Inflation and Relative Price Dispersion in Canada: An Empirical Assessment Staff Working Paper 2005-28 André Binette, Sylvain Martel The authors investigate empirically the relationship between different aspects of inflation and relative price dispersion in Canada using a Markov regime-switching Phillips curve. Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices JEL Code(s): C, C3, C32, E, E3, E31
December 7, 1994 Repo, reverse repo and securities lending markets in Canada Bank of Canada Review - Winter 1994-1995 Ron Morrow Repurchase agreements (repos), reverse repos and securities lending markets permit a variety of institutions to conduct a broad range of financial transactions efficiently. In addition, they allow financial market participants to augment the returns on their cash holdings and securities portfolios. Canadian repo and securities lending markets have grown rapidly in recent years, following the expansion of such markets in major financial centres around the world; the volume of transactions in Canada now averages between $35 billion and $50 billion per day. The author notes that structural and regulatory changes in Canada have played important roles in promoting this growth. The vast majority of repo and securities lending transactions involve securities issued by the Government of Canada—principally Government of Canada bonds. Content Type(s): Publications, Bank of Canada Review articles Topic(s): Financial markets
Bank Runs, Portfolio Choice, and Liquidity Provision Staff Working Paper 2019-37 Toni Ahnert, Mahmoud Elamin After the financial crisis of 2007–09, many jurisdictions introduced new banking regulations to make banks more resilient and less likely to fail. These regulations included tighter limits for the quality and quantity of bank capital and introduced minimum standards for liquidity. But what was the impact of these changes? Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Wholesale funding JEL Code(s): G, G0, G01, G2, G21
Ambiguity, Nominal Bond Yields and Real Bond Yields Staff Working Paper 2018-24 Guihai Zhao Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal yield curves. We develop a model that can generate upward-sloping nominal and real yield curves by instead using ambiguity about inflation and growth. Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets, Interest rates JEL Code(s): E, E4, E43, G, G0, G00, G1, G12
The Performance and Robustness of Simple Monetary Policy Rules in Models of the Canadian Economy Technical Report No. 92 Denise Côté, John Kuszczak, Jean-Paul Lam, Ying Liu, Pierre St-Amant In this report, we evaluate several simple monetary policy rules in twelve private and public sector models of the Canadian economy. Our results indicate that none of the simple policy rules we examined is robust to model uncertainty, in that no single rule performs well in all models. Content Type(s): Staff research, Technical reports Topic(s): Monetary policy and uncertainty JEL Code(s): E, E5, E52, E58
Education and Self-Employment: Changes in Earnings and Wealth Inequality Staff Working Paper 2006-40 Yaz Terajima The author quantitatively studies the interaction between education and occupation choices and its implication for the relationship between the changes in earnings inequality and the changes in wealth inequality in the United States over the 1983–2001 period. Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Labour markets JEL Code(s): D, D3, D31, I, I2, I21, J, J2, J23
Identification of Random Resource Shares in Collective Households Without Preference Similarity Restrictions Staff Working Paper 2017-45 Geoffrey R. Dunbar, Arthur Lewbel, Krishna Pendakur Resource shares, defined as the fraction of total household spending going to each person in a household, are important for assessing individual material well-being, inequality and poverty. They are difficult to identify because consumption is measured typically at the household level, and many goods are jointly consumed, so that individual-level consumption in multi-person households is not directly observed. Content Type(s): Staff research, Staff working papers Topic(s): Domestic demand and components, Econometric and statistical methods JEL Code(s): C, C3, C31, D, D1, D11, D12, D13, I, I3, I32
Financial Constraints and Investment: Assessing the Impact of a World Bank Loan Program on Small and Medium-Sized Enterprises in Sri Lanka Staff Working Paper 2003-37 Varouj Aivazian, Dipak Mazumdar, Eric Santor The authors examine the investment behaviour of a sample of small, credit-constrained firms in Sri Lanka. Using a unique panel-data set, they analyze and compare the activities of two groups of small firms distinguished by their different access to financing; one group consists of firms with heavily subsidized loans from the World Bank, and the other consists of firms without such subsidies. Content Type(s): Staff research, Staff working papers Topic(s): Development economics JEL Code(s): G, G0, G00, O, O1, O16
Consumer Credit with Over-optimistic Borrowers Staff Working Paper 2020-57 Florian Exler, Igor Livshits, James (Jim) C. MacGee, Michèle Tertilt When lenders cannot directly identify behavioural and rational borrowers, they use type scoring to track the likelihood of a borrower’s type. This leads to the partial pooling of borrowers, which results in rational borrowers subsidizing borrowing costs for behavioural borrowers. This, in turn, reduces the effectiveness of regulatory policies that target mistakes by behavioural borrowers. Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Credit risk management, Financial system regulation and policies JEL Code(s): E, E2, E21, E4, E49, G, G1, G18, K, K3, K35
April 22, 2005 Borders, Common Currencies, Trade, and Welfare: What Can We Learn from the Evidence? Bank of Canada Review - Spring 2005 John F. Helliwell, Lawrence L. Schembri Recent evidence indicates that the intensity of economic exchange within and across borders is significantly different: linkages are much tighter within, than among, nation-states. These findings, however, do not necessarily imply that borders and separate national currencies represent significant barriers to trade that should be removed, since the evidence is also consistent with the alternative hypothesis, that domestic exchange is more efficient because domestic producers are better able to satisfy the requirements of local consumers, owing to common tastes and institutions and the existence of local information and social networks. Focusing primarily on trade linkages within and between Canada and the United States, the authors review the evidence on the extent to which national borders lessen the intensity of international economic linkages, primarily trade in goods and services, and the effects on domestic welfare. They also examine the evidence on the impact of common currencies on trade and welfare. They determine that, since the empirical models employed to date in this research cannot distinguish between alternative explanations of the evidence, it is not yet possible to draw firm conclusions for policy-making. Content Type(s): Publications, Bank of Canada Review articles Topic(s): Exchange rate regimes, International topics, Monetary policy framework