Countercyclical Bank Capital Requirement and Optimized Monetary Policy Rules Staff Working Paper 2013-8 Carlos De Resende, Ali Dib, René Lalonde, Nikita Perevalov Using BoC-GEM-Fin, a large-scale DSGE model with real, nominal and financial frictions featuring a banking sector, we explore the macroeconomic implications of various types of countercyclical bank capital regulations. Results suggest that countercyclical capital requirements have a significant stabilizing effect on key macroeconomic variables, but mostly after financial shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial institutions, Financial stability, International topics JEL Code(s): E, E3, E32, E4, E44, E5, G, G1, G2
March 30, 2013 Research Update - March 2013 This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website. Content Type(s): Staff research, Research newsletters
A Tractable Monetary Model Under General Preferences Staff Working Paper 2013-7 Tsz-Nga Wong Consider the monetary model of Lagos and Wright (JPE 2005) but with general preferences and general production. I show that preferences satisfying UXXUHH – (UXH)2 = 0 is a sufficient condition for the existence and uniqueness of monetary equilibrium with degenerate money distribution. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models JEL Code(s): D, D8, D83, E, E4, E40
To Link or Not To Link? Netting and Exposures Between Central Counterparties Staff Working Paper 2013-6 Stacey Anderson, Jean-Philippe Dion, Héctor Pérez Saiz This paper provides a framework to compare linked and unlinked CCP configurations in terms of total netting achieved by market participants and the total system default exposures that exist between participants and CCPs. Content Type(s): Staff research, Staff working papers Research Topic(s): Payment clearing and settlement systems JEL Code(s): G, G1, G18, G2, G23
Market Structure and Cost Pass-Through in Retail Staff Working Paper 2013-5 Gee Hee Hong, Nicholas Li We examine the extent to which vertical and horizontal market structure can together explain incomplete retail pass-through. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Monetary policy transmission JEL Code(s): E, E3, E30, E31, L, L1, L11, L16
Méthodologie de construction de séries de taux de défaut pour l’industrie canadienne Staff Discussion Paper 2013-2 Ramdane Djoudad, Étienne Bordeleau Default rates are series commonly used in stress testing. In Canada, as in many other countries, there are no historical series available for sectoral default rates on bank loans to firms. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Econometric and statistical methods, Financial institutions, Financial stability JEL Code(s): C, C1, C13, C18, G, G2, G21, G3, G33
February 28, 2013 Research Update - February 2013 This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website. Content Type(s): Staff research, Research newsletters
Asking About Wages: Results from the Bank of Canada’s Wage Setting Survey of Canadian Companies Staff Discussion Paper 2013-1 David Amirault, Paul Fenton, Thérèse Laflèche The Bank of Canada conducted a Wage Setting Survey with a sample of 200 private sector firms from mid-October 2007 to May 2008. Results indicate that wage adjustments for the Canadian non-union private workforce are overwhelmingly time dependent, with a fixed duration of one year, and are clustered in the first four months of the year, suggesting that wage stickiness may not be constant over the year. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Labour markets, Monetary policy transmission JEL Code(s): E, E2, E24, J, J3, J33, M, M5, M52
January 30, 2013 Research Update - January 2013 This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website. Content Type(s): Staff research, Research newsletters
Financial Development and the Volatility of Income Staff Working Paper 2013-4 Tiago Pinheiro, Francisco Rivadeneyra, Marc Teignier This paper presents a general equilibrium model with endogenous collateral constraints to study the relationship between financial development and business cycle fluctuations in a cross-section of economies with different sizes of their financial sector. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Financial stability JEL Code(s): E, E3, E32, E6, E60