Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1302
result(s)
The Propagation of Regional Shocks in Housing Markets: Evidence from Oil Price Shocks in Canada
Staff Working Paper 2018-56
Lutz Kilian,
Xiaoqing Zhou
How do global oil price shocks spread through Canada’s economy? With Canada’s regionally diverse economy in mind, we explore the implications of oil price shocks for Canadian housing markets and regional economies. We show that the belief that oil price shocks only matter in oil-rich regions is false.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Housing,
International topics,
Labour markets,
Regional economic developments
JEL Code(s):
F,
F4,
F43,
Q,
Q3,
Q33,
Q4,
Q43,
R,
R1,
R12,
R3,
R31
Macroprudential FX Regulations: Shifting the Snowbanks of FX Vulnerability?
Staff Working Paper 2018-55
Toni Ahnert,
Kristin Forbes,
Christian Friedrich,
Dennis Reinhardt
Can macroprudential foreign exchange (FX) regulations on banks reduce the financial and macroeconomic vulnerabilities created by borrowing in foreign currency? To evaluate the effectiveness and unintended consequences of macroprudential FX regulations, we develop a parsimonious model of bank and market lending in domestic and foreign currency and derive four predictions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial institutions,
Financial system regulation and policies,
International financial markets
JEL Code(s):
F,
F3,
F32,
F34,
G,
G1,
G15,
G2,
G21,
G28
Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market-Based Stress Tests
Staff Working Paper 2018-54
Maarten van Oordt
How much capital do banks need as a buffer to absorb severe shocks? By using historical stock market data, market-based stress tests help estimate the magnitude of capital buffers necessary to absorb severe but plausible shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G1,
G10,
G2,
G21,
G28
Non-Performing Loans, Fiscal Costs and Credit Expansion in China
Staff Working Paper 2018-53
Huixin Bi,
Yongquan Cao,
Wei Dong
This paper studies how the credit expansion policy pursued by the Chinese government in an effort to stimulate its economy in the post-crisis period affects bank–firm loan contracts and the macroeconomy. We build a structural model with financial frictions in which the optimal loan contract reflects the trade-off between leverage and the probability of default.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Fiscal policy,
International topics
JEL Code(s):
E,
E4,
E44,
E6,
E62
Evaluating the Bank of Canada Staff Economic Projections Using a New Database of Real-Time Data and Forecasts
Staff Working Paper 2018-52
Julien Champagne,
Guillaume Poulin-Bellisle,
Rodrigo Sekkel
We present a novel database of real-time data and forecasts from the Bank of Canada’s staff economic projections. We then provide a forecast evaluation for GDP growth and CPI inflation since 1982: we compare the staff forecasts with those from commonly used time-series models estimated with real-time data and with forecasts from other professional forecasters and provide standard bias tests.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Economic models,
Inflation targets,
Monetary policy
JEL Code(s):
C,
C3,
C32,
E,
E1,
E17,
E3,
E37
Multibank Holding Companies and Bank Stability
Staff Working Paper 2018-51
Radoslav Raykov,
Consuelo Silva-Buston
This paper studies the relationship between bank holding company affiliation and the individual and systemic risk of banks. Using the 2005 hurricane season in the US as an exogenous shock to bank balance sheets, we show that banks that are part of a holding parent company are more resilient than independent banks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
G,
G1,
G2
Monetary Policy Uncertainty: A Tale of Two Tails
Staff Working Paper 2018-50
Tatjana Dahlhaus,
Tatevik Sekhposyan
We document a strong asymmetry in the evolution of federal funds rate expectations and map this observed asymmetry into measures of monetary policy uncertainty. We show that periods of monetary policy tightening and easing are distinctly related to downside (policy rate is higher than expected) and upside (policy rate is lower than expected) uncertainty.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Monetary policy and uncertainty,
Monetary policy communications,
Monetary policy transmission
JEL Code(s):
C,
C1,
C18,
C3,
C32,
E,
E0,
E02,
E4,
E43,
E5,
E52
Financial Development Beyond the Formal Financial Market
Staff Working Paper 2018-49
Lin Shao
This paper studies the effects of financial development, taking into account both formal and informal financing. Using cross-country firm-level data, we document that informal financing is utilized more by rich countries than poor countries.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Firm dynamics,
Productivity
JEL Code(s):
E,
E4,
E44,
O,
O1,
O17,
O4,
O47
Should Bank Capital Regulation Be Risk Sensitive?
Staff Working Paper 2018-48
Toni Ahnert,
James Chapman,
Carolyn A. Wilkins
We present a simple model to study the risk sensitivity of capital regulation. A banker funds investment with uninsured deposits and costly capital, where capital resolves a moral hazard problem in the banker’s choice of risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G28