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1901
result(s)
Which Model to Forecast the Target Rate?
Staff Working Paper 2017-60
Bruno Feunou,
Jean-Sébastien Fontaine,
Jianjian Jin
Specifications of the Federal Reserve target rate that have more realistic features mitigate in-sample over-fitting and are favored in the data.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43
Credit Risk Transfer and Bank Insolvency Risk
Staff Working Paper 2017-59
Maarten van Oordt
The present paper shows that, everything else equal, some transactions to transfer portfolio credit risk to third-party investors increase the insolvency risk of banks. This is particularly likely if a bank sells the senior tranche and retains a sufficiently large first-loss position.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit risk management,
Financial institutions,
Financial stability
JEL Code(s):
G,
G2,
G21,
G28,
G3,
G32
Variance Premium, Downside Risk and Expected Stock Returns
Staff Working Paper 2017-58
Bruno Feunou,
Ricardo Lopez Aliouchkin,
Roméo Tedongap,
Lai Xi
We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large cross-section of firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets
JEL Code(s):
G,
G1,
G12
Credit Crunches from Occasionally Binding Bank Borrowing Constraints
Staff Working Paper 2017-57
Tom D. Holden,
Paul Levine,
Jonathan Swarbrick
We present a model in which banks and other financial intermediaries face both occasionally binding borrowing constraints and costs of equity issuance. Near the steady state, these intermediaries can raise equity finance at no cost through retained earnings.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Economic models,
Financial markets
JEL Code(s):
E,
E2,
E22,
E3,
E32,
E5,
E51,
G,
G2
Recent Evolution of Canada’s Credit-to-GDP Gap: Measurement and Interpretation
Staff Analytical Note 2017-25
Timothy Grieder,
Dylan Hogg,
Thibaut Duprey
Over the past several years, the Bank for International Settlements has noted that Canada’s credit-to-GDP gap has widened and is above thresholds indicating future banking stress.
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):
D,
D1,
E,
E3,
E32,
G,
G0,
G01,
G1,
G2,
G21,
G3,
G30
A Barometer of Canadian Financial System Vulnerabilities
Staff Analytical Note 2017-24
Thibaut Duprey,
Tom Roberts
This note presents a composite indicator of Canadian financial system vulnerabilities—the Vulnerabilities Barometer. It aims to complement the Bank of Canada’s vulnerabilities assessment by adding a quantitative and synthesized perspective to the more granular (distributional) analysis presented in the Financial System Review.
Bitcoin Awareness and Usage in Canada
Staff Working Paper 2017-56
Christopher Henry,
Kim Huynh,
Gradon Nicholls
There has been tremendous discussion of Bitcoin, digital currencies and FinTech. However, there is limited empirical evidence of Bitcoin’s adoption and usage. We propose a methodology to collect a nationally representative sample using the Bitcoin Omnibus Survey (BTCOS) to track the ubiquity and usage of Bitcoin in Canada.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Digital currencies and fintech,
Econometric and statistical methods
JEL Code(s):
C,
C1,
C12,
E,
E4
Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models
Staff Working Paper 2017-55
Bruno Feunou,
Cédric Okou
This paper provides a novel methodology for estimating option pricing models based on risk-neutral moments. We synthesize the distribution extracted from a panel of option prices and exploit linear relationships between risk-neutral cumulants and latent factors within the continuous time affine stochastic volatility framework.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods
JEL Code(s):
G,
G1,
G12
What Drives Episodes of Settlement Fails in the Government of Canada Bond Market?
Staff Working Paper 2017-54
Jean-Sébastien Fontaine,
James Pinnington,
Adrian Walton
We study settlement fails for trades in the Government of Canada bond market. We find that settlement fails do not occur independently. Using a novel and comprehensive dataset, we examine three drivers of fails.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
G,
G1,
G2,
G21,
L,
L1