Posts

• July 29, 2016

  Research Update - July 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
• July 28, 2016

  Banking and Financial Statistics - July 2016

  Content Type(s): Publications, Historical: Banking and Financial Statistics

• Credit Risk and Collateral Demand in a Retail Payment System

  Staff Discussion Paper 2016-16 Héctor Pérez Saiz, Gabriel Xerri

  The recent financial crisis has led to the development of new regulations to control risk in designated payment systems, and the implementation of new credit risk management standards is one of the key issues. In this paper, we study various credit risk management schemes for the Canadian retail payment system (ACSS) that are designed to cover the exposure of a defaulting member.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, Financial stability, Payment clearing and settlement systems JEL Code(s): C, C5, C58, G, G2, G21, G23

• Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility

  Staff Working Paper 2016-37 Michael Ehrmann, Jonathan Talmi

  Press releases announcing and explaining monetary policy decisions play a critical role in the communication strategy of central banks. Because of their market-moving potential, it is particularly important how they are drafted. Often, central banks start from the previous statement and update the earlier text with only small changes.

  Content Type(s): Staff research, Staff working papers Topic(s): Central bank research, Financial markets, Interest rates JEL Code(s): E, E4, E43, E5, E52, E58

• Output Comovement and Inflation Dynamics in a Two-Sector Model with Durable Goods: The Role of Sticky Information and Heterogeneous Factor Markets

  Staff Working Paper 2016-36 Tomiyuki Kitamura, Tamon Takamura

  In a simple two-sector New Keynesian model, sticky prices generate a counterfactual negative comovement between the output of durable and nondurable goods following a monetary policy shock. We show that heterogeneous factor markets allow any combination of strictly positive price stickiness to generate positive output comovement.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Monetary policy transmission JEL Code(s): E, E3, E31, E32, E5, E52
• July 26, 2016

  Bank of Canada publishes 2017 schedule for policy interest rate announcements and release of the Monetary Policy Report

  Media Relations Ottawa, Ontario

  The Bank of Canada today published its 2017 schedule of the key dates for policy interest rate announcements and release of the quarterly Monetary Policy Report, and it reconfirmed the scheduled announcement dates for the remainder of this year.

  Content Type(s): Press, Press releases

• Time-Varying Crash Risk: The Role of Stock Market Liquidity

  Staff Working Paper 2016-35 Peter Christoffersen, Bruno Feunou, Yoontae Jeon, Chayawat Ornthanalai

  We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on return variance once we include market illiquidity as an economic variable in the model.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Financial stability JEL Code(s): G, G0, G01, G1, G12

• International Banking and Cross-Border Effects of Regulation: Lessons from Canada

  Staff Working Paper 2016-34 H. Evren Damar, Adi Mordel

  We study how changes in prudential requirements affect cross-border lending of Canadian banks by utilizing an index that aggregates adjustments in key regulatory instruments across jurisdictions.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): F, F3, F34, G, G0, G01, G2, G21

• Relationships in the Interbank Market

  Staff Working Paper 2016-33 Jonathan Chiu, Cyril Monnet

  In the interbank market, banks will sometimes trade below the central bank's deposit rate. We explain this anomaly using a theory based on market frictions and relationship lending.

  Content Type(s): Staff research, Staff working papers Topic(s): Interest rates, Monetary policy implementation, Monetary policy transmission JEL Code(s): E, E4, E5

• The Role of Central Banks in Promoting Financial Stability: An International Perspective

  Staff Discussion Paper 2016-15 Rose Cunningham, Christian Friedrich

  The 2007–09 global financial crisis has led policy-makers around the world, including central banks, to refocus their efforts to promote financial stability. As part of this process, central banks became quite active in supporting financial stability in a variety of ways, such as publicly sharing their assessments of financial system vulnerabilities and risks and helping to strengthen regulation, supervision and macroprudential measures.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): E, E5, G, G0, G01, G2, G28