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1901
result(s)
Canadian Repo Market Ecology
Staff Discussion Paper 2016-8
Corey Garriott,
Kyle Gray
This is the first of the Financial Markets Department’s descriptions of Canadian financial industrial organization. The document discusses the organization of the repurchase-agreement (repo) market in Canada.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
G,
G1,
G18,
G2,
G21,
G23
The Dynamics of Capital Flow Episodes
Staff Working Paper 2016-9
Christian Friedrich,
Pierre Guérin
This paper proposes a novel methodology for identifying episodes of strong capital flows based on a regime-switching model. In comparison with the existing literature, a key advantage of our methodology is to estimate capital flow regimes without the need for context- and sample-specific assumptions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International financial markets,
International topics,
Monetary policy and uncertainty
JEL Code(s):
F,
F2,
F21,
F3,
F32,
G,
G1,
G11
The Evolution of the Chinese Housing Market and Its Impact on Base Metal Prices
Staff Discussion Paper 2016-7
Mark Kruger,
Kun Mo,
Benjamin Sawatzky
The Chinese housing market has grown rapidly following its liberalization in the 1990s, generating significant economic activity and demand for base metals. In this paper, we discuss the evolution of the Chinese housing market and quantify its importance for the overall Chinese economy and its linkages to base metal prices.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
International topics
JEL Code(s):
Q,
Q3,
Q31,
R,
R3,
R31
Wait a Minute: The Efficacy of Discounting versus Non-Pecuniary Payment Steering
Staff Working Paper 2016-8
Angelika Welte
Merchants who accept credit cards face payment processing fees. In most countries, the no-surcharge rule prohibits them from using surcharges to pass these fees on to customers.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Market structure and pricing,
Payment clearing and settlement systems
JEL Code(s):
D,
D1,
D12,
E,
E5,
E58,
G,
G2,
G28
Understanding Firms’ Inflation Expectations Using the Bank of Canada’s Business Outlook Survey
Staff Working Paper 2016-7
Simon Richards,
Matthieu Verstraete
Inflation expectations are a key determinant of actual and future inflation and thus matter for the conduct of monetary policy. We study how firms form their inflation expectations using quarterly firm-level data from the Bank of Canada’s Business Outlook Survey, spanning the 2001 to 2015 period.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Credibility,
Econometric and statistical methods,
Firm dynamics,
Inflation and prices,
Inflation targets,
Monetary policy framework
JEL Code(s):
C,
C1,
C2,
C25,
D,
D2,
D21,
D8,
D84,
E,
E3,
E31,
E5,
E52,
E58
A Microfounded Design of Interconnectedness-Based Macroprudential Policy
Staff Working Paper 2016-6
Jose Fique
To address the challenges posed by global systemically important banks (G-SIBs), the Basel Committee on Banking Supervision recommended an “additional loss absorbency requirement” for these institutions. Along these lines, I develop a microfounded design of capital surcharges that target the interconnectedness component of systemic risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial system regulation and policies
JEL Code(s):
D,
D8,
D82,
D85,
G,
G2,
G21,
G28
Macroeconomic Uncertainty Through the Lens of Professional Forecasters
Staff Working Paper 2016-5
Soojin Jo,
Rodrigo Sekkel
We analyze the evolution of macroeconomic uncertainty in the United States, based on the forecast errors of consensus survey forecasts of different economic indicators. Comprehensive information contained in the survey forecasts enables us to capture a real-time subjective measure of uncertainty in a simple framework.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods
JEL Code(s):
C,
C3,
C38,
E,
E1,
E17,
E3,
E32
To Share or Not to Share? Uncovered Losses in a Derivatives Clearinghouse
Staff Working Paper 2016-4
Radoslav Raykov
This paper studies how the allocation of residual losses affects trading and welfare in a central counterparty. I compare loss sharing under two loss-allocation mechanisms – variation margin haircutting and cash calls – and study the privately and socially optimal degree of loss sharing.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Payment clearing and settlement systems
JEL Code(s):
G,
G1,
G19,
G2,
G21
Monetary Commitment and the Level of Public Debt
Staff Working Paper 2016-3
Stefano Gnocchi,
Luisa Lambertini
We analyze the interaction between committed monetary policy and discretionary fiscal policy in a model with public debt, endogenous government expenditures, distortive taxation and nominal rigidities.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credibility,
Fiscal policy,
Inflation targets,
Monetary policy framework
JEL Code(s):
E,
E2,
E24,
E3,
E32,
E5,
E52