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2360
result(s)
Financial Frictions, Durable Goods and Monetary Policy
Staff Working Paper 2019-31
Ugochi Emenogu,
Leo Michelis
Financial frictions affect how much consumers spend on durable and non-durable goods. Borrowers can face both loan-to-value (LTV) constraints and payment-to-income (PTI) constraints.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial system regulation and policies,
Monetary policy
JEL Code(s):
E,
E4,
E44,
E5,
E52
Resolving Failed Banks: Uncertainty, Multiple Bidding & Auction Design
Staff Working Paper 2019-30
Jason Allen,
Robert Clark,
Brent Hickman,
Eric Richert
Bank resolution is costly. In the United States, the Federal Deposit Insurance Corporation (FDIC) typically resolves failing banks by auction.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial institutions
JEL Code(s):
C,
C5,
C57,
D,
D4,
D44,
G,
G2,
G21
Bridging Canadian Business Lending and Market-Based Risk Measures
Staff Analytical Note 2019-26
Guillaume Ouellet Leblanc,
Maxime Leboeuf
Lending to business is central to economic growth because it supports investment by firms. Knowing how market participants view risk in the financial system can give the Bank of Canada information about future growth in business loans. In this note, we look at three market-based risk measures and find that sudden increases in the perception of risk in the Canadian banking system are associated with a weaker outlook for business loans and real gross domestic product.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Business fluctuations and cycles,
Financial markets
JEL Code(s):
E,
E3,
E32,
E4,
E44,
G,
G1,
G12
Flight from Safety: How a Change to the Deposit Insurance Limit Affects Households’ Portfolio Allocation
Staff Working Paper 2019-29
H. Evren Damar,
Reint Gropp,
Adi Mordel
Deposit insurance protects depositors from failing banks, thus making insured deposits risk-free. When a deposit insurance limit is increased, some deposits that previously were uninsured become insured, thereby increasing the share of risk-free assets in households’ portfolios. This increase cannot simply be undone by households, because to invest in uninsured deposits, a household must first invest in insured deposits up to the limit. This basic insight is the starting point of the analysis in this paper.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial system regulation and policies
JEL Code(s):
D,
D1,
D14,
G,
G2,
G21,
G28,
L,
L5,
L51
Exploring Wage Phillips Curves in Advanced Economies
Staff Discussion Paper 2019-8
Rose Cunningham,
Vikram Rai,
Kristina Hess
We investigate the extent to which excess supply (demand) in labour markets contributes to a lower (higher) growth rate of average nominal wages for workers. Using panel methods on data from 10 advanced economies for 1992–2018, we produce reduced-form estimates of a wage Phillips curve specification that is consistent with a New Keynesian framework.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Inflation and prices,
Labour markets,
Monetary policy
JEL Code(s):
C,
C3,
C33,
E,
E3,
E31,
E32
Using Exchange-Traded Funds to Measure Liquidity in the Canadian Corporate Bond Market
Staff Analytical Note 2019-25
Rohan Arora,
Guillaume Ouellet Leblanc,
Jabir Sandhu,
Jun Yang
We introduce a new proxy for measuring corporate bond liquidity, using the price of exchange-traded funds (ETFs) that hold corporate bonds. It measures the average liquidity across 900 corporate bonds every day, many more than other proxies used in previous Bank of Canada analysis. The new proxy nonetheless paints a very similar picture of liquidity conditions and confirms the previous findings: the liquidity of bonds has generally improved since 2010.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G14
A Tale of Two Countries: Cash Demand in Canada and Sweden
Staff Discussion Paper 2019-7
Walter Engert,
Ben Fung,
Björn Segendorf
Cash use for payments has been steadily decreasing in many countries, including Canada and Sweden. This might suggest an evolution toward a cashless society. But in Canada, cash in circulation relative to GDP has been stable for decades and has even increased in recent years. By contrast, the cash-to-GDP ratio in Sweden has been falling steadily. What has caused this difference? Are there lessons to be learned from comparing the Canadian and Swedish experiences?
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Bank notes,
Digital currencies and fintech,
Financial services,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E41,
E42,
E5
The Formation of House Price Expectations in Canada: Evidence from a Randomized Information Experiment
Staff Analytical Note 2019-24
Marc-André Gosselin,
Mikael Khan,
Matthieu Verstraete
We conduct a randomized information experiment leveraging the Canadian Survey of Consumer Expectations. We provide causal evidence that respondents revise both their short- and medium-term expectations of future house price growth in a way that is consistent with observed short-term momentum in house prices. However, empirically, house price growth tends to revert to its mean in the medium term.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial stability,
Housing
JEL Code(s):
C,
C9,
D,
D8,
D84,
R,
R2,
R21
Tail Index Estimation: Quantile-Driven Threshold Selection
Staff Working Paper 2019-28
Jon Danielsson,
Lerby Ergun,
Casper G. de Vries,
Laurens de Haan
The most extreme events, such as economic crises, are rare but often have a great impact. It is difficult to precisely determine the likelihood of such events because the sample is small.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial stability
JEL Code(s):
C,
C0,
C01,
C1,
C14,
C5,
C58