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.
296
result(s)
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
Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification
Staff Working Paper 2022-24
Pablo Ottonello,
Wenting Song
We provide empirical evidence of effects to the aggregate economy from surprises about financial intermediaries’ net worth based on a high-frequency identification strategy. We estimate that news of a 1% decline in intermediaries’ net worth leads to a 0.2%–0.4% decrease in the market value of nonfinancial firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Business fluctuations and cycles,
Credit and credit aggregates,
Financial institutions,
Financial markets,
Financial system regulation and policies,
Monetary and financial indicators
JEL Code(s):
E,
E3,
E32,
E4,
E44,
E5,
E51,
G,
G0,
G01,
G1,
G12,
G2,
G21,
G23,
G24,
G3,
G32
Transmission of Cyber Risk Through the Canadian Wholesale Payment System
Staff Working Paper 2022-23
Anneke Kosse,
Zhentong Lu
This paper studies how the impact of a cyber attack that paralyzes one or multiple banks' ability to send payments would transmit to other banks through the Canadian wholesale payment system. Based on historical payment data, we simulate a wide range of scenarios and evaluate the total payment disruption in the system.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
C,
C4,
C49,
E,
E4,
E42,
E47,
G,
G2,
G21
Resilience of bank liquidity ratios in the presence of a central bank digital currency
Staff Analytical Note 2022-5
Alissa Gorelova,
Bena Lands,
Maria teNyenhuis
Could Canadian banks continue to meet their regulatory liquidity requirements after the introduction of a cash-like retail central bank digital currency (CBDC)? We conduct a hypothetical exercise to estimate how a CBDC could affect bank liquidity by increasing the run-off rates of transactional retail deposits under four increasingly severe scenarios.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Central bank research,
Digital currencies and fintech,
Econometric and statistical methods,
Financial institutions,
Financial stability
JEL Code(s):
C,
E,
E4,
G,
G2,
G21,
O,
O3,
O33
Asymmetric Systemic Risk
Staff Working Paper 2022-19
Radoslav Raykov,
Consuelo Silva-Buston
Bank regulation presumes risks spill over more easily from large banks to the banking system than vice versa. Interestingly, we observe this is not the case. We find that the capacity to transmit risk is larger in the system-to-bank direction, leading to an increased default risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G1,
G10,
G2,
G20
The Financial Origins of Non-fundamental Risk
Staff Working Paper 2022-4
Sushant Acharya,
Keshav Dogra,
Sanjay Singh
We explore the idea that the financial sector can be a source of non-fundamental risk to the rest of the economy. We also consider whether policy can be used to reduce this risk—either by increasing the supply of publicly backed safe assets or by reducing the demand for safe assets.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Financial stability
JEL Code(s):
D,
D5,
D52,
D8,
D84,
E,
E6,
E62,
G,
G1,
G10,
G12