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.
215
result(s)
Complementing the Credit Risk Assessment of Financial Counterparties with Market-Based Indicators
Staff Analytical Note 2017-15
Guillaume Ouellet Leblanc,
Maarten van Oordt
The Bank’s internal credit risk assessment abilities are regularly enhanced. In this note, we present a recent innovation that extends the set of market-based indicators used in the credit risk assessment of financial counterparties.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Credit risk management,
Financial institutions
JEL Code(s):
G,
G1,
G10,
G2,
G24
Can the Canadian International Investment Position Stabilize a Slowing Economy?
Staff Analytical Note 2017-14
Maxime Leboeuf,
Chen Fan
In this note, we find that valuation effects can act as an important stabilizer, strengthening Canada’s net external wealth when its economic outlook worsens relative to that of other countries.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Balance of payments and components,
International financial markets
JEL Code(s):
F,
F2,
F21,
F3,
F32
Redistributive Effects of a Change in the Inflation Target
Staff Analytical Note 2017-13
Robert Amano,
Thomas J. Carter,
Yaz Terajima
In light of the financial crisis and its aftermath, several economists have argued that inflation-targeting central banks should reconsider the level of their inflation targets. While the appropriate level for the inflation target remains an open question, it’s important to note that any transition to a new target would entail certain costs.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Inflation targets,
Monetary policy framework
JEL Code(s):
E,
E5,
E52,
E58
A Dynamic Factor Model for Commodity Prices
Staff Analytical Note 2017-12
Doga Bilgin,
Reinhard Ellwanger
In this note, we present the Commodities Factor Model (CFM), a dynamic factor model for a large cross-section of energy and non-energy commodity prices. The model decomposes price changes in commodities into a common “global” component, a “block” component confined to subgroups of economically related commodities and an idiosyncratic price shock component.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Econometric and statistical methods,
Recent economic and financial developments
JEL Code(s):
C,
C5,
C51,
Q,
Q0,
Q02
Do Canadian Broker-Dealers Act as Agents or Principals in Bond Trading?
Staff Analytical Note 2017-11
Daniel Hyun,
Jesse Johal,
Corey Garriott
Technology, risk tolerance and regulation may influence dealers to reduce their trading as principals (using their own balance sheets for sales and purchases of securities) in favour of agency trading (matching client trades).
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial institutions,
Financial markets,
Financial system regulation and policies,
Market structure and pricing,
Recent economic and financial developments
JEL Code(s):
G,
G1,
G14,
G2,
G20,
L,
L1
Has Liquidity in Canadian Government Bond Markets Deteriorated?
Staff Analytical Note 2017-10
Sermin Gungor,
Jun Yang
This note presents measures of liquidity used by the Bank of Canada to monitor market conditions and discusses recent trends in Government of Canada (GoC) fixed-income market liquidity. Our results indicate that the Bank’s measures have improved since the financial crisis. Furthermore, GoC market liquidity deteriorated following several stressful events: the euro crisis in 2011, the taper tantrum in 2013 and the oil price shock in 2015. In all three cases, the deterioration remained within historical norms and liquidity returned to normal levels afterwards.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G14
Labour Force Participation: A Comparison of the United States and Canada
Staff Analytical Note 2017-9
James Ketcheson,
Natalia Kyui,
Benoit Vincent
This note explores the drivers behind the recent increase in the US participation rate in the labour market and assesses the likelihood of a similar gain in Canada. The growth in the US participation rate has largely been due to a pickup in the participation of prime-age workers following a post-recession decline.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Labour markets,
Recent economic and financial developments
JEL Code(s):
E,
E2,
E24,
J,
J2,
J21
Wage Growth in Canada and the United States: Factors Behind Recent Weakness
Staff Analytical Note 2017-8
Dany Brouillette,
James Ketcheson,
Olena Kostyshyna,
Jonathan Lachaine
This note examines the relatively subdued pace of wage growth in Canada since the commodity price decline in 2014 and assesses whether the weakness is attributable to cyclical (e.g., labour market slack) or structural factors (e.g., resource reallocation and demographic change).
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Labour markets,
Recent economic and financial developments
JEL Code(s):
E,
E2,
E24,
J,
J3,
J30
A Structural Interpretation of the Recent Weakness in Business Investment
Staff Analytical Note 2017-7
Russell Barnett,
Rhys R. Mendes
Since 2012, business investment growth has slowed considerably in advanced economies, averaging a little less than 2 per cent versus the 4 per cent growth rates experienced in the period leading up to crisis. Several recent studies have attributed a large part of the weakness in business investment to cyclical factors, including soft aggregate demand, and, to a lesser degree, heightened uncertainty and tighter financial conditions.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Business fluctuations and cycles,
Domestic demand and components,
Recent economic and financial developments
JEL Code(s):
E,
E2,
E22,
E3,
E37