Simulating the Resilience of the Canadian Banking Sector Under Stress: An Update of the Bank of Canada’s Top-Down Solvency Assessment Tool Technical Report No. 128 Omar Abdelrahman, David Xiao Chen, Cameron MacDonald, Adi Mordel, Guillaume Ouellet Leblanc We present a technical description of the Top-Down Solvency Assessment (TDSA) tool. As a solvency stress-testing tool, TDSA is used to assess the banking sector’s capital resilience to hypothetical future risk scenarios. Content Type(s): Staff research, Technical reports Research Topic(s): Economic models, Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): C, C2, C22, C5, C52, C53, G, G1, G17, G2, G21, G28
Low Response Rate from Merchants? Sample and Ask Consumers! An Application of Indirect Sampling Under a Consumer-Merchant Bipartite Network Technical Report No. 126 Heng Chen, Joy Wu Under the consumer-merchant bipartite network, we apply the indirect sampling approach to estimate merchant payment acceptance through a consumer payment diary. Content Type(s): Staff research, Technical reports Research Topic(s): Bank notes, Econometric and statistical methods JEL Code(s): C, C8, C80, C83, E, E5
How Fast Can China Grow? The Middle Kingdom’s Prospects to 2030 Staff Working Paper 2016-15 Jeannine Bailliu, Mark Kruger, Argyn Toktamyssov, Wheaton Welbourn Given its size and importance for global commodity markets, the question of how fast the Chinese economy can grow over the medium term is an important one. This paper addresses this question by examining the evolution of the supply side of the Chinese economy over history and projecting how it will evolve over the next 15 years. Content Type(s): Staff research, Staff working papers Research Topic(s): Development economics, International topics, Potential output, Productivity JEL Code(s): E, E2, E22, E23, E3, E32, O4
Identifying Aggregate Shocks with Micro-level Heterogeneity: Financial Shocks and Investment Fluctuation Staff Working Paper 2020-17 Xing Guo This paper identifies aggregate financial shocks and quantifies their effects on business investment based on an estimated DSGE model with firm-level heterogeneity. On average, financial shocks contribute only 3% of the variation in U.S. public firms’ aggregate investment. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Firm dynamics JEL Code(s): E, E1, E12, E2, E22, G, G3, G31, G32
Endogenous Borrowing Constraints and Consumption Volatility in a Small Open Economy Staff Working Paper 2006-37 Carlos De Resende Consumption volatility relative to output volatility is consistently higher in emerging economies than in developed economies. Content Type(s): Staff research, Staff working papers Research Topic(s): International topics JEL Code(s): F, F3, F32, F34, F4, F41
Decomposing Large Banks’ Systemic Trading Losses Staff Working Paper 2024-6 Radoslav Raykov Do banks realize simultaneous trading losses because they invest in the same assets, or because different assets are subject to the same macro shocks? This paper decomposes the comovements of bank trading losses into two orthogonal channels: portfolio overlap and common shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability JEL Code(s): G, G1, G10, G11, G2, G20
Expectations and Monetary Policy: Experimental Evidence Staff Working Paper 2013-44 Oleksiy Kryvtsov, Luba Petersen The effectiveness of monetary policy depends, to a large extent, on market expectations of its future actions. In a standard New Keynesian business-cycle model with rational expectations, systematic monetary policy reduces the variance of inflation and the output gap by at least two-thirds. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Monetary policy implementation, Monetary policy transmission JEL Code(s): C, C9, D, D8, D84, E, E3, E5, E52
Rollover Risk and the Maturity Transformation Function of Banks Staff Working Paper 2014-8 Teodora Paligorova, João Santos This paper shows that banks that rely heavily on short-term funding engage less in maturity transformation in an attempt to decrease their exposure to rollover risk. These banks shorten both the maturity of their portfolio of loans as well as the maturity of newly issued loans. We find that the loan yield curve becomes steeper with banks’ increasing use of short-term funding. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability JEL Code(s): G, G2, G21
Forward Guidance and Expectation Formation: A Narrative Approach Staff Working Paper 2020-40 Christopher S. Sutherland How exactly does forward guidance influence interest rate expectations? Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Monetary policy, Monetary policy communications, Monetary policy transmission JEL Code(s): D, D8, D83, D84, E, E3, E37, E5, E52, E58
Short Changed? The Market's Reaction to the Short Sale Ban of 2008 Staff Working Paper 2009-23 Louis Gagnon, Jonathan Witmer Do short sales restrictions have an impact on security prices? We address this question in the context of a natural experiment surrounding the short sale ban of 2008 using a comprehensive sample of Canadian stocks cross-listed in the U.S. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, International topics JEL Code(s): F, F3, F30, G, G0, G01, G1, G18, G2, G20