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15 Results

Consumer Credit with Over-optimistic Borrowers

When lenders cannot directly identify behavioural and rational borrowers, they use type scoring to track the likelihood of a borrower’s type. This leads to the partial pooling of borrowers, which results in rational borrowers subsidizing borrowing costs for behavioural borrowers. This, in turn, reduces the effectiveness of regulatory policies that target mistakes by behavioural borrowers.
January 30, 2020

How vulnerabilities like debt can affect interest rates

Speech summary Paul Beaudry Laval University Québec, Québec
Deputy Governor Paul Beaudry explains to students at Laval University why financial vulnerabilities—such as household debt—are important for the Bank of Canada when it sets interest rates.

Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects

Staff Working Paper 2019-16 Kerem Tuzcuoglu
Modeling and estimating persistent discrete data can be challenging. In this paper, we use an autoregressive panel probit model where the autocorrelation in the discrete variable is driven by the autocorrelation in the latent variable. In such a non-linear model, the autocorrelation in an unobserved variable results in an intractable likelihood containing high-dimensional integrals.
March 14, 2019

The Age of Leverage

Remarks Carolyn A. Wilkins UBC Vancouver School of Economics and CFA Society Vancouver Vancouver, British Columbia
Senior Deputy Governor Carolyn A. Wilkins discusses how high leverage is both a headwind to global growth and a vulnerability in the global financial system.

Macroprudential Policy with Capital Buffers

Staff Working Paper 2019-8 Josef Schroth
The countercyclical capital buffer is part of Basel III, the set of regulatory measures developed in response to the financial crisis of 2007–09. This study focuses on how time-varying capital buffers can address inefficiencies in economies with endogenous financial crises.