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93
result(s)
BoC–BoE Sovereign Default Database: Methodology and Assumptions
Technical Report No. 124
David Beers,
Obiageri Ndukwe,
Alex Charron
The Bank of Canada (BoC), in partnership with the Bank of England (BoE), developed a comprehensive database of sovereign defaults in 2014. The database is posted on the Bank of Canada’s website and updated annually. The BoC–BoE database draws on datasets published by various public and private sector sources. It combines elements of these, together with new information, to develop comprehensive estimates of stocks of government obligations in default.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Debt management,
Development economics,
Financial stability,
International financial markets
JEL Code(s):
F,
F3,
F34,
G,
G1,
G10,
G14,
G15
Risk Amplification Macro Model (RAMM)
Technical Report No. 123
Kerem Tuzcuoglu
The Risk Amplification Macro Model (RAMM) is a new nonlinear two-country dynamic model that captures rare but severe adverse shocks. The RAMM can be used to assess the financial stability implications of both domestic and foreign-originated risk scenarios.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Financial stability,
Monetary policy transmission
JEL Code(s):
C,
C5,
C51,
E,
E3,
E37,
E4,
E44,
F,
F4,
F44
Forecasting Banks’ Corporate Loan Losses Under Stress: A New Corporate Default Model
Technical Report No. 122
Gabriel Bruneau,
Thibaut Duprey,
Ruben Hipp
We present a new corporate default model, one of the building blocks of the Bank of Canada’s bank stress-testing infrastructure. The model is used to forecast corporate loan losses of the Canadian banking sector under stress.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Economic models,
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
C,
C2,
C22,
C5,
C52,
C53,
G,
G1,
G17,
G2,
G21,
G28
Historical Data on Repurchase Agreements from the Canadian Depository for Securities
Technical Report No. 121
Maxim Ralchenko,
Adrian Walton
We develop an algorithm that extracts information about sale and repurchase agreements (repos) from disaggregated settlement data in order to generate a new historical dataset for research.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C5,
C55,
C8,
C81,
G,
G1,
G10
Assessing Climate-Related Financial Risk: Guide to Implementation of Methods
Technical Report No. 120
Hossein Hosseini,
Craig Johnston,
Craig Logan,
Miguel Molico,
Xiangjin Shen,
Marie-Christine Tremblay
A pilot project on climate transition scenarios by the Bank of Canada and the Office of the Superintendent of Financial Institutions assessed climate-related credit and market risks. This report describes the project’s methodologies and provides guidance on implementing them.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Climate change,
Credit and credit aggregates,
Econometric and statistical methods,
Financial stability
JEL Code(s):
C,
C5,
C53,
C8,
C83,
G,
G1,
G3,
G32
ToTEM III: The Bank of Canada’s Main DSGE Model for Projection and Policy Analysis
Technical Report No. 119
Paul Corrigan,
Hélène Desgagnés,
José Dorich,
Vadym Lepetyuk,
Wataru Miyamoto,
Yang Zhang
ToTEM III is the most recent generation of the Bank of Canada’s main dynamic stochastic general equilibrium model for projection and policy analysis. The model helps Bank staff tell clear and coherent stories about the Canadian economy’s current state and future evolution.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Business fluctuations and cycles,
Economic models,
Housing,
Interest rates,
Monetary policy
JEL Code(s):
E,
E1,
E17,
E2,
E20,
E3,
E30,
E4,
E40,
E5,
E50,
E6,
E62,
E65,
F,
F4,
F40,
F41,
G,
G5,
G51
Sample Calibration of the Online CFM Survey
Technical Report No. 118
Marie-Hélène Felt,
David Laferrière
The Canadian Financial Monitor (CFM) survey uses non-probability sampling for data collection, so selection bias is likely. We outline methods for obtaining survey weights and discuss the conditions necessary for these weights to eliminate selection bias. We obtain calibration weights for the 2018 and 2019 online CFM samples.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C8,
C81,
C83
BoC–BoE Sovereign Default Database: Methodology, Assumptions and Sources
Technical Report No. 117
David Beers,
Elliot Jones,
John Walsh
Until recently, few efforts have been made to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada (BoC) developed a comprehensive database of sovereign defaults that is posted on its website and updated in partnership with the Bank of England (BoE).
Content Type(s):
Staff research,
Technical reports
Topic(s):
Debt management,
Development economics,
Financial institutions,
International financial markets
JEL Code(s):
F,
F3,
F34,
G,
G1,
G10,
G14,
G15
IMPACT: The Bank of Canada’s International Model for Projecting Activity
Technical Report No. 116
Patrick Blagrave,
Claudia Godbout,
Justin-Damien Guénette,
René Lalonde,
Nikita Perevalov
We present the structure and features of the International Model for Projecting Activity (IMPACT), a global semi-structural model used to conduct projections and policy analysis at the Bank of Canada. Major blocks of the model are developed based on the rational error correction framework of Kozicki and Tinsley (1999), which allows the model to strike a balance between theoretical structure and empirical performance.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Economic models,
International topics
JEL Code(s):
C,
C6,
C68,
E,
E2,
E27,
E3,
E37,
F,
F0,
F01,
F3,
F32,
F4,
F47