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1901
result(s)
Interest Rate and Renewal Risk for Mortgages
Staff Analytical Note 2018-18
Olga Bilyk,
Cameron MacDonald,
Brian Peterson
In this note, we explore two types of risk faced by holders of mortgages and home equity lines of credit (HELOCs) in the context of rising interest rates: interest rate risk and renewal risk.
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,
E5,
G,
G2,
G21,
G28
Measuring Vulnerabilities in the Non-Financial Corporate Sector Using Industry- and Firm-Level Data
Staff Analytical Note 2018-17
Timothy Grieder,
Michal Lipsitz
Aggregate non-financial corporate debt-to-GDP has been growing rapidly in recent years and is at an all-time high. This growth began in 2011 and accelerated as the oil price shock affected the Canadian economy.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Financial stability,
Monetary and financial indicators,
Recent economic and financial developments,
Sectoral balance sheet
JEL Code(s):
G,
G0,
G01,
G3,
G32
Noisy Monetary Policy
Staff Working Paper 2018-23
Tatjana Dahlhaus,
Luca Gambetti
We introduce limited information in monetary policy. Agents receive signals from the central bank revealing new information (“news") about the future evolution of the policy rate before changes in the rate actually take place. However, the signal is disturbed by noise.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Financial markets,
Monetary policy implementation,
Monetary policy transmission
JEL Code(s):
C,
C1,
C18,
C3,
C32,
E,
E0,
E02,
E4,
E43,
E5,
E52
Applying the Wage-Common to Canadian Provinces
Staff Analytical Note 2018-16
Jonathan Lachaine
As at the national level, available sources of hourly wage data for Canadian provinces sometimes send conflicting signals about wage growth. This note has two objectives. First, we develop a common measure of provincial wages (the provincial wage-common) to better capture the underlying wage pressures, reflecting the overall trend across all data sources.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Econometric and statistical methods,
Labour markets,
Recent economic and financial developments
JEL Code(s):
C,
C3,
C38,
J,
J3
Bending the Curves: Wages and Inflation
Staff Analytical Note 2018-15
Dany Brouillette,
Madigan Dockrill,
Helen Lao,
Laurence Savoie-Chabot
As economic slack continues to be absorbed and the labour market tightens, wage growth and inflation could increase faster than expected, which would suggest convexity in their Phillips curves. This note investigates whether there is convexity in the Phillips curves for Canadian wage growth and inflation by testing different empirical approaches over the post-inflation-targeting period.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Inflation and prices,
Labour markets
JEL Code(s):
E,
E2,
E24,
E3,
E31,
J,
J3
How do Canadian Corporate Bond Mutual Funds Meet Investor Redemptions?
Staff Analytical Note 2018-14
Guillaume Ouellet Leblanc,
Rohan Arora
When investors redeem their fund shares for cash, fixed-income fund managers can choose whether to draw on their liquid holdings or sell bonds in the secondary market. We analyze the liquidity-management decisions of Canadian corporate bond mutual funds, focusing on the strategies they use to meet investor redemptions.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
G,
G1,
G2,
G20,
G23
Uncovered Return Parity: Equity Returns and Currency Returns
Staff Working Paper 2018-22
Edouard Djeutem,
Geoffrey R. Dunbar
We propose an uncovered expected returns parity (URP) condition for the bilateral spot exchange rate. URP implies that unilateral exchange rate equations are misspecified and that equity returns also affect exchange rates. Fama regressions provide evidence that URP is statistically preferred to uncovered interest rate parity (UIP) for nominal bilateral exchange rates between the US dollar and six countries (Australia, Canada, Japan, Norway, Switzerland and the UK) at the monthly frequency.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Exchange rates,
International financial markets
JEL Code(s):
E,
E4,
E43,
F,
F3,
F31,
G,
G1,
G15
Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement
Staff Working Paper 2018-21
Elena Goldman,
Xiangjin Shen
We explore properties of asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) models in the threshold GARCH (GTARCH) family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low-frequency macroeconomic volatility as well as an asymmetric response to past negative news in both autoregressive conditional heteroscedasticity (ARCH) and GARCH terms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Payment clearing and settlement systems
JEL Code(s):
C,
C5,
C58,
G,
G1,
G19,
G2,
G23,
G28
The (Un)Demand for Money in Canada
Staff Working Paper 2018-20
Casey Jones,
Geoffrey R. Dunbar
A novel dataset from the Bank of Canada is used to estimate the deposit functions for banknotes in Canada for three denominations: $1,000, $100 and $50. The broad flavour
of the empirical findings is that denominations are different monies, and the structural estimates identify the underlying sources of the non-neutrality.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Econometric and statistical methods
JEL Code(s):
C,
C3,
C31,
C36,
E,
E4,
E41