Find our research on the financial system by keyword, author, content type, JEL code, topic or date of publication.
452
result(s)
Consumption, Housing Collateral, and the Canadian Business Cycle
Staff Working Paper 2009-26
Ian Christensen,
Paul Corrigan,
Caterina Mendicino,
Shin-Ichi Nishiyama
Using Bayesian methods, we estimate a small open economy model in which consumers face limits to credit determined by the value of their housing stock. The purpose of this paper is to quantify the role of collateralized household debt in the Canadian business cycle.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Monetary policy transmission
JEL Code(s):
E,
E2,
E21,
E3,
E32,
E4,
E44,
E5,
E52,
R,
R2,
R21
Credit Constraints and Consumer Spending
Staff Working Paper 2009-25
Kimberly Beaton
This paper examines the relationship between aggregate consumer spending and credit availability in the United States. The author finds that consumer spending falls (rises) in response to a reduction (increase) in credit availability.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Domestic demand and components,
Recent economic and financial developments
JEL Code(s):
E,
E2,
E21,
E27,
E4,
E44,
E5,
E51,
E58
Short Changed? The Market's Reaction to the Short Sale Ban of 2008
Staff Working Paper 2009-23
Louis Gagnon,
Jonathan Witmer
Do short sales restrictions have an impact on security prices? We address this question in the context of a natural experiment surrounding the short sale ban of 2008 using a comprehensive sample of Canadian stocks cross-listed in the U.S.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics
JEL Code(s):
F,
F3,
F30,
G,
G0,
G01,
G1,
G18,
G2,
G20
A Financial Conditions Index for the United States
Staff Discussion Paper 2009-11
Kimberly Beaton,
René Lalonde,
Corinne Luu
The financial crisis of 2007–09 has highlighted the importance of developments in financial conditions for real economic activity. The authors estimate the effect of current and past shocks to financial variables on U.S. GDP growth by constructing two growthbased financial conditions indexes (FCIs) that measure the contribution to quarterly (annualized) GDP growth from financial conditions.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Business fluctuations and cycles,
Monetary and financial indicators,
Monetary conditions index,
Recent economic and financial developments
JEL Code(s):
E,
E3,
E32,
E4,
E44,
E47,
E5,
E51
The Role of Convenience and Risk in Consumers' Means of Payment
Staff Discussion Paper 2009-8
Carlos Arango,
Varya Taylor
Using data from a 2004 survey of the Canadian public, the authors study the role of convenience and risk in consumers' use of cash relative to debit and credit cards. The authors find that consumers who perceive debit cards and credit cards to be more convenient and less risky than cash use them more frequently.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Bank notes
JEL Code(s):
E,
E4,
E41,
L,
L2
Household Debt, Assets, and Income in Canada: A Microdata Study
Staff Discussion Paper 2009-7
Césaire Meh,
Yaz Terajima,
David Xiao Chen,
Thomas J. Carter
The authors use microdata from the 1999 and 2005 Surveys of Financial Security to identify changes in household debt, and discuss their potential implications for monetary policy and financial stability. They document an increase in the debt-income ratio, which rose from 0.75 to 0.95, on average.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Credit and credit aggregates,
Financial stability,
Productivity,
Sectoral balance sheet
JEL Code(s):
E,
E2,
E21,
E24
The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness
Staff Working Paper 2009-20
Bruno Feunou,
Jean-Sébastien Fontaine,
Roméo Tedongap
We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and risk-neutral volatilities is a function of the risk premium and of skewness.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G13
Simulations du ratio du service de la dette des consommateurs en utilisant des données micro
Staff Working Paper 2009-18
Ramdane Djoudad
The author constructs a formal analytic framework to simulate the impact of various economic shocks on the household debt-service ratio, using data from the Canadian Financial Monitor (CFM) survey.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial stability
JEL Code(s):
C,
C1,
C15,
C3,
C31,
D,
D1,
D14,
E,
E5,
E51
Heterogeneous Beliefs and Housing-Market Boom-Bust Cycles in a Small Open Economy
Staff Working Paper 2009-15
Hajime Tomura
This paper introduces heterogeneous beliefs among households in a small open economy model for the Canadian economy. The model suggests that simultaneous boom-bust cycles in house prices, output, investment, consumption and hours worked emerge when credit-constrained mortgage borrowers expect that future house prices will rise and this expectation is neither shared by savers nor realized ex-post.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial stability,
Inflation targets
JEL Code(s):
E,
E4,
E44,
E5,
E52