On Commodity-Sensitive Currencies and Inflation Targeting Staff Working Paper 2001-3 Kevin Clinton Two aspects of the recent monetary history of Canada, Australia, and New Zealand stand out: the sensitivity of their dollars to prices of resource-based commodities, and inflation targeting. This paper explores various aspects of these phenomena. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Inflation targets, International topics, Monetary policy implementation JEL Code(s): E, E3, E31, E5, E52, F, F3, F31, F4, F42
It Hurts (Stock Prices) When Your Team Is About to Lose a Soccer Match Staff Working Paper 2014-2 Michael Ehrmann, David-Jan Jansen The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as sporting events unfold. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets JEL Code(s): G, G0, G02, G1, G12, G14, G15
Cheap But Flighty: How Global Imbalances Create Financial Fragility Staff Working Paper 2015-33 Enrico Perotti, Toni Ahnert We analyze how a wealth shift to emerging countries may lead to instability in developed countries. Investors exposed to expropriation risk are willing to pay a safety premium to invest in countries with good property rights. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability JEL Code(s): F, F3, G, G2
Who Pays? CCP Resource Provision in the Post-Pittsburgh World Staff Discussion Paper 2017-17 Jorge Cruz Lopez, Mark Manning At the Pittsburgh Summit in 2009, G20 countries announced their commitment to clear all standardized over-the-counter (OTC) derivatives through central counterparties (CCPs). Since then, CCPs have become increasingly important and there has been an extensive program of regulatory enhancements to both them and OTC derivatives markets. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial markets, Financial stability, Financial system regulation and policies JEL Code(s): G, G0, G01, G2, G28
Canada’s Monetary Policy Report: If Text Could Speak, What Would It Say? Staff Analytical Note 2019-5 André Binette, Dmitri Tchebotarev This note analyzes the evolution of the narrative in the Bank of Canada’s Monetary Policy Report (MPR). It presents descriptive statistics on the core text, including length, most frequently used words and readability level—the three Ls. Although each Governor of the Bank of Canada focuses on the macroeconomic events of the day and the mandate of inflation targeting, we observe that the language used in the MPR varies somewhat from one Governor’s tenure to the next. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Central bank research, Monetary policy JEL Code(s): E, E0, E02, E5, E52
November 6, 2018 External academic consultants Meet the academic consultants and researchers from outside the Bank who are working with us.
Global Commodity Markets and Rebalancing in China: The Case of Copper Staff Discussion Paper 2019-3 Jeannine Bailliu, Doga Bilgin, Kun Mo, Kurt Niquidet, Benjamin Sawatzky Given that China accounts for about half of global copper consumption, it is reasonable to expect that any significant change in Chinese copper consumption will have an impact on the global market. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): O, O1, O13, O14, Q, Q0, Q02
Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events Staff Working Paper 2006-17 Alejandro García, Ramazan Gençay The authors examine how the use of extreme value theory yields collateral requirements that are robust to extreme fluctuations in the market price of the asset used as collateral. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial stability, Payment clearing and settlement systems JEL Code(s): C, C1, G, G0, G1
How Do Mortgage Rate Resets Affect Consumer Spending and Debt Repayment? Evidence from Canadian Consumers Staff Working Paper 2020-18 Katya Kartashova, Xiaoqing Zhou We study the causal effect of mortgage rate changes on consumer spending, debt repayment and defaults during an expansionary and a contractionary monetary policy episode in Canada. We find asymmetric responses of consumer durable spending, deleveraging and defaults. These findings help us to understand household sector response to interest rate changes. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Interest rates, Monetary policy, Monetary policy transmission JEL Code(s): D, D1, D12, D14, E, E4, E43, E5, E52, G, G2, G21, R, R3, R31
Capital Structure, Pay Structure and Job Termination Staff Working Paper 2016-12 Jason Allen, James R. Thompson We develop a model to analyze the link between financial leverage, worker pay structure and the risk of job termination. Contrary to the conventional view, we show that even in the absence of any agency problem among workers, variable pay can be optimal despite workers being risk averse and firms risk neutral. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Labour markets JEL Code(s): G, G2, G24, J, J3, J33