June 8, 2017
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2360
result(s)
June 8, 2017
Using Market-Based Indicators to Assess Banking System Resilience
This report reviews the use of quantitative tools to gauge market participants’ assessment of banking system resilience. These measures complement traditional balance-sheet metrics and suggest that markets consider large Canadian banks to be better placed to weather adverse shocks than banks in other advanced economies. Compared with regulatory capital ratios, however, the measures suggest less improvement in banking system resilience since the pre-crisis period.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Financial institutions,
Financial markets,
Financial stability
JEL Code(s):
G,
G0,
G01,
G1,
G10,
G2,
G21
Downward Nominal Wage Rigidity, Inflation and Unemployment: New Evidence Using Micro‐Level Data
Staff Analytical Note 2017-6
Dany Brouillette,
Natalia Kyui
Recent evidence suggests that the extent of downward nominal wage rigidity (DNWR) in the Canadian labour market has risen following the 2008–09 recession (see Brouillette, Kostyshyna and Kyui 2016).
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Econometric and statistical methods,
Inflation and prices,
Labour markets
JEL Code(s):
E,
E2,
E24,
E3,
E31,
J,
J3,
J30
Should Central Banks Worry About Nonlinearities of their Large-Scale Macroeconomic Models?
Staff Working Paper 2017-21
Vadym Lepetyuk,
Lilia Maliar,
Serguei Maliar
How wrong could policymakers be when using linearized solutions to their macroeconomic models instead of nonlinear global solutions?
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Economic models
JEL Code(s):
C,
C6,
C61,
C63,
C68,
E,
E3,
E31,
E5,
E52
Volatility Risk and Economic Welfare
Staff Working Paper 2017-20
Shaofeng Xu
This paper examines the effects of time-varying volatility on welfare. I construct a tractable endogenous growth model with recursive preferences, stochastic volatility, and capital
adjustment costs.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models
JEL Code(s):
E,
E2,
E3
May 25, 2017
Project Jasper: Are Distributed Wholesale Payment Systems Feasible Yet?
Financial System Review - June 2017
James Chapman,
Rodney J. Garratt,
Scott Hendry,
Andrew McCormack,
Wade McMahon
This report describes a joint endeavour between public and private sectors to explore a wholesale payment system based on distributed ledger technology (DLT). They find that a stand-alone DLT system is unlikely to be as beneficial as a centralized payment system in terms of core operating costs; however, it could increase financial system efficiency as a result of integration with the broader financial market infrastructure.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Digital currencies and fintech,
Financial system regulation and policies,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E42,
E5,
E58,
G,
G2,
G28
Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns
Staff Working Paper 2017-19
Claudia Foroni,
Francesco Ravazzolo,
Barbara Sadaba
Increased sovereign credit risk is often associated with sharp currency movements. Therefore, expectations of the probability of a sovereign default event can convey important information regarding future movements of exchange rates.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Exchange rates,
International financial markets
JEL Code(s):
C,
C2,
C22,
C5,
C52,
C53,
F,
F3,
F31
The Welfare Effects of Protection: A General Equilibrium Analysis of Canada’s National Policy
Staff Working Paper 2017-18
Patrick Alexander,
Ian Keay
In this paper, we study the impact of Canada’s adoption of protectionist trade policy in 1879 on Canadian welfare. Under the National Policy the Canadian average weighted tariff increased from 14% to 21%. The conventional view is that this was a distortionary policy that negatively affected Canadian welfare.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
International topics,
Trade integration
JEL Code(s):
F,
F1,
F13,
F14,
F4,
F42,
F6,
F60,
N,
N7,
N71
Methodology for Assigning Credit Ratings to Sovereigns
Staff Discussion Paper 2017-7
Philippe Muller,
Jérôme Bourque
The investment of foreign exchange reserves or other asset portfolios requires an assessment of the credit quality of investment counterparties. Traditionally, foreign exchange reserve and asset managers have relied on credit rating agencies (CRAs) as the main source for credit assessments.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Credit risk management,
Foreign reserves management
JEL Code(s):
F,
F3,
F31,
G,
G2,
G24,
G28,
G3,
G32
Multilateral Development Bank Credit Rating Methodology: Overcoming the Challenges in Assessing Relative Credit Risk in Highly Rated Institutions Based on Public Data
Staff Discussion Paper 2017-6
David Xiao Chen,
Philippe Muller,
Hawa Wagué
The investment of foreign exchange reserves or other asset portfolios requires an assessment of the credit quality of counterparties. Traditionally, foreign exchange reserve managers and other investors have relied on credit rating agencies (CRAs) as the main source for credit assessments.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Credit risk management,
Foreign reserves management
JEL Code(s):
F,
F3,
F31,
G,
G2,
G24,
G28,
G3,
G32