Analyzing Default Risk and Liquidity Demand during a Financial Crisis: The Case of Canada Staff Working Paper 2011-17 Jason Allen, Ali Hortaçsu, Jakub Kastl This paper explores the reliability of using prices of credit default swap contracts (CDS) as indicators of default probabilities during the 2007/2008 financial crisis. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial markets, Payment clearing and settlement systems JEL Code(s): E, E4, E42, E5, E58, G, G0, G01, G2, G28
Strengthening Inflation Targeting: Review and Renewal Processes in Canada and Other Advanced Jurisdictions Staff Discussion Paper 2020-7 Robert Amano, Thomas J. Carter, Lawrence L. Schembri We summarize the review and renewal process at four central banks (Reserve Bank of New Zealand, Bank of England, Sveriges Riksbank and the US Federal Reserve Bank) and compare them with the process at the Bank of Canada, which has been well-established since 2001. Content Type(s): Staff research, Staff discussion papers Topic(s): Central bank research, Inflation targets, Monetary policy framework JEL Code(s): E, E5, E52, E58
Supply Drivers of US Inflation Since the COVID-19 Pandemic Staff Working Paper 2023-19 Serdar Kabaca, Kerem Tuzcuoglu This paper examines the contribution of several supply factors to US headline inflation since the start of the COVID-19 pandemic. We identify six supply shocks using a structural VAR model: labor supply, labor productivity, global supply chain, oil price, price mark-up and wage mark-up shocks. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices JEL Code(s): C, C3, C32, E, E3, E31, E32
Lines of Credit and Consumption Smoothing: The Choice between Credit Cards and Home Equity Lines of Credit Staff Working Paper 2005-18 Shubhasis Dey The author models the choice between credit cards and home equity lines of credit (HELOCs) within a framework where consumers hold lines of credit as instruments of consumption smoothing across state and time. Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates JEL Code(s): D, D1, D8, D81
A Note on Central Counterparties in Repo Markets Staff Discussion Paper 2012-4 Hajime Tomura The author introduces a central counterparty (CCP) into a model of a repo market. Without the CCP, there exist multiple equilibria in the model. In one of the equilibria, a repo market emerges as bond dealers and cash investors choose to arrange repos in an over-the-counter bond market. Content Type(s): Staff research, Staff discussion papers Topic(s): Financial markets, Financial stability, Payment clearing and settlement systems JEL Code(s): G, G2, G24
The Syndicated Loan Market: Developments in the North American Context Staff Working Paper 2003-15 Jim Armstrong The author describes the rapid development of the syndicated corporate loan market in the 1990s. He explores the historical forces that led to the development of the contemporary U.S. syndicated loan market, which is effectively a hybrid of the investment banking and commercial banking worlds. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial markets JEL Code(s): G, G1, G10, G2, G21
The Resolution of International Financial Crises: Private Finance and Public Funds Staff Working Paper 2001-20 Andy Haldane, Mark Kruger Over the past year and a half, the Bank of England and the Bank of Canada have been developing a framework for the resolution of international financial crises that aligns incentives for all parties to deal with a crisis and preserve the integrity of the international financial system. The framework is built on principles, not rules. Content Type(s): Staff research, Staff working papers Topic(s): International topics JEL Code(s): F, F3, F34, F4, F42
December 9, 2010 Central Counterparties and Systemic Risk Financial System Review - December 2010 Eric Tuer, Nicholas Labelle, Nikil Chande Content Type(s): Publications, Financial System Review articles
November 14, 2022 Conference on Diversity, Equity and Inclusion in Economics, Finance and Central Banking Conference held on November 14 and 15, 2022. Content Type(s): Conferences and workshops
Do Peer Group Members Outperform Individual Borrowers? A Test of Peer Group Lending Using Canadian Micro-Credit Data Staff Working Paper 2003-33 Rafael Gomez, Eric Santor Microfinance institutions now serve over 10 million poor households in the developing and developed world, and much of their success has been attributed to their innovative use of peer group lending. There is very little empirical evidence, however, to suggest that group lending schemes offer a superior institutional design over lending programs that serve individual borrowers. Content Type(s): Staff research, Staff working papers Topic(s): Development economics JEL Code(s): E, J, J2, J23, O, O1, O17