Staff research

• A Microfounded Design of Interconnectedness-Based Macroprudential Policy

  Staff Working Paper 2016-6 Jose Fique

  To address the challenges posed by global systemically important banks (G-SIBs), the Basel Committee on Banking Supervision recommended an “additional loss absorbency requirement” for these institutions. Along these lines, I develop a microfounded design of capital surcharges that target the interconnectedness component of systemic risk.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial system regulation and policies JEL Code(s): D, D8, D82, D85, G, G2, G21, G28

• Macroeconomic Uncertainty Through the Lens of Professional Forecasters

  Staff Working Paper 2016-5 Soojin Jo, Rodrigo Sekkel

  We analyze the evolution of macroeconomic uncertainty in the United States, based on the forecast errors of consensus survey forecasts of different economic indicators. Comprehensive information contained in the survey forecasts enables us to capture a real-time subjective measure of uncertainty in a simple framework.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C38, E, E1, E17, E3, E32

• To Share or Not to Share? Uncovered Losses in a Derivatives Clearinghouse

  Staff Working Paper 2016-4 Radoslav Raykov

  This paper studies how the allocation of residual losses affects trading and welfare in a central counterparty. I compare loss sharing under two loss-allocation mechanisms – variation margin haircutting and cash calls – and study the privately and socially optimal degree of loss sharing.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Payment clearing and settlement systems JEL Code(s): G, G1, G19, G2, G21

• Monetary Commitment and the Level of Public Debt

  Staff Working Paper 2016-3 Stefano Gnocchi, Luisa Lambertini

  We analyze the interaction between committed monetary policy and discretionary fiscal policy in a model with public debt, endogenous government expenditures, distortive taxation and nominal rigidities.

  Content Type(s): Staff research, Staff working papers Topic(s): Credibility, Fiscal policy, Inflation targets, Monetary policy framework JEL Code(s): E, E2, E24, E3, E32, E5, E52

• The Role of the International Monetary Fund in the Post-Crisis World

  Staff Discussion Paper 2016-6 Mark Kruger, Robert Lavigne, Julie McKay

  The International Monetary Fund (IMF, or the Fund) has undergone a number of significant policy changes and reforms in the wake of the global financial crisis. Most notably, in December 2015, the United States approved long-delayed legislation to increase the representation of developing countries in the Fund’s governance structure.

  Content Type(s): Staff research, Staff discussion papers Topic(s): International topics JEL Code(s): F, F3, F33

• What Is Behind the Weakness in Global Investment?

  Staff Discussion Paper 2016-5 Maxime Leboeuf, Robert Fay

  The recovery in private business investment globally remains extremely weak more than seven years after the financial crisis. This paper contributes to the ongoing policy debate on the factors behind this weakness by analyzing the role of growth prospects and uncertainty in explaining developments in non-residential private business investment in large advanced economies since the crisis.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, Central bank research, Domestic demand and components, Economic models, International topics, Monetary policy and uncertainty, Recent economic and financial developments JEL Code(s): C, C2, C23, C3, C33, D, D2, D24, D8, D80, D84, E, E2, E22, F, F0, F01, G, G3, G31

• Limits to Arbitrage and Deviations from Covered Interest Rate Parity

  Staff Discussion Paper 2016-4 James Pinnington, Maral Shamloo

  We document an increase in deviations from short-term covered interest rate parity (CIP) in the first half of 2015. Since the Swiss National Bank’s (SNB) decision to abandon its minimum exchange rate policy, both the magnitude and volatility of deviations from CIP have increased across several currency pairs. The effect is particularly pronounced for pairs involving the Swiss franc.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Exchange rates, International financial markets JEL Code(s): F, F3, F31, G, G1, G15

• New Housing Registrations as a Leading Indicator of the BC Economy

  Staff Discussion Paper 2016-3 Calista Cheung, Dmitry Granovsky

  Housing starts and building permits data are commonly used as leading indicators of economic activity. In British Columbia, all new homes must be registered with the Homeowner Protection Office, a branch of BC Housing, before the issuance of building permits and the start of construction.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, Housing, Regional economic developments JEL Code(s): C, C1, C13, C5, C53, E, E3, E32, E37
• January 31, 2016

  Research Update - January 2016

  This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website.

  Content Type(s): Staff research, Research newsletters

• Agency Costs, Risk Shocks and International Cycles

  Staff Working Paper 2016-2 Marc-André Letendre, Joel Wagner

  We add agency costs as in Carlstrom and Fuerst (1997) into a two-country, two-good international business-cycle model. In our model, changes in the relative price of investment arise endogenously.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, International topics JEL Code(s): E, E2, E22, E3, E32, E4, E44, F, F4, F44