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Staff discussion papers

Staff discussion papers are completed staff research studies on a wide variety of subjects relevant to central bank policy.

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268 result(s)

Le pouvoir de prévision des indices PMI

Staff Discussion Paper 2010-3 Claudia Godbout, Jocelyn Jacob
The forecast of world economic growth plays a key role in the conduct of Canadian monetary policy. In this context, the authors study the usefulness of the monthly Purchasing Managers’ Indexes (PMIs) in predicting short-term real GDP growth in the euro area, Japan, the United Kingdom, and China, as well as in the world economy.

Market Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate

Staff Discussion Paper 2010-2 Alejandro García, Andrei Prokopiw
Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract this information, a model is required that relates market prices to the desired information, and that ideally can be implemented using timely and low-cost methods.

The Power of Many: Assessing the Economic Impact of the Global Fiscal Stimulus

Staff Discussion Paper 2010-1 Carlos De Resende, René Lalonde, Stephen Snudden
The Bank of Canada Global Economy Model (BoC-GEM) is used to examine the effect of various types of discretionary fiscal policies on different regions of the globe. The BoC-GEM is a microfounded dynamic stochastic general-equilibrium global model with six regions, multiple sectors, and international linkages.

Regulatory Constraints on Bank Leverage: Issues and Lessons from the Canadian Experience

Staff Discussion Paper 2009-15 Étienne Bordeleau, Allan Crawford, Christopher Graham
The Basel capital framework plays an important role in risk management by linking a bank's minimum capital requirements to the riskiness of its assets. Nevertheless, the risk estimates underlying these calculations may be imperfect, and it appears that a cyclical bias in measures of risk-adjusted capital contributed to procyclical increases in global leverage prior to the recent financial crisis.

Market Timing of Long-Term Debt Issuance

Staff Discussion Paper 2009-14 Jonathan Witmer
The literature on market timing of long-term debt issuance yields mixed evidence that managers can successfully time their debt-maturity issuance. The early results that are indicative of debt-maturity timing are not robust to accounting for structural breaks or to other measures of debt maturity from firm-level data that account for call and put provisions in […]

Network Analysis and Canada's Large Value Transfer System

Staff Discussion Paper 2009-13 Lana Embree, Tom Roberts
Analysis of the characteristics and structure of a network of financial institutions can provide insight into the complex relationships and interdependencies that exist in a payment, clearing, and settlement system (PCSS), and allow an intuitive understanding of the PCSS's efficiency, stability, and resiliency.

Measures of Aggregate Credit Conditions and Their Potential Use by Central Banks

Staff Discussion Paper 2009-12 Alejandro García, Andrei Prokopiw
Understanding the nature of credit risk has important implications for financial stability. Since authorities – notably, central banks – focus on risks that have systemic implications, it is crucial to develop ways to measure these risks.

A Financial Conditions Index for the United States

Staff Discussion Paper 2009-11 Kimberly Beaton, René Lalonde, Corinne Luu
The financial crisis of 2007–09 has highlighted the importance of developments in financial conditions for real economic activity. The authors estimate the effect of current and past shocks to financial variables on U.S. GDP growth by constructing two growthbased financial conditions indexes (FCIs) that measure the contribution to quarterly (annualized) GDP growth from financial conditions.

Strengthening IMF Surveillance: An Assessment of Recent Reforms

Staff Discussion Paper 2009-10 Robert Lavigne, Lawrence L. Schembri
The authors assess the potential impact of recently approved reforms to International Monetary Fund (IMF) surveillance; namely, the "2007 Decision on Bilateral Surveillance Over Members' Policies" and the "Statement of Surveillance Priorities" (SSP). They conclude that these complementary reforms have the potential to create a comprehensive and coherent framework for IMF surveillance. If implemented properly, […]
Content Type(s): Staff research, Staff discussion papers Topic(s): International topics JEL Code(s): F, F3, F33

The Outlook for the Global Supply of Oil: Running on Faith?

Staff Discussion Paper 2009-9 Olivier Gervais, Ilan Kolet
The dramatic reduction in global demand, and the decline in the spot price of crude oil in the second half of last year, may have significant implications for the future supply of oil. Investments in conventional methods of extraction have been constrained, since easily accessible oil reserves are typically concentrated in countries with geopolitical uncertainty and/or state-run oil companies.
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