Bank Screening Heterogeneity Staff Working Paper 2016-56 Thibaut Duprey Production efficiency and financial stability do not necessarily go hand in hand. With heterogeneity in banks’ abilities to screen borrowers, the market for loans becomes segmented and a self-competition mechanism arises. When heterogeneity increases, the intensive and extensive margins have opposite effects. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G1, G14, G2, G21, L, L1, L13
October 20, 2006 MUSE: The Bank of Canada's New Projection Model of the U.S. Economy Bank of Canada Review - Autumn 2006 Marc-André Gosselin, René Lalonde, Nicolas Parent Staff projections provided for the Bank of Canada's monetary policy decision process take into account the integration of Canada's very open economy within the global economy, as well as its close real and financial linkages with the United States. To provide inputs for this projection, the Bank has developed several models, including MUSE, NEUQ (the New European Quarterly Model), and BoC-GEM (Bank of Canada Global Economy Model), to analyze and forecast economic developments in the rest of the world. The authors focus on MUSE, the model currently used to describe interaction among the principal U.S. economic variables, including gross domestic product, inflation, interest rates, and the exchange rate. Brief descriptions are also provided of NEUQ and BoC-GEM. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Econometric and statistical methods, Economic models, International topics
Heterogeneity in the Dynamic Effects of Uncertainty on Investment Staff Working Paper 2015-34 Sungje Byun, Soojin Jo How does aggregate profit uncertainty influence investment activity at the firm level? We propose a parsimonious adaptation of a factor-autoregressive conditional heteroscedasticity model to exploit information in a subindustry sales panel for an efficient and tractable estimation of aggregate volatility. Content Type(s): Staff research, Staff working papers Research Topic(s): Domestic demand and components, Econometric and statistical methods, International topics JEL Code(s): C, C2, C22, C23, D, D8, D80, E, E2, E22
Sheep in Wolf’s Clothing: Using the Least Squares Criterion for Quantile Estimation Staff Working Paper 2014-24 Heng Chen Estimation of the quantile model, especially with a large data set, can be computationally burdensome. This paper proposes using the Gaussian approximation, also known as quantile coupling, to estimate a quantile model. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C13, C14, C2, C21
Financial Intermediation, Liquidity and Inflation Staff Working Paper 2008-49 Jonathan Chiu, Césaire Meh This paper develops a search-theoretic model to study the interaction between banking and monetary policy and how this interaction affects the allocation and welfare. Regarding how banking affects the welfare costs of inflation: First, we find that, with banking, inflation generates smaller welfare costs. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework JEL Code(s): E, E4, E40, E5, E50
Potential netting benefits from expanded central clearing in Canada’s fixed-income market Staff Analytical Note 2022-8 Jessie Ziqing Chen, Johannes Chen, Shamarthi Ghosh, Manu Pandey, Adrian Walton We assess whether more central clearing would enhance the resilience of Canadian fixed-income markets. Our analysis estimates the potential benefits of balance sheet netting under scenarios where central clearing is expanded to new participants. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Credit risk management, Financial institutions, Financial markets JEL Code(s): D, D4, G, G1, G12, G2, G21, G29
June 23, 2004 Competition in Banking Financial System Review - June 2004 Carol Ann Northcott Content Type(s): Publications, Financial System Review articles
Optimal Interbank Regulation Staff Working Paper 2017-48 Thomas J. Carter Recent years have seen renewed interest in the regulation of interbank markets. A review of the literature in this area identifies two gaps: first, the literature has tended to make ad hoc assumptions about the interbank contract space, which makes it difficult to generate convincing policy prescriptions; second, the literature has tended to focus on ex-post interventions that kick in only after an interbank disruption has come underway (e.g., open-market operations, lender-of-last-resort interventions, bail-outs), rather than ex-ante prudential policies. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): G, G0, G01, G2, G20
What Drives Interbank Loans? Evidence from Canada Staff Working Paper 2018-5 Narayan Bulusu, Pierre Guérin We identify the drivers of unsecured and collateralized loan volumes, rates and haircuts in Canada using the Bayesian model averaging approach to deal with model uncertainty. Our results suggest that the key friction driving behaviour in this market is the collateral reallocation cost faced by borrowers. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Wholesale funding JEL Code(s): C, C5, C55, E, E4, E43, G, G2, G23
What Drives Bitcoin Fees? Using Segwit to Assess Bitcoin's Long-Run Sustainability Staff Working Paper 2022-2 Colin Brown, Jonathan Chiu, Thorsten Koeppl We explore what drives transaction fees in the Bitcoin system and consider whether Bitcoin can remain tamper proof in the long run. Content Type(s): Staff research, Staff working papers Research Topic(s): Digital currencies and fintech, Payment clearing and settlement systems JEL Code(s): E, E4, E42, G, G2