To Link or Not To Link? Netting and Exposures Between Central Counterparties Staff Working Paper 2013-6 Stacey Anderson, Jean-Philippe Dion, Héctor Pérez Saiz This paper provides a framework to compare linked and unlinked CCP configurations in terms of total netting achieved by market participants and the total system default exposures that exist between participants and CCPs. Content Type(s): Staff research, Staff working papers Research Topic(s): Payment clearing and settlement systems JEL Code(s): G, G1, G18, G2, G23
Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults Staff Working Paper 2013-19 M. Hashem Pesaran, TengTeng Xu This paper proposes a theoretical framework to analyze the relationship between credit shocks, firm defaults and volatility, and to study the impact of credit shocks on business cycle dynamics. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial institutions JEL Code(s): E, E3, E32, E4, E44, G, G2, G21
An Estimated Canadian DSGE Model with Nominal and Real Rigidities Staff Working Paper 2001-26 Ali Dib This paper develops a dynamic, stochastic, general-equilibrium (DGSE) model for the Canadian economy and evaluates the real effects of monetary policy shocks. To generate high and persistent real effects, the model combines nominal frictions in the form of costly price adjustment with real rigidities modelled as convex costs of adjusting capital and employment. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework JEL Code(s): E, E3, E31, E32
An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention Staff Working Paper 1999-4 Neil Beattie, Jean-François Fillion This paper assesses the effectiveness of Canada's official foreign exchange intervention in moderating intraday volatility of the Can$/US$ exchange rate, using a 2-1/2-year sample of 10-minute exchange rate data. The use of high frequency data (higher than daily frequency) should help in assessing the impact of intervention since the foreign exchange market is efficient and […] Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial markets JEL Code(s): F, F3, F31, G, G1, G15
December 23, 2004 Monetary Policy, Private Information, and International Stock Markets Financial System Review - December 2004 Gregory Bauer, Clara Vega Content Type(s): Publications, Financial System Review articles
February 1, 2012 Measuring Financial Stress Financial System Review - December 2003 Mark Illing, Ying Liu Content Type(s): Publications, Financial System Review articles
The U.S. Stock Market and Fundamentals: A Historical Decomposition Staff Working Paper 2003-20 David Dupuis, David Tessier The authors identify the fundamentals behind the dynamics of the U.S. stock market over the past 30 years. They specify a structural vector-error-correction model following the methodology of King, Plosser, Stock, and Watson (1991). Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): G, G1
Bitcoin Awareness and Usage in Canada Staff Working Paper 2017-56 Christopher Henry, Kim Huynh, Gradon Nicholls There has been tremendous discussion of Bitcoin, digital currencies and FinTech. However, there is limited empirical evidence of Bitcoin’s adoption and usage. We propose a methodology to collect a nationally representative sample using the Bitcoin Omnibus Survey (BTCOS) to track the ubiquity and usage of Bitcoin in Canada. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods JEL Code(s): C, C1, C12, E, E4
Endogenously Segmented Asset Market in an Inventory Theoretic Model of Money Demand Staff Working Paper 2007-46 Jonathan Chiu This paper studies the effects of monetary policy in an inventory theoretic model of money demand. In this model, agents keep inventories of money, despite the fact that money is dominated in rate of return by interest bearing assets, because they must pay a fixed cost to transfer funds between the asset market and the goods market. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework, Monetary policy transmission JEL Code(s): E, E3, E31, E4, E41, E5, E50
Bond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach Technical Report No. 115 Rohan Arora, Guillaume Bédard-Pagé, Guillaume Ouellet Leblanc, Ryan Shotlander This report provides a detailed technical description of a stress test model for investment funds called Ceto. Content Type(s): Staff research, Technical reports Research Topic(s): Economic models, Financial institutions, Financial markets, Financial stability JEL Code(s): G, G1, G12, G14, G2, G20, G23