Money and Costly Credit Staff Working Paper 2011-7 Mei Dong I study an economy in which money and credit coexist as means of payment and the settlement of credit requires money. The model extends recent developments in microfounded monetary theory to address the choice of payment methods and the effects of inflation. Whether a buyer uses money or credit depends on the fixed cost of credit and the inflation rate. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Inflation: costs and benefits JEL Code(s): E, E4, E41, E5, E50
Measuring Potential Output within a State-Space Framework Staff Working Paper 1999-9 Maral Kichian In this paper we measure potential output (and consequently the output gap) using state-space models. Given that the estimated output gap is used as an indicator to measure the extent of inflationary pressures in the economy, we evaluate the use of such models for the implementation of monetary policy. Our starting point is the Gerlach […] Content Type(s): Staff research, Staff working papers Research Topic(s): Potential output JEL Code(s): D, D2, D24
A Distributional Approach to Realized Volatility Staff Working Paper 2013-49 Selma Chaker, Nour Meddahi This paper proposes new measures of the integrated variance, measures which use high-frequency bid-ask spreads and quoted depths. The traditional approach assumes that the mid-quote is a good measure of frictionless price. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C14, C5, C51, C58
Household financial vulnerabilities and physical climate risks Staff Analytical Note 2021-19 Thibaut Duprey, Colin Jones, Callie Symmers, Geneviève Vallée Natural disasters occur more often than before, potentially exposing households to financial distress. We study the intersection between household financial vulnerabilities and severe weather events. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Climate change, Credit and credit aggregates, Financial stability, Housing, Recent economic and financial developments JEL Code(s): C, C2, C21, C3, C38, D, D1, D14, Q, Q5, Q54
Assessing global potential output growth: April 2024 Staff Analytical Note 2024-10 Amor Aniss Benmoussa, Raheeb Dastagir, Eshini Ekanayake, Justin-Damien Guénette, Helen Lao, Jenna Rolland-Mills, Aidan Spencer, Lin Xiang This note presents the annual update of Bank of Canada staff estimates for growth in global potential output. These estimates serve as key inputs to the analysis supporting the April 2024 Monetary Policy Report. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Potential output, Productivity JEL Code(s): E, E1, E2, F, F0, O, O4
Simple Monetary Policy Rules in an Open-Economy, Limited-Participation Model Staff Working Paper 2003-38 Scott Hendry, Wai-Ming Ho, Kevin Moran The authors assess the stabilization properties of simple monetary policy rules within the context of a small open-economy model constructed around the limited-participation assumption and calibrated to salient features of the Canadian economy. By relying on limited participation as the main nominal friction that affects the artificial economy, the authors provide an important check of the robustness of the results obtained using alternative environments in the literature on monetary policy rules, most notably the now-standard "New Keynesian" paradigm that emphasizes rigidities in the price-setting mechanism. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework, Monetary policy transmission JEL Code(s): E, E4, E44, E5, E52, E58, F, F3, F31
Interest on Cash, Fundamental Value Process and Bubble Formation on Experimental Asset Markets Staff Working Paper 2014-18 Giovanni Giusti, Janet Hua Jiang, Yiping Xu We study the formation of price bubbles on experimental asset markets where cash earns interest. There are two main conclusions. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets, Financial stability JEL Code(s): C, C9, C90, G, G1, G10
The New Basel Capital Accord and the Cyclical Behaviour of Bank Capital Staff Working Paper 2004-30 Mark Illing, Graydon Paulin The authors conduct a counterfactual simulation of the proposed rules under the new Basel Capital Accord (Basel II), including the revised treatment of expected and unexpected credit losses proposed by the Basel Committee in October 2003. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions JEL Code(s): G, G2, G21, G28, K, K2, K23
Financial Crisis Interventions Staff Working Paper 2016-29 Josef Schroth This paper develops a model of an economy where bank credit supports both productive investment and individual consumption smoothing in the face of idiosyncratic income risk. Bank credit is constrained by bank equity capital. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Financial stability, Financial system regulation and policies, Lender of last resort JEL Code(s): E, E1, E13, E3, E32, E4, E44
Market Size and Entry in International Trade: Product Versus Firm Fixed Costs Staff Working Paper 2018-43 Walter Steingress This paper develops a theoretical framework to infer the nature of fixed costs from the relationship between entry patterns in international markets and destination market size. If fixed costs are at the firm level, firms take advantage of an intrafirm spillover by expanding firm-level product range (scope). Content Type(s): Staff research, Staff working papers Research Topic(s): Firm dynamics, International topics, Trade integration JEL Code(s): F, F1, F12, F14, F2, F23