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2360
result(s)
Large-Scale Asset Purchases: Impact on Commodity Prices and International Spillover Effects
Staff Working Paper 2015-21
Sharon Kozicki,
Lena Suchanek,
Eric Santor
Prices of commodities, including metals, energy and agricultural products, rose markedly over the 2009–2010 period. Some observers have attributed a significant part of this increase in commodity prices to the U.S. Federal Reserve’s large-scale asset purchase (LSAP) programs.
Changes in Payment Timing in Canada’s Large Value Transfer System
Staff Working Paper 2015-20
Nellie Zhang
This paper uncovers trends in payment timing in Canada’s Large Value Transfer System (LVTS) from 2003 to 2011. Descriptive analysis shows that LVTS payment activity has not been peaking in the late afternoon since 2008, and the improvement was most significant in 2009.
Content Type(s):
Staff working papers
Topic(s):
Payment clearing and settlement systems
JEL Code(s):
E,
E5,
E50,
G,
G2,
G20
Productive Misallocation and International Transmission of Credit Shocks
Staff Working Paper 2015-19
Yuko Imura,
Julia Thomas
We develop an asymmetric, two-country equilibrium business cycle model to study the role of international trade in transmitting and propagating the real effects of global financial shocks. Our model predicts that a recession in a large economy considerably alters a recession in its smaller trade partner, with distinct investment dynamics driving the transmission.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
Financial markets,
Financial stability,
International topics
JEL Code(s):
E,
E2,
E22,
E3,
E32,
E4,
E44,
F,
F4,
F41,
F44
Government and Private E-Money-Like Systems: Federal Reserve Notes and National Bank Notes
Staff Working Paper 2015-18
Warren E. Weber
The period from 1914 to 1935 in the United States is unique in that it was the only time that both privately-issued bank notes (national bank notes) and central bank-issued bank notes (Federal Reserve notes) were simultaneously in circulation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Digital currencies and fintech,
Financial services
JEL Code(s):
E,
E4,
E41,
E42,
E5,
E58
June 11, 2015
Assessing Vulnerabilities in the Canadian Financial System
The authors present the four common cyclical vulnerabilities that appear in financial systems, providing examples of qualitative and quantitative indicators used to monitor these vulnerabilities across different sectors. They also discuss other inputs to the vulnerability assessment and to the internal process used at the Bank of Canada for identifying, evaluating and communicating vulnerabilities and risks, and highlight some of the key challenges in assessing financial system vulnerabilities and risks.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Financial stability
JEL Code(s):
G,
G0,
G01,
G1,
G10,
G2,
G20
June 11, 2015
Canadian Open-End Mutual Funds: An Assessment of Potential Vulnerabilities
The authors examine the liquidity and leverage characteristics of Canadian long-term, open-end mutual funds in terms of their potential systemic effects on the Canadian mutual fund sector and on the Canadian financial system more broadly. In their overall assessment of this sector, they consider the regulation, market size and ownership structure of mutual funds in Canada and provide observations about the industry globally.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Financial institutions,
Financial markets
JEL Code(s):
G,
G2,
G23,
G28
Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates
Staff Working Paper 2015-17
Fuchun Li
The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal components.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods,
Interest rates
JEL Code(s):
C,
C1,
C12,
C14,
E,
E1,
E17,
E4,
E43,
G,
G1,
G12,
G2,
G20
Exploring Differences in Household Debt Across Euro Area Countries and the United States
Staff Working Paper 2015-16
Dimitris Christelis,
Michael Ehrmann,
Dimitris Georgarakos
We use internationally comparable household-level data for ten euro area economies and the United States to investigate cross-country differences in debt holdings and the potential of debt overhang.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Econometric and statistical methods,
International topics
JEL Code(s):
D,
D1,
D12,
E,
E2,
E21,
G,
G1,
G11
May 14, 2015
Inflation Dynamics in the Post-Crisis Period
Inflation rates in advanced economies experienced two consecutive puzzles during the period following the global financial crisis—unexpectedly high inflation from the end of 2009 to 2011 and unexpectedly low inflation from 2012 to the middle of 2014. We investigate these developments in two ways. First, we show that accounting for inflation expectations by households explains a significant share of the inflation puzzles at the international level. Second, we find that, for Canada, elevated competition in the retail sector is also important for understanding inflation dynamics in the post-crisis period.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Inflation and prices,
International topics,
Regional economic developments
JEL Code(s):
E,
E3,
E31,
E5,
F,
F4,
F41