Staff discussion papers are completed staff research studies on a wide variety of subjects relevant to central bank policy.
284
result(s)
Méthodologie de construction de séries de taux de défaut pour l’industrie canadienne
Staff Discussion Paper 2013-2
Ramdane Djoudad,
Étienne Bordeleau
Default rates are series commonly used in stress testing. In Canada, as in many other countries, there are no historical series available for sectoral default rates on bank loans to firms.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Econometric and statistical methods,
Financial institutions,
Financial stability
JEL Code(s):
C,
C1,
C13,
C18,
G,
G2,
G21,
G3,
G33
Asking About Wages: Results from the Bank of Canada’s Wage Setting Survey of Canadian Companies
Staff Discussion Paper 2013-1
David Amirault,
Paul Fenton,
Thérèse Laflèche
The Bank of Canada conducted a Wage Setting Survey with a sample of 200 private sector firms from mid-October 2007 to May 2008. Results indicate that wage adjustments for the Canadian non-union private workforce are overwhelmingly time dependent, with a fixed duration of one year, and are clustered in the first four months of the year, suggesting that wage stickiness may not be constant over the year.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Labour markets,
Monetary policy transmission
JEL Code(s):
E,
E2,
E24,
J,
J3,
J33,
M,
M5,
M52
How Important Are Liquidity Constraints for Canadian Households? Evidence from Micro-Data
Staff Discussion Paper 2012-9
Umar Faruqui,
Samah Torchani
Using a unique micro-dataset containing real and financial information on Canadian households for 2000–07, the authors address two questions: (1) What is the proportion of households whose consumption displays excess sensitivity to income, and who are likely liquidity constrained?
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Economic models,
Sectoral balance sheet
JEL Code(s):
C,
C3,
C35,
D,
D1,
D12,
D3,
D30
Extracting Information from the Business Outlook Survey Using Statistical Approaches
Staff Discussion Paper 2012-8
Lise Pichette
Since the autumn of 1997, the regional offices of the Bank of Canada have conducted quarterly consultations with businesses across Canada. These consultations, summarized in the Business Outlook Survey (BOS), are structured around a survey questionnaire that covers topics of importance to the Bank, notably business activity, pressures on production capacity, prices and inflation, and credit conditions.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Business fluctuations and cycles,
Regional economic developments
JEL Code(s):
C,
C4,
C43,
C8,
C82,
E,
E3,
E37
Canadian Bank Balance-Sheet Management: Breakdown by Types of Canadian Financial Institutions
Staff Discussion Paper 2012-7
David Xiao Chen,
H. Evren Damar,
Hani Soubra,
Yaz Terajima
The authors document leverage, capital and liquidity ratios of banks in Canada. These ratios are important indicators of different types of risk with respect to a bank’s balance‐sheet management. Particular attention is given to the observations by different types of banks, including small banks that historically received less attention.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G28
The Bank of Canada’s 2009 Methods-of-Payment Survey: Methodology and Key Results
Staff Discussion Paper 2012-6
Carlos Arango,
Angelika Welte
The authors present the methodology and main findings of the Bank of Canada’s 2009 Methods-of-Payment survey, a detailed investigation of consumer payment behaviour in Canada. The survey targeted the 18- to 75-year-old Canadian resident population.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Bank notes,
Financial services,
Payment clearing and settlement systems
JEL Code(s):
E,
E4
The U.S.-Dollar Supranational Zero-Coupon Curve
Staff Discussion Paper 2012-5
Francisco Rivadeneyra
The author describes the construction of the U.S.-dollar-denominated zero-coupon curve for the supranational asset class from 1995 to 2010. He uses yield data from a crosssection of bonds issued by AAA-rated supranational entities to fit the Svensson (1995) term-structure model.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Asset pricing,
Financial markets
JEL Code(s):
G,
G1,
G12,
G15
A Note on Central Counterparties in Repo Markets
Staff Discussion Paper 2012-4
Hajime Tomura
The author introduces a central counterparty (CCP) into a model of a repo market. Without the CCP, there exist multiple equilibria in the model. In one of the equilibria, a repo market emerges as bond dealers and cash investors choose to arrange repos in an over-the-counter bond market.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial markets,
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
G,
G2,
G24
A Framework to Assess Vulnerabilities Arising from Household Indebtedness Using Microdata
Staff Discussion Paper 2012-3
Ramdane Djoudad
Rising levels of household indebtedness have created concerns about the vulnerabilities of households to adverse economic shocks and the impact on financial stability. To assess these risks, the author presents a formal stress-testing framework that uses microdata to simulate how various economic shocks affect the distribution of the debt-service ratio (DSR) for the household sector.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Econometric and statistical methods,
Financial stability
JEL Code(s):
C,
C1,
C15,
C3,
C31,
D,
D1,
D14,
E,
E5,
E51