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2360
result(s)
Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions
Staff Working Paper 2017-33
Antonio Diez de los Rios
This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian dynamic term structure models that is easy to compute and asymptotically efficient, even when the number of countries is relatively large—a situation in which other recently proposed approaches lose their tractability.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods,
Exchange rates,
Interest rates
JEL Code(s):
E,
E4,
E43,
F,
F3,
F31,
G,
G1,
G12,
G15
Has Liquidity in Canadian Government Bond Markets Deteriorated?
Staff Analytical Note 2017-10
Sermin Gungor,
Jun Yang
This note presents measures of liquidity used by the Bank of Canada to monitor market conditions and discusses recent trends in Government of Canada (GoC) fixed-income market liquidity. Our results indicate that the Bank’s measures have improved since the financial crisis. Furthermore, GoC market liquidity deteriorated following several stressful events: the euro crisis in 2011, the taper tantrum in 2013 and the oil price shock in 2015. In all three cases, the deterioration remained within historical norms and liquidity returned to normal levels afterwards.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G14
How to Predict Financial Stress? An Assessment of Markov Switching Models
Staff Working Paper 2017-32
Benjamin Klaus,
Thibaut Duprey
This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a transition to a tranquil state.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Central bank research,
Econometric and statistical methods,
Financial markets,
Financial stability,
Financial system regulation and policies,
Monetary and financial indicators
JEL Code(s):
C,
C5,
C54,
G,
G0,
G01,
G1,
G15
Downward Nominal Wage Rigidity in Canada: Evidence Against a “Greasing Effect”
Staff Working Paper 2017-31
Joel Wagner
The existence of downward nominal wage rigidity (DNWR) has often been used to justify a positive inflation target. It is traditionally assumed that positive inflation could “grease the wheels” of the labour market by putting downward pressure on real wages, easing labour market adjustments during a recession.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation targets,
Labour markets
JEL Code(s):
E,
E2,
E24,
E5,
E52
Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data
Staff Working Paper 2017-30
Jose Fique
In complex and interconnected banking systems, counterparty risk does not depend only on the risk of the immediate counterparty but also on the risk of others in the network of exposures.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
C,
C6,
C63,
D,
D8,
D85,
G,
G2,
G21
Information Contagion and Systemic Risk
Staff Working Paper 2017-29
Co-Pierre Georg,
Toni Ahnert
We examine the effect of ex-post information contagion on the ex-ante level of systemic risk defined as the probability of joint bank default.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
G,
G0,
G01,
G1,
G11,
G2,
G21
Fintech: Is This Time Different? A Framework for Assessing Risks and Opportunities for Central Banks
Staff Discussion Paper 2017-10
Meyer Aaron,
Francisco Rivadeneyra,
Samantha Sohal
We investigate the risks and opportunities to the mandates of central banks arising from fintech developments.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Central bank research,
Digital currencies and fintech,
Financial institutions,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E42,
G,
G1,
G2,
L,
L1
Adoption of a New Payment Method: Theory and Experimental Evidence
Staff Working Paper 2017-28
Jasmina Arifovic,
John Duffy,
Janet Hua Jiang
We model the introduction of a new payment method, e.g., e-money, that competes with an existing payment method, e.g., cash. The new payment method involves relatively lower per-transaction costs for both buyers and sellers, but sellers must pay a fixed fee to accept the new payment method.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Digital currencies and fintech
JEL Code(s):
C,
C3,
C35,
C8,
C83,
C9,
C92,
E,
E4,
E41
Firm Heterogeneity, Technological Adoption, and Urbanization: Theory and Measurement
Staff Working Paper 2017-27
Alex Chernoff
This paper develops a model of firm heterogeneity, technological adoption, and urbanization. In the model, welfare is measured by household real income, and urbanization is measured by population density. I use the model to derive statistics that measure the effect of a new technology on productivity, welfare, and urbanization.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Productivity,
Regional economic developments
JEL Code(s):
N,
N6,
N61,
O,
O1,
O14,
R,
R1,
R13