A Counterfactual Valuation of the Stock Index as a Predictor of Crashes Staff Working Paper 2017-38 Tom Roberts Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon—instead, I shift focus to severe downside risk (i.e., crashes). Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial stability JEL Code(s): G, G0, G01, G1, G12, G17, G19
Examining the Trade-Off between Settlement Delay and Intraday Liquidity in Canada's LVTS: A Simulation Approach Staff Working Paper 2006-20 Neville Arjani The author explores a fundamental trade-off that occurs between settlement delay and intraday liquidity in the daily operation of large-value payment systems (LVPS), with specific application to Canada's Large Value Transfer System (LVTS). Content Type(s): Staff research, Staff working papers Topic(s): Payment clearing and settlement systems JEL Code(s): E, E4, E47, G, G2, G21
Dating Systemic Financial Stress Episodes in the EU Countries Staff Working Paper 2016-11 Benjamin Klaus, Tuomas Peltonen, Thibaut Duprey This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Economic models, Financial markets, Financial stability, Financial system regulation and policies, Monetary and financial indicators JEL Code(s): C, C5, C54, G, G0, G01, G1, G15
Monetary Policy Governance: Bank of Canada Practices to Support Policy Effectiveness Staff Discussion Paper 2024-14 Brigitte Desroches, Sharon Kozicki, Laure Simon We examine different monetary policy governance structures and discuss the important roles of non-legislated processes and practices. We also provide an update on monetary policy governance at the Bank of Canada and how it has evolved over time. Content Type(s): Staff research, Staff discussion papers Topic(s): Credibility, Monetary policy communications, Monetary policy framework JEL Code(s): E, E0, E02, E5, E58
Canadians’ Access to Cash Before and During the COVID-19 Pandemic Staff Discussion Paper 2022-15 Heng Chen, Marie-Hélène Felt This paper studies Canadians’ access to cash using the geographical distribution of automated banking machines (ABMs). During the pandemic, there have been no sustained adverse effects on cash accessibility. Content Type(s): Staff research, Staff discussion papers Topic(s): Financial services, Regional economic developments JEL Code(s): J, J1, J15, O, O1, R, R5, R51
March 31, 2021 Research Update - March 2021 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
China’s Emergence in the World Economy and Business Cycles in Latin America Staff Working Paper 2012-32 Ambrogio Cesa-Bianchi, M. Hashem Pesaran, Alessandro Rebucci, TengTeng Xu The international business cycle is very important for Latin America’s economic performance as the recent global crisis vividly illustrated. This paper investigates how changes in trade linkages between China, Latin America, and the rest of the world have altered the transmission mechanism of international business cycles to Latin America. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, International topics, Recent economic and financial developments, Regional economic developments JEL Code(s): C, C3, C32, E, E3, E32, F, F4, F44, O, O5, O54
On the Nexus of Monetary Policy and Financial Stability: Recent Developments and Research Staff Discussion Paper 2015-7 Oleksiy Kryvtsov, Miguel Molico, Ben Tomlin Because financial and macroeconomic conditions are tightly interconnected, financial stability considerations are an important element of any monetary policy framework. Yet, the circumstances under which it would be appropriate for the Bank to use monetary policy to lean against financial risks need to be more fully specified (Côté 2014). Content Type(s): Staff research, Staff discussion papers Topic(s): Financial stability, Monetary policy framework JEL Code(s): E, E0, E4, E44, E5, E52, E58, G, G1, G18
Are Bygones not Bygones? Modeling Price Level Targeting with an Escape Clause and Lessons from the Gold Standard Staff Working Paper 2008-27 Paul Masson, Malik Shukayev Like the gold standard, price level targeting (PT) involves not letting past deviations of inflation be bygones; both regimes return the price level (or price of gold) to its target. The experience of suspension of the gold standard in World War I, resumption in the 1920s (for some countries at a different parity), and final abandonment is reviewed. Content Type(s): Staff research, Staff working papers Topic(s): Credibility, Monetary policy framework JEL Code(s): E, E3, E31, E5, E52
Bank Loans for Private and Public Firms in a Credit Crunch Staff Working Paper 2011-13 Jason Allen, Teodora Paligorova Banks reliance on short-term funding has increased over time. While an effective source of financing in good times, the 2007 financial crisis has exposed the vulnerability of banks and ultimately firms to such a liability structure. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions JEL Code(s): G, G0, G01, G2, G20