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786
result(s)
BoC-BoE Sovereign Default Database: What’s New in 2020?
Staff Analytical Note 2020-13
David Beers,
Elliot Jones,
John Walsh
The Boc–BoE database of sovereign debt defaults, published and updated annually by the Bank of Canada and the Bank of England, provides comprehensive estimates of stocks of government obligations in default. The 2020 edition includes a new section examining the scale of domestic arrears in 2018.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Debt management,
Development economics,
Financial stability,
International financial markets
JEL Code(s):
F,
F3,
F34,
G,
G1,
G10,
G14,
G15
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
Monetary Policy Independence and the Strength of the Global Financial Cycle
Staff Working Paper 2020-25
Christian Friedrich,
Pierre Guérin,
Danilo Leiva-Leon
We propose a new strength measure of the global financial cycle by estimating a regime-switching factor model on cross-border equity flows for 61 countries. We then assess how the strength of the global financial cycle affects monetary policy independence, which is defined as the response of central banks' policy interest rates to exogenous changes in inflation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Exchange rate regimes,
Financial system regulation and policies,
International financial markets,
Monetary policy
JEL Code(s):
E,
E4,
E5,
F,
F3,
F32,
F4,
F42,
G,
G1,
G15,
G18
Household indebtedness risks in the wake of COVID‑19
Staff Analytical Note 2020-8
Olga Bilyk,
Anson T. Y. Ho,
Mikael Khan,
Geneviève Vallée
COVID-19 presents challenges for indebted households. We assess these by drawing parallels between pandemics and natural disasters. Taking into account the financial health of the household sector when the pandemic began, we run model simulations to illustrate how payment deferrals and the labour market recovery will affect mortgage defaults.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Climate change,
Coronavirus disease (COVID-19),
Credit and credit aggregates,
Econometric and statistical methods,
Financial stability,
Fiscal policy,
Housing,
Recent economic and financial developments,
Sectoral balance sheet
JEL Code(s):
C,
C2,
C21,
D,
D1,
D12,
D14,
E,
E2,
E24,
E27,
E6,
E62,
G,
G2,
G21,
G28,
R,
R2
Canadian Financial Stress and Macroeconomic Conditions
Staff Discussion Paper 2020-4
Thibaut Duprey
Severe disruptions in the financial markets, as observed during the 2008 global financial crisis or the COVID-19 pandemic, can impair the stability of the entire financial system and worsen macroeconomic downturns.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Central bank research,
Coronavirus disease (COVID-19),
Financial markets,
Financial stability,
Monetary and financial indicators
JEL Code(s):
C,
C3,
C32,
E,
E4,
E44,
G,
G0,
G01
How Do Mortgage Rate Resets Affect Consumer Spending and Debt Repayment? Evidence from Canadian Consumers
Staff Working Paper 2020-18
Katya Kartashova,
Xiaoqing Zhou
We study the causal effect of mortgage rate changes on consumer spending, debt repayment and defaults during an expansionary and a contractionary monetary policy episode in Canada. We find asymmetric responses of consumer durable spending, deleveraging and defaults. These findings help us to understand household sector response to interest rate changes.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Interest rates,
Monetary policy,
Monetary policy transmission
JEL Code(s):
D,
D1,
D12,
D14,
E,
E4,
E43,
E5,
E52,
G,
G2,
G21,
R,
R3,
R31
Endogenous Time Variation in Vector Autoregressions
Staff Working Paper 2020-16
Danilo Leiva-Leon,
Luis Uzeda
We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence — contemporaneously and with a lag — the dynamics of the intercept and autoregressive coefficients in these models.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Inflation and prices,
Monetary policy transmission
JEL Code(s):
C,
C1,
C11,
C3,
C32,
E,
E3,
E31,
E5,
E52
Multi-Product Pricing: Theory and Evidence from Large Retailers in Israel
Staff Working Paper 2020-12
Marco Bonomo,
Carlos Carvalho,
Oleksiy Kryvtsov,
Sigal Ribon,
Rodolfo Rigato
Standard theories of price adjustment are based on the problem of a single-product firm, and therefore they may not be well suited to analyze price dynamics in the economy with multiproduct firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Market structure and pricing,
Monetary policy
JEL Code(s):
D,
D2,
D21,
D22,
E,
E3,
E31,
E5,
E52,
L,
L1,
L11
Do Protectionist Trade Policies Integrate Domestic Markets? Evidence from the Canada-U.S. Softwood Lumber Dispute
Staff Working Paper 2020-10
Jinggang Guo,
Craig Johnston
We consider the effects of protectionist trade policies on international and domestic market integration, using evidence from the long-standing softwood lumber trade dispute between Canada and the United States.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics,
Market structure and pricing,
Trade integration
JEL Code(s):
F,
F1,
F13,
Q,
Q1,
Q17