C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling

• Filling in the Blanks: Network Structure and Interbank Contagion

  Staff Working Paper 2014-26 Kartik Anand, Ben Craig, Goetz von Peter

  The network pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial institutions, Financial stability JEL Code(s): C, C6, C63, D, D8, D85, G, G2, G21, L, L1, L14
• June 12, 2014

  Stress Testing the Canadian Banking System: A System-Wide Approach

  Financial System Review - June 2014 Kartik Anand, Guillaume Bédard-Pagé, Virginie Traclet

  Stress testing is an important tool used by financial authorities and entities around the world to evaluate potential risks to the financial system. Kartik Anand, Guillaume Bédard-Pagé and Virginie Traclet discuss different stress-testing approaches, with emphasis on the innovative and analytically rigorous model developed by the Bank of Canada: the MacroFinancial Risk Assessment Framework (MFRAF). They also present the stress-test results obtained in the context of the 2013 Canada Financial Sector Assessment Program led by the International Monetary Fund, including the important contributions made by the use of MFRAF in the exercise.

  Content Type(s): Publications, Financial System Review articles Topic(s): Financial institutions, Financial stability JEL Code(s): C, C6, C63, G, G0, G01, G2, G21

• Cash Management and Payment Choices: A Simulation Model with International Comparisons

  Staff Working Paper 2013-53 Carlos Arango, Yassine Bouhdaoui, David Bounie, Martina Eschelbach, Lola Hernández

  Despite various payment innovations, today, cash is still heavily used to pay for low-value purchases. This paper develops a simulation model to test whether standard implications of the theory on cash management and payment choices can explain the use of payment instruments by transaction size.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Financial services, International topics JEL Code(s): C, C6, C61, E, E4, E41, E47
• August 15, 2013

  Big Data Analysis: The Next Frontier

  Bank of Canada Review - Summer 2013 Nii Ayi Armah

  The formulation of monetary policy at the Bank of Canada relies on the analysis of a broad set of economic information. Greater availability of immediate and detailed information would improve real-time economic decision making. Technological advances have provided an opportunity to exploit “big data” - the vast amount of digital data from business transactions, social media and networked computers. Big data can be a complement to traditional information sources, offering fresh insight for the monitoring of economic activity and inflation.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Econometric and statistical methods, Monetary and financial indicators JEL Code(s): C, C5, C53, C6, C63, C8, C80

• Real-Financial Linkages in the Canadian Economy: An Input-Output Approach

  Staff Working Paper 2011-14 Danny Leung, Oana Secrieru

  The purpose of this paper is twofold. First, we provide a detailed social accounting matrix (SAM), which incorporates the income and financial flows into the standard input-output matrix, for the Canadian economy for 2004.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial markets, Sectoral balance sheet JEL Code(s): C, C6, C67, D, D5, D57

• Introducing the Bank of Canada's Projection Model for the Global Economy

  Technical Report No. 99 Jeannine Bailliu, Patrick Blagrave, James Rossiter

  To complement its existing set of tools to analyze and forecast developments in the global economy, the Bank of Canada recently developed a version of the Global Projection Model (GPM) jointly with staff at the International Monetary Fund.

  Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models, International topics JEL Code(s): C, C6, C68, E, E2, E27, E3, E37, F, F0, F01

• Monetary Policy Lag, Zero Lower Bound, and Inflation Targeting

  Staff Working Paper 2009-2 Shin-Ichi Nishiyama

  Although the concept of monetary policy lag has historical roots deep in the monetary economics literature, relatively little attention has been paid to the idea. In this paper, we build on Svensson's (1997) inflation targeting framework by explicitly taking into account the lagged effect of monetary policy and characterize the optimal monetary policy reaction function both in the absence and in the presence of the zero lower bound on the nominal interest rate.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation targets, Monetary policy framework, Monetary policy implementation JEL Code(s): C, C6, C63, E, E5, E52, E58

• Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective

  Staff Working Paper 2007-49 David Bolder, Shudan Liu

  The primary objective of this paper is to compare a variety of joint models of the term structure of interest rates and the macroeconomy.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Interest rates JEL Code(s): C, C0, C6, E, E4, G, G1

• The Bank of Canada's Version of the Global Economy Model (BoC-GEM)

  Technical Report No. 98 René Lalonde, Dirk Muir

  The Bank of Canada's version of the Global Economy Model (BoC-GEM) is derived from the model created at the International Monetary Fund by Douglas Laxton (IMF) and Paolo Pesenti (Federal Reserve Bank of New York and National Bureau of Economic Research).

  Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models, International topics JEL Code(s): C, C6, C68, E, E2, E27, E3, E37, F, F3, F32, F4, F47

• Computing Optimal Policy in a Timeless-Perspective: An Application to a Small-Open Economy

  Staff Working Paper 2007-32 Michel Juillard, Florian Pelgrin

  Since the contribution of Kydland and Prescott (1977), it is well known that the optimal Ramsey policy is time inconsistent. In a series of recent contributions, Woodford (2003) proposes a new methodology to circumvent this problem, namely the timeless perspective solution.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary policy framework JEL Code(s): C, C6, E, E5, E6