Posts
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Challenges in Implementing Worst-Case Analysis
Worst-case analysis is used among financial regulators in the wake of the recent financial crisis to gauge the tail risk. We provide insight into worst-case analysis and provide guidance on how to estimate it. We derive the bias for the non-parametric heavy-tailed order statistics and contrast it with the semi-parametric extreme value theory (EVT) approach. -
May 31, 2018
Research Update - May 2018
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. -
Shaping the future: Policy shocks and the GDP growth distribution
Can central bank and government policies impact the risks around the outlook for GDP growth? We find that fiscal stimulus makes strong GDP growth more likely—even more so when monetary policy is constrained—rather than weak GDP growth less likely. Thus, fiscal stimulus should accelerate the recovery phase of the COVID-19 pandemic. -
Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach
We propose an early warning model for predicting the likelihood of a financial stress event for a given future time, and examine whether credit plays an important role in the model as a non-linear propagator of shocks. -
November 3, 2014
The Legacy of the Financial Crisis: What we know, and what we don’t
Bank of Canada Governor Stephen S. Poloz discusses the legacy of the financial crisis, what we know and what we don’t. -
Non-Linearities in the Output-Inflation Relationship: Some Empirical Results for Canada
This paper analyzes the short-run dynamic process of inflation in Canada and examines whether a systematic variation in the relationship between inflation and output can be detected over time. In the theoretical literature, different models of price-setting behaviour predict that the slope of the Phillips curve will be a function of macroeconomic conditions, implying a […] -
September 26, 2016
Integrating economies through trade affects monetary policy, Governor Poloz says
In the first annual Paul Storer Memorial Lecture on Canada–US relations, given at Western Washington University, Governor Poloz said that the evolution of international trade practices, such as building global value chains and establishing foreign affiliates, suggests that economies are becoming more integrated. -
December 5, 2007
Opening Statement before the House of Commons Standing Committee on Finance
Over time, it has become clear that the best contribution monetary policy can make to the promotion of the economic and financial welfare of Canada is to keep inflation low, stable, and predictable. -
December 24, 2004
Government of Canada Yield-Curve Dynamics, 1986-2003
A database of historical Government of Canada zero-coupon yield curves developed at the Bank of Canada is introduced in this article, which also includes an initial statistical analysis of the behaviour and evolution of the zero-coupon interest (spot) rates over the full period and two distinct subperiods. Specific areas of interest include the evolution of the levels of key interest rates and yield-curve measures over the sample as well as daily changes in the key interest rates and the yield-curve measures; the identification of a relatively small number of factors that drove the evolution of the yield curve; and the total returns that would have been realized by holding bonds of different maturities for a given holding period.