default options are hard to solve. We propose an extension of the endogenous grid method that solves default risk models more efficiently and accurately.
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561
result(s)
Market Concentration and Uniform Pricing: Evidence from Bank Mergers
Staff Working Paper 2021-9
João Granja,
Nuno Paixão
We show that US banks price deposits almost uniformly across their branches and that this pricing practice is more important than increases in local market concentration in explaining the deposit rate dynamics following bank mergers.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Financial institutions,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
D,
D4,
G,
G2,
G20,
G21,
G28,
G3,
G34,
L,
L1,
L11
Using Payments Data to Nowcast Macroeconomic Variables During the Onset of COVID-19
Staff Working Paper 2021-2
James Chapman,
Ajit Desai
We use retail payment data in conjunction with machine learning techniques to predict the effects of COVID-19 on the Canadian economy in near-real time. Our model yields a significant increase in macroeconomic prediction accuracy over a linear benchmark model.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Econometric and statistical methods,
Payment clearing and settlement systems
JEL Code(s):
C,
C5,
C53,
C55,
E,
E3,
E37,
E4,
E42,
E5,
E52
The Heterogeneous Effects of COVID-19 on Canadian Household Consumption, Debt and Savings
Staff Working Paper 2020-51
James (Jim) C. MacGee,
Thomas Michael Pugh,
Kurt See
The impact of COVID-19 on Canadian households’ debt and unplanned savings varies by household income. Low-income and high-income households accrued unplanned savings, while middle-income households tended to accumulate more debt.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Business fluctuations and cycles,
Coronavirus disease (COVID-19),
Financial stability
JEL Code(s):
E,
E2,
E21,
E24,
G,
G5,
G51
Has the Inflation Process Changed? Selective Review of Recent Research on Inflation Dynamics
Staff Discussion Paper 2020-11
Oleksiy Kryvtsov,
James (Jim) C. MacGee
From 2011 to 2019, inflation in Canada and advanced economies usually registered below inflation targets, spurring the debate on whether the inflation process has changed. This paper highlights emerging questions that will influence the conduct of monetary policy in Canada in the near term.
Content Type(s):
Staff research,
Staff discussion papers
Research Topic(s):
Central bank research,
Inflation and prices,
Monetary policy
JEL Code(s):
E,
E3,
E31,
E5,
E52
Production Networks and the Propagation of Commodity Price Shocks
Staff Working Paper 2020-44
Shutao Cao,
Wei Dong
We examine the macro implications of commodity price shocks in a model with multiple production sectors that are interconnected within a commodity-exporting small open economy.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Business fluctuations and cycles,
International topics
JEL Code(s):
D,
D5,
D57,
F,
F4,
F41
Why Do Central Banks Make Public Announcements of Open Market Operations?
Staff Working Paper 2020-35
Narayan Bulusu
Central banks communicate the results of open market operations. This helps participants in financial markets more accurately estimate the prevailing demand and supply conditions in the market for overnight loans.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Central bank research,
Monetary policy implementation
JEL Code(s):
D,
D5,
D52,
E,
E5,
E58,
G,
G2,
G21
Monetary Policy and Cross-Border Interbank Market Fragmentation: Lessons from the Crisis
Staff Working Paper 2020-34
Tobias Blattner,
Jonathan Swarbrick
We present a two-country model featuring risky lending and cross-border interbank market frictions.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
International financial markets,
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
E,
E4,
E44,
E5,
E52,
F,
F3,
F32,
F36
The Interplay of Financial Education, Financial Literacy, Financial Inclusion and Financial Stability: Any Lessons for the Current Big Tech Era?
Staff Working Paper 2020-32
Nicole Jonker,
Anneke Kosse
The objective of this paper is twofold. First, we assess whether financial education might be a suitable tool to promote the financial inclusion opportunities that big techs provide. Second, we study how this potential financial inclusion could impact financial stability.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Development economics,
Digital currencies and fintech,
Financial markets,
Financial services,
Financial stability
JEL Code(s):
D,
D1,
D14,
D9,
D91,
D92,
G,
G2,
G21,
G23,
O,
O1,
O16
Strengthening Inflation Targeting: Review and Renewal Processes in Canada and Other Advanced Jurisdictions
Staff Discussion Paper 2020-7
Robert Amano,
Thomas J. Carter,
Lawrence L. Schembri
We summarize the review and renewal process at four central banks (Reserve Bank of New Zealand, Bank of England, Sveriges Riksbank and the US Federal Reserve Bank) and compare them with the process at the Bank of Canada, which has been well-established since 2001.
Content Type(s):
Staff research,
Staff discussion papers
Research Topic(s):
Central bank research,
Inflation targets,
Monetary policy framework
JEL Code(s):
E,
E5,
E52,
E58