Find our research on the financial system by keyword, author, content type, JEL code, topic or date of publication.
452
result(s)
An Equilibrium Analysis of the Rise in House Prices and Mortgage Debt
Staff Working Paper 2013-9
Shaofeng Xu
This paper examines the contributions of population aging, mortgage innovation and historically low interest rates to the sharp rise in U.S. house prices and mortgage debt between 1994 and 2005.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Credit and credit aggregates,
Economic models
JEL Code(s):
E,
E2,
E21,
E4,
E44,
G,
G1,
G11,
R,
R2,
R21
Countercyclical Bank Capital Requirement and Optimized Monetary Policy Rules
Staff Working Paper 2013-8
Carlos De Resende,
Ali Dib,
René Lalonde,
Nikita Perevalov
Using BoC-GEM-Fin, a large-scale DSGE model with real, nominal and financial frictions featuring a banking sector, we explore the macroeconomic implications of various types of countercyclical bank capital regulations. Results suggest that countercyclical capital requirements have a significant stabilizing effect on key macroeconomic variables, but mostly after financial shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial institutions,
Financial stability,
International topics
JEL Code(s):
E,
E3,
E32,
E4,
E44,
E5,
G,
G1,
G2
To Link or Not To Link? Netting and Exposures Between Central Counterparties
Staff Working Paper 2013-6
Stacey Anderson,
Jean-Philippe Dion,
Héctor Pérez Saiz
This paper provides a framework to compare linked and unlinked CCP configurations in terms of total netting achieved by market participants and the total system default exposures that exist between participants and CCPs.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Payment clearing and settlement systems
JEL Code(s):
G,
G1,
G18,
G2,
G23
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
Financial Development and the Volatility of Income
Staff Working Paper 2013-4
Tiago Pinheiro,
Francisco Rivadeneyra,
Marc Teignier
This paper presents a general equilibrium model with endogenous collateral constraints to study the relationship between financial development and business cycle fluctuations in a cross-section of economies with different sizes of their financial sector.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial stability
JEL Code(s):
E,
E3,
E32,
E6,
E60
Real-financial Linkages through Loan Default and Bank Capital
Staff Working Paper 2013-3
Tamon Takamura
Many studies in macroeconomics argue that financial frictions do not amplify the impacts of real shocks. This finding is based on models without endogenous default on loans and bank capital. Using a model featuring endogenous interactions between firm default and bank capital, this paper revisits the propagation mechanisms of real and financial shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies,
Interest rates
JEL Code(s):
E,
E3,
E32,
E4,
E44,
E6,
E69
House Prices, Consumption and the Role of Non-Mortgage Debt
Staff Working Paper 2013-2
Katya Kartashova,
Ben Tomlin
This paper examines the relationship between house prices and consumption, through the use of debt. Using unique Canadian household-level data that reports the uses of debt, we begin by looking at the relationship between house prices and debt.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Domestic demand and components
JEL Code(s):
D,
D1,
D10,
D14,
D3,
D31,
E,
E2,
E21
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
On the Welfare Effects of Credit Arrangements
Staff Working Paper 2012-43
Jonathan Chiu,
Mei Dong,
Enchuan Shao
This paper studies the welfare effects of different credit arrangements and how these effects depend on the trading mechanism and inflation. In a competitive market, a deviation from the Friedman rule is always sub-optimal. Moreover, credit arrangements can be welfare-reducing, because increased consumption by credit users will drive up the price level so that money users have to reduce consumption when facing a binding liquidity restraint.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E40,
E5,
E50