Shock Transmission Through International Banks: Canada Technical Report No. 105 James Chapman, H. Evren Damar In this paper, we investigate how liquidity conditions in Canada may affect domestic and/or foreign lending of globally active banks and whether this transmission is influenced by individual bank characteristics. Content Type(s): Staff research, Technical reports Topic(s): Financial institutions, Financial stability JEL Code(s): E, E4, E44, F, F3, F36, G, G2, G21, G3, G32
Public Policy Objectives and the Next Generation of CPA Systems: An Analytical Framework Staff Discussion Paper 2015-6 James Chapman, Jonathan Chiu, Sajjad Jafri, Héctor Pérez Saiz The payments landscape in Canada is rapidly changing and will continue to evolve, fuelled by strong and persistent drivers. In Canada, the Canadian Payments Association (CPA) is on a path to modernize Canada’s core payment systems. Content Type(s): Staff research, Staff discussion papers Topic(s): Economic models, Financial services, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): E, E4, E42, L, L1, L14, L15, L5, L52
The Carrot and the Stick: The Business Cycle Implications of Incentive Pay in the Labor Search Model Staff Working Paper 2015-35 Julien Champagne This paper considers a real business cycle model with labor search frictions where two types of incentive pay are explicitly introduced following the insights from the micro literature on performance pay (e.g. Lazear, 1986). Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Labour markets JEL Code(s): E, E2, E24, J, J3, J33, J4, J41
Heterogeneity in the Dynamic Effects of Uncertainty on Investment Staff Working Paper 2015-34 Sungje Byun, Soojin Jo How does aggregate profit uncertainty influence investment activity at the firm level? We propose a parsimonious adaptation of a factor-autoregressive conditional heteroscedasticity model to exploit information in a subindustry sales panel for an efficient and tractable estimation of aggregate volatility. Content Type(s): Staff research, Staff working papers Topic(s): Domestic demand and components, Econometric and statistical methods, International topics JEL Code(s): C, C2, C22, C23, D, D8, D80, E, E2, E22
August 31, 2015 Research Update - August 2015 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
Decomposing Movements in U.S. Non-Energy Import Market Shares Staff Discussion Paper 2015-5 Russell Barnett, Karyne B. Charbonneau Country market shares of U.S. non-energy imports have changed considerably since 2002, with varying volatility across three subperiods: pre-crisis (2002–07), crisis (2007–09) and post-crisis (2009–14). In this paper, we analyze market shares for four main trading partners of the United States (Canada, Mexico, China and Japan). Content Type(s): Staff research, Staff discussion papers Topic(s): International topics JEL Code(s): F, F1, F10, F14, F4
Cheap But Flighty: How Global Imbalances Create Financial Fragility Staff Working Paper 2015-33 Enrico Perotti, Toni Ahnert We analyze how a wealth shift to emerging countries may lead to instability in developed countries. Investors exposed to expropriation risk are willing to pay a safety premium to invest in countries with good property rights. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability JEL Code(s): F, F3, G, G2
Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach Staff Working Paper 2015-32 Kartik Anand, Céline Gauthier, Moez Souissi We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and market risks of banks are intertwined. Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): C, C7, C72, E, E5, E58, G, G0, G01, G2, G21, G28
Exchange Rate Pass-Through, Currency of Invoicing and Market Share Staff Working Paper 2015-31 Michael Devereux, Wei Dong, Ben Tomlin This paper investigates the impact of market structure on the joint determination of exchange rate pass-through and currency of invoicing in international trade. A novel feature of the study is the focus on market share of firms on both sides of the market—that is, exporting firms and importing firms. Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Inflation and prices, Market structure and pricing JEL Code(s): F, F3, F4
The Endogenous Relative Price of Investment Staff Working Paper 2015-30 Joel Wagner This paper takes a full-information model-based approach to evaluate the link between investment-specific technology and the inverse of the relative price of investment. The two-sector model presented includes monopolistic competition where firms can vary the markup charged on their product depending on the number of firms competing. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles JEL Code(s): E, E3, E32, L, L1, L11, L16