Find Bank of Canada research by keyword, author, content type, JEL code, topic or date of publication.
Receive notification by email whenever new research is added to the website.
1901
result(s)
An Alternative Estimate of Canadian Potential Output: The Multivariate State-Space Framework
Staff Discussion Paper 2018-14
Lise Pichette,
Maria Bernier,
Marie-Noëlle Robitaille
In this paper, we extend the state-space methodology proposed by Blagrave et al. (2015) and decompose Canadian potential output into trend labour productivity and trend labour input. As in Blagrave et al. (2015), we include output growth and inflation expectations from consensus forecasts to help refine our estimates.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Economic models,
Potential output
JEL Code(s):
C,
C5,
E,
E0,
E5
Macroprudential FX Regulations: Shifting the Snowbanks of FX Vulnerability?
Staff Working Paper 2018-55
Toni Ahnert,
Kristin Forbes,
Christian Friedrich,
Dennis Reinhardt
Can macroprudential foreign exchange (FX) regulations on banks reduce the financial and macroeconomic vulnerabilities created by borrowing in foreign currency? To evaluate the effectiveness and unintended consequences of macroprudential FX regulations, we develop a parsimonious model of bank and market lending in domestic and foreign currency and derive four predictions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial institutions,
Financial system regulation and policies,
International financial markets
JEL Code(s):
F,
F3,
F32,
F34,
G,
G1,
G15,
G2,
G21,
G28
Modelling the Macrofinancial Effects of a House Price Correction in Canada
Staff Analytical Note 2018-36
Thibaut Duprey,
Xuezhi Liu,
Cameron MacDonald,
Maarten van Oordt,
Sofia Priazhkina,
Xiangjin Shen,
Joshua Slive
We use a suite of risk-assessment models to examine the possible impact of a hypothetical house price correction, centred in the Toronto and Vancouver areas. We also assume financial stress significantly amplifies the macroeconomic impact of the house price decline.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial institutions,
Financial stability,
Housing
JEL Code(s):
E,
E2,
E27,
E3,
E37,
E4,
E44,
G,
G2,
G21
The Impact of Recent Policy Changes on the Canadian Mortgage Market
Staff Analytical Note 2018-35
Olga Bilyk,
Maria teNyenhuis
Recent policy changes are having a clear impact on the mortgage market. The number of new, highly indebted borrowers has fallen, and overall mortgage activity has slowed significantly.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Credit and credit aggregates,
Financial institutions,
Interest rates,
Recent economic and financial developments
JEL Code(s):
D,
D1,
E,
E4,
G,
G2,
G21,
G28
The Framework for Risk Identification and Assessment
Technical Report No. 113
Cameron MacDonald,
Virginie Traclet
Risk assessment models are an important component of the Bank’s analytical tool kit for assessing the resilience of the financial system. We describe the Framework for Risk Identification and Assessment (FRIDA), a suite of models developed at the Bank of Canada to quantify the impact of financial stability risks to the broader economy and a range of financial system participants (households, businesses and banks).
Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market-Based Stress Tests
Staff Working Paper 2018-54
Maarten van Oordt
How much capital do banks need as a buffer to absorb severe shocks? By using historical stock market data, market-based stress tests help estimate the magnitude of capital buffers necessary to absorb severe but plausible shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G1,
G10,
G2,
G21,
G28
Non-Performing Loans, Fiscal Costs and Credit Expansion in China
Staff Working Paper 2018-53
Huixin Bi,
Yongquan Cao,
Wei Dong
This paper studies how the credit expansion policy pursued by the Chinese government in an effort to stimulate its economy in the post-crisis period affects bank–firm loan contracts and the macroeconomy. We build a structural model with financial frictions in which the optimal loan contract reflects the trade-off between leverage and the probability of default.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Fiscal policy,
International topics
JEL Code(s):
E,
E4,
E44,
E6,
E62
Evaluating the Bank of Canada Staff Economic Projections Using a New Database of Real-Time Data and Forecasts
Staff Working Paper 2018-52
Julien Champagne,
Guillaume Poulin-Bellisle,
Rodrigo Sekkel
We present a novel database of real-time data and forecasts from the Bank of Canada’s staff economic projections. We then provide a forecast evaluation for GDP growth and CPI inflation since 1982: we compare the staff forecasts with those from commonly used time-series models estimated with real-time data and with forecasts from other professional forecasters and provide standard bias tests.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Economic models,
Inflation targets,
Monetary policy
JEL Code(s):
C,
C3,
C32,
E,
E1,
E17,
E3,
E37
Assessing Vulnerabilities in Emerging-Market Economies
Staff Discussion Paper 2018-13
Tatjana Dahlhaus,
Alexander Lam
This paper introduces a new tool to monitor economic and financial vulnerabilities in emerging-market economies. We obtain vulnerability indexes for several early warning indicators covering 26 emerging markets from 1990 to 2017 and use them to monitor the evolution of vulnerabilities before, during and after an economic or financial crisis.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
International topics,
Monetary and financial indicators,
Recent economic and financial developments
JEL Code(s):
C,
C8,
C82,
F,
F3,
F34,
G,
G0,
G01,
G1,
G15