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2399
result(s)
A Dynamic Factor Model for Commodity Prices
Staff Analytical Note 2017-12
Doga Bilgin,
Reinhard Ellwanger
In this note, we present the Commodities Factor Model (CFM), a dynamic factor model for a large cross-section of energy and non-energy commodity prices. The model decomposes price changes in commodities into a common “global” component, a “block” component confined to subgroups of economically related commodities and an idiosyncratic price shock component.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Econometric and statistical methods,
Recent economic and financial developments
JEL Code(s):
C,
C5,
C51,
Q,
Q0,
Q02
Changes in Monetary Regimes and the Identification of Monetary Policy Shocks: Narrative Evidence from Canada
Staff Working Paper 2017-39
Julien Champagne,
Rodrigo Sekkel
We use narrative evidence along with a novel database of real-time data and forecasts from the Bank of Canada's staff economic projections from 1974 to 2015 to construct a new measure of monetary policy shocks and estimate the effects of monetary policy in Canada.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Central bank research,
Econometric and statistical methods,
Exchange rate regimes,
Inflation and prices,
Inflation targets,
Interest rates,
Monetary policy,
Monetary policy framework
JEL Code(s):
E,
E3,
E31,
E32,
E4,
E43,
E5,
E52,
E58
A Counterfactual Valuation of the Stock Index as a Predictor of Crashes
Staff Working Paper 2017-38
Tom Roberts
Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon—instead, I shift focus to severe downside risk (i.e., crashes).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial stability
JEL Code(s):
G,
G0,
G01,
G1,
G12,
G17,
G19
Aggregate Fluctuations and the Role of Trade Credit
Staff Working Paper 2017-37
Lin Shao
In an economy where production takes place in multiple stages and is subject to financial frictions, how firms finance intermediate inputs matters for aggregate outcomes. This paper focuses on trade credit—the lending and borrowing of input goods between firms—and quantifies its aggregate impacts during the Great Recession.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Firm dynamics
JEL Code(s):
E,
E3,
E32,
E4,
E44,
E5,
E51
The MacroFinancial Risk Assessment Framework (MFRAF), Version 2.0
Technical Report No. 111
Jose Fique
This report provides a detailed technical description of the updated MacroFinancial Risk Assessment Framework (MFRAF), which replaces the version described in Gauthier, Souissi and Liu (2014) as the Bank of Canada’s stress-testing model for banks with a focus on domestic systemically important banks (D-SIBs).
Content Type(s):
Staff research,
Technical reports
Topic(s):
Financial stability,
Financial system regulation and policies
JEL Code(s):
C,
C7,
C72,
E,
E5,
E58,
G,
G0,
G01,
G2,
G21,
G28
The Rise of Non-Regulated Financial Intermediaries in the Housing Sector and its Macroeconomic Implications
Staff Working Paper 2017-36
Hélène Desgagnés
I examine the impact of non-regulated lenders in the mortgage market using a dynamic stochastic general equilibrium (DSGE) model. My model features two types of financial intermediaries that differ in three ways: (i) only regulated intermediaries face a capital requirement, (ii) non-regulated intermediaries finance themselves by selling securities and cannot accept deposits, and (iii) non-regulated intermediaries face a more elastic demand.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
Financial system regulation and policies,
Housing
JEL Code(s):
E,
E3,
E32,
E4,
E44,
E47,
E6,
E60,
G,
G2,
G21,
G23,
G28
Do Canadian Broker-Dealers Act as Agents or Principals in Bond Trading?
Staff Analytical Note 2017-11
Daniel Hyun,
Jesse Johal,
Corey Garriott
Technology, risk tolerance and regulation may influence dealers to reduce their trading as principals (using their own balance sheets for sales and purchases of securities) in favour of agency trading (matching client trades).
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial institutions,
Financial markets,
Financial system regulation and policies,
Market structure and pricing,
Recent economic and financial developments
JEL Code(s):
G,
G1,
G14,
G2,
G20,
L,
L1
Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?
Staff Working Paper 2017-35
Christiane Baumeister,
Reinhard Ellwanger,
Lutz Kilian
It is commonly believed that the response of the price of corn ethanol (and hence of the price of corn) to shifts in biofuel policies operates in part through market expectations and shifts in storage demand, yet to date it has proved difficult to measure these expectations and to empirically evaluate this view.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Recent economic and financial developments
JEL Code(s):
Q,
Q1,
Q18,
Q2,
Q28,
Q4,
Q42,
Q5,
Q58
Cross-Border Bank Flows and Monetary Policy: Implications for Canada
Staff Working Paper 2017-34
Ricardo Correa,
Teodora Paligorova,
Horacio Sapriza,
Andrei Zlate
Using the Bank for International Settlements (BIS) Locational Banking Statistics data on bilateral bank claims from 1995 to 2014, we analyze the impact of monetary policy on cross-border bank flows. We find that monetary policy in a source country is an important determinant of cross-border bank flows.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Monetary policy
JEL Code(s):
F,
F3,
F34,
F36,
G,
G0,
G01