Search

Content Types

Subjects

Authors

Research Themes

JEL Codes

Sources

Research Topics

Published After

Published Before

519 Results

Potential netting benefits from expanded central clearing in Canada’s fixed-income market

We assess whether more central clearing would enhance the resilience of Canadian fixed-income markets. Our analysis estimates the potential benefits of balance sheet netting under scenarios where central clearing is expanded to new participants.

BoC–BoE Sovereign Default Database: Methodology, Assumptions and Sources

Technical report No. 117 David Beers, Elliot Jones, John Walsh
Until recently, few efforts have been made to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada (BoC) developed a comprehensive database of sovereign defaults that is posted on its website and updated in partnership with the Bank of England (BoE).

Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement

Staff working paper 2018-21 Elena Goldman, Xiangjin Shen
We explore properties of asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) models in the threshold GARCH (GTARCH) family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low-frequency macroeconomic volatility as well as an asymmetric response to past negative news in both autoregressive conditional heteroscedasticity (ARCH) and GARCH terms.

The 2021–22 Surge in Inflation

Staff discussion paper 2023-3 Oleksiy Kryvtsov, James (Jim) C. MacGee, Luis Uzeda
The rise in inflation in 2021–22 sparked a growing literature and debate over the causes of the surge as well as the near- and medium-term path for inflation. This review offers three key messages.

The Causal Impact of Migration on US Trade: Evidence from Political Refugees

Staff working paper 2017-49 Walter Steingress
Immigrants can increase international trade by shifting preferences towards the goods of their country of origin and by reducing bilateral transaction costs. Using geographical variation across U.S. states for the period 2008 to 2013, I estimate the respective causal impact of immigrants on U.S. exports and imports.
December 10, 2013

Financial System Review - December 2013

There have been positive developments in the global financial system since the June Financial System Review, in part reflecting some encouraging signs about the global economy. At the same time, significant vulnerabilities remain. The Governing Council judges that the overall risk to the stability of Canada’s financial system has decreased from “high” to “elevated” over the past six months.

How Do Mortgage Rate Resets Affect Consumer Spending and Debt Repayment? Evidence from Canadian Consumers

Staff working paper 2020-18 Katya Kartashova, Xiaoqing Zhou
We study the causal effect of mortgage rate changes on consumer spending, debt repayment and defaults during an expansionary and a contractionary monetary policy episode in Canada. We find asymmetric responses of consumer durable spending, deleveraging and defaults. These findings help us to understand household sector response to interest rate changes.

Combining Large Numbers of Density Predictions with Bayesian Predictive Synthesis

Staff working paper 2023-45 Tony Chernis
I show how to combine large numbers of forecasts using several approaches within the framework of a Bayesian predictive synthesis. I find techniques that choose and combine a handful of forecasts, known as global-local shrinkage priors, perform best.
June 23, 2004

Financial System Review - June 2004

Financial System Review - June 2004
This section of the Financial System Review examines the recent performance of the Canadian financial system and the factors, both domestic and international, that are influencing it. In each issue, one or more subjects of particular interest are discussed as highlighted topics.
Go To Page