Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1298
result(s)
Decomposing Systemic Risk: The Roles of Contagion and Common Exposures
Staff Working Paper 2024-19
Grzegorz Halaj,
Ruben Hipp
We examine systemic risks within the Canadian banking sector, decomposing them into three contribution channels: contagion, common exposures, and idiosyncratic risk. Through a structural model, we dissect how interbank relationships and market conditions contribute to systemic risk, providing new insights for financial stability.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Economic models,
Financial institutions,
Financial stability
JEL Code(s):
C,
C3,
C32,
C5,
C51,
G,
G2,
G21,
L,
L1,
L14
Financial Intermediation and Fire Sales with Liquidity Risk Pricing
Staff Working Paper 2024-18
Yuteng Cheng,
Roberto Robatto
We provide a theory of fire sales in which potential buyers are subject to liquidity shocks and frictions that limit their ability to resell assets. Viewed through the lens of the model, the liquidity requirements proposed by the U. S. Securities and Exchange Commission for these intermediaries could hurt the economy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Financial system regulation and policies
JEL Code(s):
G,
G1,
G12,
G2,
G23,
G28
Digital Payments in Firm Networks: Theory of Adoption and Quantum Algorithm
Staff Working Paper 2024-17
Sofia Priazhkina,
Samuel Palmer,
Pablo Martín-Ramiro,
Román Orús,
Samuel Mugel,
Vladimir Skavysh
We build a network formation game of firms with trade flows to study the adoption and usage of a new digital currency as an alternative to correspondent banking.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Digital currencies and fintech,
Digitalization,
Economic models,
Financial institutions,
Payment clearing and settlement systems,
Sectoral balance sheet
JEL Code(s):
C,
C6,
C7,
C71,
D,
D4,
D8,
D85,
G,
L,
L2,
L22
The Macroeconomic Implications of Coholding
Staff Working Paper 2024-16
Michael Boutros,
Andrej Mijakovic
Coholder households simultaneously carry high-cost credit card debt and low-yield cash. We study the implications of this behavior for fiscal and monetary policy, finding that coholder households have smaller consumption responses in the short run but larger responses in the long run.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Economic models,
Fiscal policy,
Monetary policy
JEL Code(s):
E,
E2,
E21,
E4,
E44,
E6,
E62,
G,
G5,
G51
Finding a Needle in a Haystack: A Machine Learning Framework for Anomaly Detection in Payment Systems
Staff Working Paper 2024-15
Ajit Desai,
Anneke Kosse,
Jacob Sharples
Our layered machine learning framework can enhance real-time transaction monitoring in high-value payment systems, which are a central piece of a country’s financial infrastructure. When tested on data from Canadian payment systems, it demonstrated potential for accurately identifying anomalous transactions. This framework could help improve cyber and operational resilience of payment systems.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Digital currencies and fintech,
Financial institutions,
Financial services,
Financial system regulation and policies,
Payment clearing and settlement systems
JEL Code(s):
C,
C4,
C45,
C5,
C55,
D,
D8,
D83,
E,
E4,
E42
Endogenous Credibility and Wage-Price Spirals
Staff Working Paper 2024-14
Olena Kostyshyna,
Tolga Özden,
Yang Zhang
We quantitively assess the risks of a wage-price spiral occurring in Canada over history. We find the risk of a wage-price spiral increases when the inflation expectations become unanchored and the credibility of central banks declines.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credibility,
Inflation and prices,
Monetary policy
JEL Code(s):
C,
C2,
C22,
E,
E0,
E00,
E4,
E47,
E7
Parallel Tempering for DSGE Estimation
Staff Working Paper 2024-13
Joshua Brault
I develop a population-based Markov chain Monte Carlo algorithm known as parallel tempering to estimate dynamic stochastic general equilibrium models. Parallel tempering approximates the posterior distribution of interest using a family of Markov chains with tempered posteriors.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Economic models
JEL Code(s):
C,
C1,
C11,
C15,
E,
E1,
E10
U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields
Staff Working Paper 2024-12
Bingxin Ann Xing,
Bruno Feunou,
Morvan Nongni-Donfack,
Rodrigo Sekkel
Using two complementary approaches, we investigate the importance of U.S. macroeconomic news in driving low-frequency fluctuations in the term structure of interest rates in Canada, Sweden and the United Kingdom. We find that U.S. macroeconomic news is particularly important to explain changes in the expectation components of the nominal, real and break-even inflation rates of small open economies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Econometric and statistical methods
JEL Code(s):
E,
E4,
E43,
E44,
E47,
G,
G1,
G14
Unintended Consequences of the Home Affordable Refinance Program
Staff Working Paper 2024-11
Phoebe Tian,
Chen Zheng
We investigate the unintended consequences of the Home Affordable Refinance Program (HARP). Originally designed to help borrowers refinance after the 2008–09 global financial crisis, HARP inadvertently strengthened the market power of incumbent lenders by creating a cost advantage for them. Despite a 2013 policy rectifying this cost advantage, we still find significant welfare losses for borrowers.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions
JEL Code(s):
G,
G2,
G21,
G5,
G51,
L,
L5,
L51