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454
result(s)
What has been putting upward pressure on CORRA?
Staff Analytical Note 2024-4
Boran Plong,
Neil Maru
From the autumn of 2023 into early 2024, the Canadian Overnight Repo Rate Average (CORRA), a measure of the cost of overnight general collateral Canadian dollar repos, was consistently well above the Bank’s target for the overnight rate. We find that, among several factors, long bond positions that require repo financing are the main driver of the recent upward pressure on CORRA.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets,
Interest rates,
Lender of last resort,
Monetary policy implementation
JEL Code(s):
D,
D4,
D5,
D53,
E,
E4,
E43,
E44,
E5,
E52,
G,
G1,
G12
Procyclicality in Central Counterparty Margin Models: A Conceptual Tool Kit and the Key Parameters
Staff Discussion Paper 2023-34
Alper Odabasioglu
Regulators need to provide effective procyclicality guidance, and central counterparties must design and calibrate their margin systems and procyclicality frameworks appropriately. To serve these needs, we provide a novel conceptual tool kit. Further, we highlight that the focus should be on the key margin system parameters in determining procyclicality.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Coronavirus disease (COVID-19),
Credit risk management,
Financial institutions,
Financial markets,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G0,
G01,
G2,
G23,
G28
Understanding the Systemic Implications of Climate Transition Risk: Applying a Framework Using Canadian Financial System Data
Staff Discussion Paper 2023-32
Gabriel Bruneau,
Javier Ojea Ferreiro,
Andrew Plummer,
Marie-Christine Tremblay,
Aidan Witts
Our study aims to gain insight on financial stability and climate transition risk. We develop a methodological framework that captures the direct effects of a stressful climate transition shock as well as the indirect—or systemic—implications of these direct effects. We apply this framework using data from the Canadian financial system.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Climate change,
Economic models,
Financial institutions,
Financial markets,
Financial stability
JEL Code(s):
C,
C6,
C63,
G,
G0,
G01,
G1,
G10,
G2,
G20,
Q,
Q5,
Q54
Supporting the Transition to Net-Zero Emissions: The Evolving Role of Central Banks
Staff Discussion Paper 2023-31
Karen McGuinness
While climate change was largely tackled by government policies in the past, central banks are increasingly grappling with the risks climate change poses. They are evaluating their operational policies to reflect these risks and the transition to a net-zero economy. This paper explores the trade-offs and considerations central banks face.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Central bank research,
Climate change,
Financial markets
JEL Code(s):
D,
D5,
D53,
E,
E5,
E58,
E6,
E63,
G,
G3,
G32,
Q,
Q5,
Q54
Central Bank Crisis Interventions: A Review of the Recent Literature on Potential Costs
Staff Discussion Paper 2023-30
Patrick Aldridge,
David Cimon,
Rishi Vala
Central banks’ actions to stabilize financial markets and implement monetary policy during crises may come with costs and side effects. We provide a literature review of these costs and discuss measures that may mitigate the negative impacts of crisis actions.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Central bank research,
Financial institutions,
Financial markets,
Financial stability,
Lender of last resort
JEL Code(s):
E,
E5,
E58,
G,
G1,
G10,
G2,
G20
Testing Collusion and Cooperation in Binary Choice Games
Staff Working Paper 2023-58
Erhao Xie
This paper studies the testable implication of players’ collusive or cooperative behaviour in a binary choice game with complete information. I illustrate the implementation of this test by revisiting the entry game between Walmart and Kmart.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Market structure and pricing
JEL Code(s):
C,
C5,
C57,
L,
L1,
L13
Digitalization: Prices of Goods and Services
Staff Discussion Paper 2023-27
Vivian Chu,
Tatjana Dahlhaus,
Christopher Hajzler
This paper outlines and assesses the various channels through which digitalization can affect prices of goods and services.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Digitalization,
Inflation and prices,
Market structure and pricing,
Monetary policy
JEL Code(s):
D,
D2,
E,
E3,
E31,
E5,
E52,
L,
L1,
L11
Borrow Now, Pay Even Later: A Quantitative Analysis of Student Debt Payment Plans
Staff Working Paper 2023-54
Michael Boutros,
Nuno Clara,
Francisco Gomes
We investigate alternative student debt contracts that defer payments and ease the burden of student loans on US households by preserving disposable income early in borrowers’ lives. Our model shows substantial welfare gains from these contracts relative to existing plans and gains similar to the Biden administration's proposals but with a significantly lower cost.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Economic models,
Financial markets,
Labour markets,
Market structure and pricing
JEL Code(s):
E,
E2,
G,
G5,
H,
H3
Estimating the Appropriate Quantity of Settlement Balances in a Floor System
Staff Discussion Paper 2023-26
Narayan Bulusu,
Matthew McNeely,
Kaetlynd McRae,
Jonathan Witmer
This paper presents two complementary approaches to estimating the appropriate quantity of settlement balances needed to effectively operate monetary policy under a floor system in Canada.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial markets,
Financial system regulation and policies,
Monetary policy implementation,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E41,
E42,
E5,
E52,
E58,
G,
G2,
G21,
G28