February 1, 2012 Measuring Financial Stress Financial System Review - December 2003 Mark Illing, Ying Liu Content Type(s): Publications, Financial System Review articles
June 9, 2010 Crude Oil Futures: A Crystal Ball? Bank of Canada Review - Spring 2010 Ron Alquist, Elif Arbatli Based on recent research, this article discusses three ways that oil-futures prices can improve our understanding of current conditions and future prospects in the global market for crude oil. First, the response of the oil-futures curve can be used to identify the persistence of oil-price shocks and to obtain an indicator of the rate at which they will diminish. Second, the spread between the current futures price and the spot price of oil can be interpreted as an indicator of the precautionary demand for oil. Third, because oil-futures prices are volatile, forecasts of the future spot price of oil using futures prices should be supplemented with other information to improve their accuracy. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Econometric and statistical methods, Market structure and pricing
The Commodity-Price Cycle and Regional Economic Performance in Canada Staff Working Paper 1996-12 Mario Lefebvre, Stephen S. Poloz This paper attempts to provide one interpretation of the broad regional economic history of Canada since the early 1970s. As the title of the paper suggests, we believe that, to a significant degree, regional diversity in economic performance reflects movements in Canada's terms of trade, which very frequently are tied to developments in world commodity markets. Content Type(s): Staff research, Staff working papers Research Topic(s): Regional economic developments JEL Code(s): E, E3, E32
Fintech: Is This Time Different? A Framework for Assessing Risks and Opportunities for Central Banks Staff Discussion Paper 2017-10 Meyer Aaron, Francisco Rivadeneyra, Samantha Sohal We investigate the risks and opportunities to the mandates of central banks arising from fintech developments. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Central bank research, Digital currencies and fintech, Financial institutions, Payment clearing and settlement systems JEL Code(s): E, E4, E42, G, G1, G2, L, L1
The Macroeconomic Effects of Quantitative Easing in the Euro Area: Evidence from an Estimated DSGE Model Staff Working Paper 2018-11 Stefan Hohberger, Romanos Priftis, Lukas Vogel This paper estimates an open-economy dynamic stochastic general equilibrium model with Bayesian techniques to analyse the macroeconomic effects of the European Central Bank’s (ECB’s) quantitative easing (QE) programme. Using data on government debt stocks and yields across maturities, we identify the parameter governing portfolio adjustment in the private sector. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Interest rates, Monetary policy transmission JEL Code(s): E, E4, E44, E5, E52, F, F4, F41
On the Tail Risk Premium in the Oil Market Staff Working Paper 2017-46 Reinhard Ellwanger This paper shows that changes in market participants’ fear of rare events implied by crude oil options contribute to oil price volatility and oil return predictability. Using 25 years of historical data, we document economically large tail risk premia that vary substantially over time and significantly forecast crude oil futures and spot returns. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C5, C53, C58, D, D8, D84, E, E4, E44, G, G1, G12, G13, Q, Q4, Q43
Anchored Inflation Expectations: What Recent Data Reveal Staff Working Paper 2025-5 Olena Kostyshyna, Isabelle Salle, Hung Truong We analyze micro-level data from the Canadian Survey of Consumer Expectations through the lens of a heterogeneous-expectations model to study how inflation expectations form over the business cycle. We provide new insights into how households form expectations, documenting that forecasting behaviours, attention and noise in beliefs vary across socio-demographic groups and correlate with views about monetary policy. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices JEL Code(s): D, D8, D84, E, E3, E31, E7, E70
Unsecured Debt, Consumer Bankruptcy, and Small Business Staff Working Paper 2008-5 Césaire Meh, Yaz Terajima In this paper we develop a quantitative model of entrepreneurial activity (risk-taking) and consumer bankruptcy choices and use the model to study the effects of bankruptcy regulations on entrepreneurial activity, bankruptcy rate and welfare. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial stability, Financial system regulation and policies JEL Code(s): D, D3, D31, E, E2, E21, J, J2, J23
February 1, 2012 The Syndicated Loan Market: Developments in the North American Context Financial System Review - June 2003 Jim Armstrong Content Type(s): Publications, Financial System Review articles
Are Bygones not Bygones? Modeling Price Level Targeting with an Escape Clause and Lessons from the Gold Standard Staff Working Paper 2008-27 Paul Masson, Malik Shukayev Like the gold standard, price level targeting (PT) involves not letting past deviations of inflation be bygones; both regimes return the price level (or price of gold) to its target. The experience of suspension of the gold standard in World War I, resumption in the 1920s (for some countries at a different parity), and final abandonment is reviewed. Content Type(s): Staff research, Staff working papers Research Topic(s): Credibility, Monetary policy framework JEL Code(s): E, E3, E31, E5, E52