Staff research

• March 30, 2013

  Research Update - March 2013

  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

• A Tractable Monetary Model Under General Preferences

  Staff Working Paper 2013-7 Tsz-Nga Wong

  Consider the monetary model of Lagos and Wright (JPE 2005) but with general preferences and general production. I show that preferences satisfying UXXUHH – (UXH)2 = 0 is a sufficient condition for the existence and uniqueness of monetary equilibrium with degenerate money distribution.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models JEL Code(s): D, D8, D83, E, E4, E40

• To Link or Not To Link? Netting and Exposures Between Central Counterparties

  Staff Working Paper 2013-6 Stacey Anderson, Jean-Philippe Dion, Héctor Pérez Saiz

  This paper provides a framework to compare linked and unlinked CCP configurations in terms of total netting achieved by market participants and the total system default exposures that exist between participants and CCPs.

  Content Type(s): Staff research, Staff working papers Topic(s): Payment clearing and settlement systems JEL Code(s): G, G1, G18, G2, G23

• Market Structure and Cost Pass-Through in Retail

  Staff Working Paper 2013-5 Gee Hee Hong, Nicholas Li

  We examine the extent to which vertical and horizontal market structure can together explain incomplete retail pass-through.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Monetary policy transmission JEL Code(s): E, E3, E30, E31, L, L1, L11, L16

• Méthodologie de construction de séries de taux de défaut pour l’industrie canadienne

  Staff Discussion Paper 2013-2 Ramdane Djoudad, Étienne Bordeleau

  Default rates are series commonly used in stress testing. In Canada, as in many other countries, there are no historical series available for sectoral default rates on bank loans to firms.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, Financial institutions, Financial stability JEL Code(s): C, C1, C13, C18, G, G2, G21, G3, G33