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43 Results

Household Risk Assessment Model

Technical Report No. 106 Brian Peterson, Tom Roberts
Household debt can be an important source of vulnerability to the financial system. This technical report describes the Household Risk Assessment Model (HRAM) that has been developed at the Bank of Canada to stress test household balance sheets at the individual level.
Content Type(s): Staff research, Technical reports Topic(s): Financial stability, Housing, Sectoral balance sheet JEL Code(s): C, C0, C6, C63, C65, D, D0, D1, D14

The Impact of Macroprudential Housing Finance Tools in Canada: 2005–10

Staff Working Paper 2016-41 Jason Allen, Timothy Grieder, Brian Peterson, Tom Roberts
This paper combines loan-level administrative data with household-level survey data to analyze the impact of recent macroprudential policy changes in Canada using a microsimulation model of mortgage demand of first-time homebuyers.
Content Type(s): Staff research, Staff working papers Topic(s): Financial system regulation and policies JEL Code(s): C, C6, C63, D, D1, D14, G, G2, G28

Are Counterparty Arrangements in Reinsurance a Threat to Financial Stability?

Staff Working Paper 2016-39 Matt Davison, Darrell Leadbetter, Bin Lu, Jane Voll
Interconnectedness among insurers and reinsurers at a global level is not well understood and may pose a significant risk to the sector, with implications for the macroeconomy. Models of the complex interactions among reinsurers and with other participants in the financial system and the real economy are at a very early stage of development.

Housing and Tax-Deferred Retirement Accounts

Staff Working Paper 2016-24 Anson T. Y. Ho, Jie Zhou
Assets in tax-deferred retirement accounts (TDA) and housing are two major components of household portfolios. In this paper, we develop a life-cycle model to examine the interaction between households’ use of TDA and their housing decisions.
Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Housing JEL Code(s): C, C6, C61, D, D1, D14, D9, D91, E, E2, E21, H, H2, H24, R, R2, R21

Filling in the Blanks: Network Structure and Interbank Contagion

Staff Working Paper 2014-26 Kartik Anand, Ben Craig, Goetz von Peter
The network pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures.
June 12, 2014

Stress Testing the Canadian Banking System: A System-Wide Approach

Stress testing is an important tool used by financial authorities and entities around the world to evaluate potential risks to the financial system. Kartik Anand, Guillaume Bédard-Pagé and Virginie Traclet discuss different stress-testing approaches, with emphasis on the innovative and analytically rigorous model developed by the Bank of Canada: the MacroFinancial Risk Assessment Framework (MFRAF). They also present the stress-test results obtained in the context of the 2013 Canada Financial Sector Assessment Program led by the International Monetary Fund, including the important contributions made by the use of MFRAF in the exercise.

Cash Management and Payment Choices: A Simulation Model with International Comparisons

Despite various payment innovations, today, cash is still heavily used to pay for low-value purchases. This paper develops a simulation model to test whether standard implications of the theory on cash management and payment choices can explain the use of payment instruments by transaction size.
August 15, 2013

Big Data Analysis: The Next Frontier

The formulation of monetary policy at the Bank of Canada relies on the analysis of a broad set of economic information. Greater availability of immediate and detailed information would improve real-time economic decision making. Technological advances have provided an opportunity to exploit “big data” - the vast amount of digital data from business transactions, social media and networked computers. Big data can be a complement to traditional information sources, offering fresh insight for the monitoring of economic activity and inflation.

Real-Financial Linkages in the Canadian Economy: An Input-Output Approach

Staff Working Paper 2011-14 Danny Leung, Oana Secrieru
The purpose of this paper is twofold. First, we provide a detailed social accounting matrix (SAM), which incorporates the income and financial flows into the standard input-output matrix, for the Canadian economy for 2004.

Introducing the Bank of Canada's Projection Model for the Global Economy

To complement its existing set of tools to analyze and forecast developments in the global economy, the Bank of Canada recently developed a version of the Global Projection Model (GPM) jointly with staff at the International Monetary Fund.
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