Staff research

• The Real-Time Properties of the Bank of Canada’s Staff Output Gap Estimates

  Staff Working Paper 2016-28 Julien Champagne, Guillaume Poulin-Bellisle, Rodrigo Sekkel

  We study the revision properties of the Bank of Canada’s staff output gap estimates since the mid-1980s. Our results suggest that the average staff output gap revision has decreased significantly over the past 15 years, in line with recent evidence for the U.S.

  Content Type(s): Staff research, Staff working papers Topic(s): Central bank research, Econometric and statistical methods, Potential output JEL Code(s): C, C3, C38, E, E1, E17, E3, E32

• Clearing and Settlement Systems from Around the World: A Qualitative Analysis

  Staff Discussion Paper 2016-14 Michael Tompkins, Ariel Olivares

  As Canada continues to engage in a dialogue to develop the approach to modernizing its core payment systems, we analyze the core payment systems that exist in countries around the world. We study payment systems in 27 jurisdictions, encompassing a broad range of geographic regions, through three levels of analysis.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial services, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): E, E4, E42, L, L1, L14, L15, L5, L52

• Implementing Market-Based Indicators to Monitor Vulnerabilities of Financial Institutions

  Staff Analytical Note 2016-5 Cameron MacDonald, Maarten van Oordt, Robin Scott

  This note introduces several market-based indicators and examines how they can further inform the Bank of Canada’s vulnerability assessment of Canadian financial institutions. Market-based indicators of leverage suggest that the solvency risk for major Canadian banks has increased since the beginning of the oil-price correction in the second half of 2014.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Financial institutions, Financial stability JEL Code(s): G, G1, G10, G2, G21

• Timing of Banks’ Loan Loss Provisioning During the Crisis

  Staff Working Paper 2016-27 Leo de Haan, Maarten van Oordt

  We estimate a panel error correction model for loan loss provisions, using unique supervisory data on flow of funds into and out of the allowance for loan losses of 25 Dutch banks in the post-2008 crisis period. We find that these banks aim for an allowance of 49% of impaired loans.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability JEL Code(s): G, G0, G01, G2, G21, G3, G32

• The Doug Purvis Memorial Lecture—Monetary/Fiscal Policy Mix and Financial Stability: The Medium Term Is Still the Message

  Staff Discussion Paper 2016-13 Stephen S. Poloz

  In the Doug Purvis Memorial Lecture, Governor Stephen S. Poloz shows how changing the mix of monetary and fiscal policies can yield the same outcomes for growth and inflation, but lead to different results for public sector and private sector debt levels, which can impact financial stability.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Economic models, Financial stability, Fiscal policy, Monetary policy framework JEL Code(s): E, E3, E37, E5, E6, E63
• May 31, 2016

  Research Update - May 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

• On the Nexus of Monetary Policy and Financial Stability: Is the Financial System More Resilient?

  Staff Discussion Paper 2016-12 Patricia Palhau Mora, Michael Januska

  Monetary policy and financial stability are closely intertwined, and the resilience of the financial system carries weight in this relationship. This paper explores whether the financial system is more resilient as a result of the G20’s post-crisis agenda for financial regulatory reform.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial stability, Financial system regulation and policies, Monetary policy framework JEL Code(s): E, E5, E52, G, G0, G01, G2, G21, G23, G28

• The Impact of Bankruptcy Reform on Insolvency Choice and Consumer Credit

  Staff Working Paper 2016-26 Jason Allen, Kiana Basiri

  We examine the impact of the 2009 amendments to the Canadian Bankruptcy and Insolvency Act on insolvency decisions. Rule changes steered debtors out of division I proposals and into the more cost-effective division II proposals.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Financial institutions, Financial system regulation and policies JEL Code(s): D, D1, D14, G, G2, K, K3, K35

• On the Nexus of Monetary Policy and Financial Stability: Effectiveness of Macroprudential Tools in Building Resilience and Mitigating Financial Imbalances

  Staff Discussion Paper 2016-11 H. Evren Damar, Miguel Molico

  This paper reviews the Canadian and international evidence of the effectiveness of macroprudential policy measures in building resilience and mitigating financial imbalances. The analysis concludes that these measures have broadly achieved their goal of increasing the overall resilience of the financial system to the buildup of imbalances and increasing the financial system’s ability to withstand adverse shocks.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Credit and credit aggregates, Financial stability, Financial system regulation and policies JEL Code(s): E, E5, E51, E58, G, G1, G18, G2, G28

• What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks

  Staff Working Paper 2016-25 Laurent Ferrara, Pierre Guérin

  This paper evaluates the effects of high-frequency uncertainty shocks on a set of low-frequency macroeconomic variables that are representative of the U.S. economy. Rather than estimating models at the same common low-frequency, we use recently developed econometric models, which allows us to deal with data of different sampling frequencies.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E32, E4, E44