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2378
result(s)
Should Bank Capital Regulation Be Risk Sensitive?
Staff Working Paper 2018-48
Toni Ahnert,
James Chapman,
Carolyn A. Wilkins
We present a simple model to study the risk sensitivity of capital regulation. A banker funds investment with uninsured deposits and costly capital, where capital resolves a moral hazard problem in the banker’s choice of risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G28
Challenges in Implementing Worst-Case Analysis
Staff Working Paper 2018-47
Jon Danielsson,
Lerby Ergun,
Casper G. de Vries
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.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability
JEL Code(s):
C,
C0,
C01,
C1,
C14,
C5,
C58
How Long Does It Take You to Pay? A Duration Study of Canadian Retail Transaction Payment Times
Staff Working Paper 2018-46
Geneviève Vallée
Using an exclusive data set of payment times for retail transactions made in Canada, I show that cash is the most time-efficient method of payment (MOP) when compared with payments by debit and credit cards. I model payment efficiency using Cox proportional hazard models, accounting for consumer choice of MOP.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Econometric and statistical methods,
Payment clearing and settlement systems
JEL Code(s):
C,
C2,
C25,
C3,
C36,
C4,
C41,
D,
D2,
D23,
E,
E4,
E41,
E42
Blockchain-Based Settlement for Asset Trading
Staff Working Paper 2018-45
Jonathan Chiu,
Thorsten Koeppl
Can securities be settled on a blockchain and, if so, what are the gains relative to existing settlement systems? We consider a blockchain that ensures delivery versus payment by linking transfers of assets with payments and operates using a proof-of-work protocol. The main benefit of a blockchain is faster and more flexible settlement, whereas the challenge is to avoid settlement fails when participants fork the chain to get rid of trading losses.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Digital currencies and fintech,
Economic models,
Financial markets,
Payment clearing and settlement systems
JEL Code(s):
G,
G2,
H,
H4,
P,
P4,
P43
Price Selection
Staff Working Paper 2018-44
Carlos Carvalho,
Oleksiy Kryvtsov
We propose a simple, model-free way to measure selection in price setting and its contribution to inflation dynamics. The proposed measure of price selection is based on the observed comovement between inflation and the average level from which adjusting prices depart.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Inflation and prices,
Monetary policy transmission
JEL Code(s):
E,
E3,
E31,
E5,
E51
Market Size and Entry in International Trade: Product Versus Firm Fixed Costs
Staff Working Paper 2018-43
Walter Steingress
This paper develops a theoretical framework to infer the nature of fixed costs from the relationship between entry patterns in international markets and destination market size. If fixed costs are at the firm level, firms take advantage of an intrafirm spillover by expanding firm-level product range (scope).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Firm dynamics,
International topics,
Trade integration
JEL Code(s):
F,
F1,
F12,
F14,
F2,
F23
Estimating the Impacts of Tariff Changes: Two Illustrative Scenarios
Staff Analytical Note 2018-29
Karyne B. Charbonneau,
Anthony Landry
We build upon new developments in the international trade literature to construct a quantitative Ricardian framework similar to Caliendo and Parro (2015) to isolate and estimate the long-run economic impacts of tariff changes.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Recent economic and financial developments,
Trade integration
JEL Code(s):
F,
F1,
F11,
F13,
F14,
F15,
F5,
F50,
F6,
F62,
F68
Responding to the First Era of Globalization: Canadian Trade Policy, 1870–1913
Staff Working Paper 2018-42
Ian Keay,
Patrick Alexander
In this paper we document Canada’s trade policy response to late-nineteenth- and earlytwentieth-century globalization. We link newly digitized annual product-specific data on the value of Canadian imports and duties paid from 1870–1913 to establishment-specific production and location information drawn from the manuscripts of the 1871 industrial census.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
International topics,
Trade integration
JEL Code(s):
F,
F1,
F13,
F14,
F4,
F42,
F6,
F60,
N,
N7,
N71
Weakness in Non-Commodity Exports: Demand versus Supply Factors
Staff Analytical Note 2018-28
José Dorich,
Vadym Lepetyuk,
Jonathan Swarbrick
We use the Terms-of-Trade Economic Model (ToTEM) to conduct demand- and supply-driven simulations, both of which deliver weakness in Canadian non-commodity exports relative to foreign activity in line with recent data.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
International topics,
Monetary policy,
Recent economic and financial developments,
Trade integration
JEL Code(s):
E,
E5,
E52,
F,
F1,
F10,
F14,
F17