Staff research

• A Q-Theory of Banks

  Staff Working Paper 2021-44 Juliane Beganau, Saki Bigio, Jeremy Majerovitz, Matías Vieyra

  Using stock market data on banks, we show that the book value of loans recognizes losses with a delay. This delayed accounting is important for regulation because the requirements regulators impose are based on book values.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): E, E4, E44, G, G2, G21, G3, G32, G33

• Can the characteristics of new mortgages predict borrowers’ financial stress? Insights from the 2014 oil price decline

  Staff Analytical Note 2021-22 Olga Bilyk, Ken Chow, Yang Xu

  We study the relationship between characteristics of new mortgages and borrowers’ financial stress in Canada’s energy-intensive regions following the 2014 collapse in oil prices. We find that borrowers with limited home equity were more likely to have difficulty repaying debt.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Credit and credit aggregates, Econometric and statistical methods, Financial stability, Housing JEL Code(s): C, C2, C25, D, D1, D14, G, G2, G21, G5, G51, R, R2, R21

• Rising US LNG Exports and Global Natural Gas Price Convergence

  Staff Discussion Paper 2021-14 Robert Ialenti

  We assess how rising exports of US liquefied natural gas affect the convergence of natural gas prices worldwide. Our results may have implications for the development of future LNG export capacity in Canada.

  Content Type(s): Staff research, Staff discussion papers Topic(s): International topics, Market structure and pricing JEL Code(s): C, C3, C32, F, F1, F15, K, K4, K41, L, L9, L95

• Canadian housing supply elasticities

  Staff Analytical Note 2021-21 Nuno Paixão

  We explain how housing supply elasticities for Canadian cities are estimated. The procedure we use exploits the systematic differences in various cities’ sensitivity to regional house-price cycles.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Housing JEL Code(s): R, R1, R14, R3, R31, R5, R52

• Payment Habits During COVID-19: Evidence from High-Frequency Transaction Data

  Staff Working Paper 2021-43 Tatjana Dahlhaus, Angelika Welte

  We examine how consumers have adjusted their payment habits during the COVID-19 pandemic. They seem to perform fewer transactions, spend more in each transaction, use less cash at the point of sale and withdraw cash from ATMs linked to their financial institution more often than from other ATMs.

  Content Type(s): Staff research, Staff working papers Topic(s): Coronavirus disease (COVID-19), Domestic demand and components, Payment clearing and settlement systems, Recent economic and financial developments JEL Code(s): C, C2, C22, C5, C55, D, D1, D12, E, E2, E21, E4, E42, E5, E52

• From He-Cession to She-Stimulus? The Labor Market Impact of Fiscal Policy Across Gender

  Staff Working Paper 2021-42 Alica Ida Bonk, Laure Simon

  The effects of fiscal policy shocks on labour market outcomes across gender depend on the type of public expenditure. Women benefit most from increases in the government wage bill, while men are the main beneficiaries of higher investment spending.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Fiscal policy, Labour markets JEL Code(s): E, E3, E32, E6, E62, J, J1, J16, J2, J21
• August 31, 2021

  Research Update - August 2021

  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

• Reaching for yield or resiliency? Explaining the shift in Canadian pension plan portfolios

  Staff Analytical Note 2021-20 Sébastien Betermier, Nicholas Byrne, Jean-Sébastien Fontaine, Hayden Ford, Jason Ho, Chelsea Mitchell

  “Reach for yield”—This is the commonly heard explanation for why pension plans shift their portfolios toward alternative assets. But we show that the new portfolios also hold more bonds, offer lower average returns and produce smaller and less volatile solvency deficits. These shifts are part of a broader strategy to reduce solvency risk.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Financial institutions, Financial markets, Financial system regulation and policies JEL Code(s): G, G1, G11

• Household financial vulnerabilities and physical climate risks

  Staff Analytical Note 2021-19 Thibaut Duprey, Colin Jones, Callie Symmers, Geneviève Vallée

  Natural disasters occur more often than before, potentially exposing households to financial distress. We study the intersection between household financial vulnerabilities and severe weather events.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Climate change, Credit and credit aggregates, Financial stability, Housing, Recent economic and financial developments JEL Code(s): C, C2, C21, C3, C38, D, D1, D14, Q, Q5, Q54

• Fiscal Spillovers: The Case of US Corporate and Personal Income Taxes

  Staff Working Paper 2021-41 Madeline Hanson, Daniela Hauser, Romanos Priftis

  How do changes to personal and corporate income tax rates in the United States affect its trading partners? Spillover effects from cuts in the two taxes differ. They are generally small and negative for corporate taxes, but sizable and positive for personal income taxes.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Exchange rate regimes, Fiscal policy, International topics JEL Code(s): E, E3, E32, E6, E62, F, F4, F44, H, H2, H20