December 30, 2016 Research Update - December 2016 This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website. Content Type(s): Staff research, Research newsletters
December 29, 2016 Banking and Financial Statistics - December 2016 Content Type(s): Publications, Historical: Banking and Financial Statistics
What Fed Funds Futures Tell Us About Monetary Policy Uncertainty Staff Working Paper 2016-61 Jean-Sébastien Fontaine The uncertainty around future changes to the Federal Reserve target rate varies over time. In our results, the main driver of uncertainty is a “path” factor signaling information about future policy actions, which is filtered from federal funds futures data. Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets, Interest rates JEL Code(s): E, E4, E43, E44, E47, G, G1, G12, G13
December 23, 2016 Weekly Financial Statistics - 23 December 2016 Content Type(s): Publications, Historical: Weekly Financial Statistics
Non-Bank Investors and Loan Renegotiations Staff Working Paper 2016-60 Teodora Paligorova, João Santos We document that the structure of syndicates affects loan renegotiations. Lead banks with large retained shares have positive effects on renegotiations. In contrast, more diverse syndicates deter renegotiations, but only for credit lines. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial system regulation and policies JEL Code(s): G, G2, G21, G23
December 21, 2016 Key inflation indicators and the target range Data and definitions: Total CPI, CPI-trim, CPI-median, CPI-common and Target Range
Monetary Policy, Private Debt and Financial Stability Risks Staff Working Paper 2016-59 Gregory Bauer, Eleonora Granziera Can monetary policy be used to promote financial stability? We answer this question by estimating the impact of a monetary policy shock on private-sector leverage and the likelihood of a financial crisis. Impulse responses obtained from a panel VAR model of 18 advanced countries suggest that the debt-to-GDP ratio rises in the short run following an unexpected tightening in monetary policy. Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Financial stability, Monetary policy, Monetary policy transmission JEL Code(s): C, C2, C21, C23, E, E5, E52, E58
December 16, 2016 Weekly Financial Statistics - 16 December 2016 Content Type(s): Publications, Historical: Weekly Financial Statistics
Equity Option-Implied Probability of Default and Equity Recovery Rate Staff Working Paper 2016-58 Bo Young Chang, Greg Orosi There is a close link between prices of equity options and the default probability of a firm. We show that in the presence of positive expected equity recovery, standard methods that assume zero equity recovery at default misestimate the option-implied default probability. Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets, Market structure and pricing JEL Code(s): G, G1, G13, G3, G33