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
May 16, 2013 Unconventional Monetary Policies: Evolving Practices, Their Effects and Potential Costs Bank of Canada Review - Spring 2013 Lena Suchanek, Eric Santor Following the recent financial crisis, major central banks have introduced several types of unconventional monetary policy measures, including liquidity and credit facilities, asset purchases and forward guidance. To date, these measures appear to have been successful. They restored market functioning, facilitated the transmission of monetary policy and supported economic activity. They have potential costs, however, including challenges related to the greatly expanded balance sheets of central banks and the eventual exit from these measures, as well as the vulnerabilities that can arise from prolonged monetary accommodation. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Central bank research, Financial markets, International topics, Monetary policy framework JEL Code(s): E, E5, E52, E58, E6, E65
Changes in the Inflation Process in Canada: Evidence and Implications Staff Working Paper 1995-5 Doug Hostland The Canadian economy is currently in transition from a period of disinflation to one with a very low and relatively stable inflation rate. Against this background, the author asks whether reduced-form parameters should be expected to be invariant to changes in the inflation process. This raises two empirical issues. The first relates to whether shifts […] Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices
Real Time Detection of Structural Breaks in GARCH Models Staff Working Paper 2009-31 Zhongfang He, John M. Maheu A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C11, C15, C2, C22, C5, C53
More Than Words: Fed Chairs’ Communication During Congressional Testimonies Staff Working Paper 2022-20 Michelle Alexopoulos, Xinfen Han, Oleksiy Kryvtsov, Xu Zhang We measure soft information contained in the congressional testimonies of U.S. Federal Reserve Chairs and analyze its effect on financial markets. Increases in the Chair’s text-, voice-, or face-emotion indices during these testimonies generally raise stock prices and lower their volatility. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Financial markets, Monetary policy communications JEL Code(s): E, E5, E52, E58, E7, E71
Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity? Staff Working Paper 2014-40 Rodrigo Sekkel This paper conducts a real-time, out-of-sample analysis of the forecasting power of various aggregate financial intermediaries’ balance sheets to a wide range of economic activity measures in the United States. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C53
Housing Market Dynamics and Macroprudential Policy Staff Working Paper 2016-31 Gabriel Bruneau, Ian Christensen, Césaire Meh We perform an analysis to determine how well the introduction of a countercyclical loanto- value (LTV) ratio can reduce household indebtedness and housing price fluctuations compared with a monetary policy rule augmented with house price inflation. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Financial stability, Housing, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E3, E31, E4, E42, H, H2, H23
A Counterfactual Valuation of the Stock Index as a Predictor of Crashes Staff Working Paper 2017-38 Tom Roberts Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon—instead, I shift focus to severe downside risk (i.e., crashes). Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial stability JEL Code(s): G, G0, G01, G1, G12, G17, G19
March 16, 2008 Bank of Canada Review - Spring 2008 Cover Page Canada's First Coinage Photography by Gord Carter, Ottawa. Content Type(s): Publications, Bank of Canada Review
Bank Failures and Bank Fundamentals: A Comparative Analysis of Latin America and East Asia during the Nineties using Bank-Level Data Staff Working Paper 2005-19 Marco Arena The author develops the first comparative empirical study of bank failures during the nineties between East Asia and Latin America using bank-level data, in order to address the following two questions: (i) To what extent did individual bank conditions explain bank failures? (ii) Did mainly the weakest banks, in terms of their fundamentals, fail in the crisis countries? Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions JEL Code(s): G, G2, N, N2