Adoption of a New Payment Method: Theory and Experimental Evidence Staff Working Paper 2017-28 Jasmina Arifovic, John Duffy, Janet Hua Jiang We model the introduction of a new payment method, e.g., e-money, that competes with an existing payment method, e.g., cash. The new payment method involves relatively lower per-transaction costs for both buyers and sellers, but sellers must pay a fixed fee to accept the new payment method. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Digital currencies and fintech JEL Code(s): C, C3, C35, C8, C83, C9, C92, E, E4, E41
Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach Staff Working Paper 2015-32 Kartik Anand, Céline Gauthier, Moez Souissi We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and market risks of banks are intertwined. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): C, C7, C72, E, E5, E58, G, G0, G01, G2, G21, G28
Mandatory Retention Rules and Bank Risk Staff Working Paper 2023-3 Yuteng Cheng This paper studies, theoretically and empirically, the unintended consequences of mandatory retention rules in securitization. It proposes a novel model showing that while retention strengthens monitoring, it may also encourage banks to shift risk. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit risk management, Financial institutions, Financial system regulation and policies JEL Code(s): G, G2, G21, G28
March 14, 2019 The Age of Leverage Remarks Carolyn A. Wilkins UBC Vancouver School of Economics and CFA Society Vancouver Vancouver, British Columbia Senior Deputy Governor Carolyn A. Wilkins discusses how high leverage is both a headwind to global growth and a vulnerability in the global financial system. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Balance of payments and components, Credit risk management, Financial institutions, Financial stability, Financial system regulation and policies, Fiscal policy
The Impact of Market Timing on Canadian and U.S. Firms' Capital Structure Staff Working Paper 2009-1 Zhaoxia Xu This paper studies the impact of market timing on Canadian firms' capital structure and makes a comparison with U.S. firms. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, International topics JEL Code(s): G, G3, G32
Uncovered Return Parity: Equity Returns and Currency Returns Staff Working Paper 2018-22 Edouard Djeutem, Geoffrey R. Dunbar We propose an uncovered expected returns parity (URP) condition for the bilateral spot exchange rate. URP implies that unilateral exchange rate equations are misspecified and that equity returns also affect exchange rates. Fama regressions provide evidence that URP is statistically preferred to uncovered interest rate parity (UIP) for nominal bilateral exchange rates between the US dollar and six countries (Australia, Canada, Japan, Norway, Switzerland and the UK) at the monthly frequency. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Exchange rates, International financial markets JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G15
The Real-Time Properties of the Bank of Canada’s Staff Output Gap Estimates Staff Working Paper 2016-28 Julien Champagne, Guillaume Poulin-Bellisle, Rodrigo Sekkel We study the revision properties of the Bank of Canada’s staff output gap estimates since the mid-1980s. Our results suggest that the average staff output gap revision has decreased significantly over the past 15 years, in line with recent evidence for the U.S. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Econometric and statistical methods, Potential output JEL Code(s): C, C3, C38, E, E1, E17, E3, E32
Monetary Policy Lag, Zero Lower Bound, and Inflation Targeting Staff Working Paper 2009-2 Shin-Ichi Nishiyama Although the concept of monetary policy lag has historical roots deep in the monetary economics literature, relatively little attention has been paid to the idea. In this paper, we build on Svensson's (1997) inflation targeting framework by explicitly taking into account the lagged effect of monetary policy and characterize the optimal monetary policy reaction function both in the absence and in the presence of the zero lower bound on the nominal interest rate. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation targets, Monetary policy framework, Monetary policy implementation JEL Code(s): C, C6, C63, E, E5, E52, E58
The Global Benefits of Low Oil Prices: More Than Meets the Eye Staff Analytical Note 2016-13 Robert Fay, Justin-Damien Guénette, Louis Morel Between mid-2014 and early 2016, oil prices fell by roughly 65 per cent. This note documents the channels through which this oil price decline is expected to affect the global economy. One important and immediate channel is through higher expenditures, especially in net oil-importing countries. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Business fluctuations and cycles, International topics, Recent economic and financial developments JEL Code(s): E, E3, E32, E37, F, F0, F01, Q, Q4, Q43
Sources of pandemic-era inflation in Canada: An application of the Bernanke and Blanchard model Staff Analytical Note 2024-13 Fares Bounajm, Jean Garry Junior Roc, Yang Zhang We explore the drivers of the surge in inflation in Canada during the COVID-19 pandemic. This work is part of a joint effort by 11 central banks using the model developed by Bernanke and Blanchard (2023) to identify similarities and differences across economies. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Economic models, Inflation and prices, Labour markets JEL Code(s): E, E2, E24, E3, E31, E37, E5, E52, E6