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3046 Results

The New Basel Capital Accord and the Cyclical Behaviour of Bank Capital

Staff Working Paper 2004-30 Mark Illing, Graydon Paulin
The authors conduct a counterfactual simulation of the proposed rules under the new Basel Capital Accord (Basel II), including the revised treatment of expected and unexpected credit losses proposed by the Basel Committee in October 2003.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions JEL Code(s): G, G2, G21, G28, K, K2, K23

Household Heterogeneity and the Performance of Monetary Policy Frameworks

Staff Working Paper 2022-12 Edouard Djeutem, Mario He, Abeer Reza, Yang Zhang
Consumption inequality and a low interest rate environment are two important trends in today’s economy. But the implications they may have—and how those implications interact—within different monetary policy frameworks are not well understood. We study the ranking of alternative frameworks that take these trends into account.

The Side Effects of Safe Asset Creation

Staff Working Paper 2021-34 Sushant Acharya, Keshav Dogra
The secular decline in real interest rates has created a challenge for monetary policy, now confronting the zero lower bound more often. An increase in the supply of safe assets reduces downward pressure on the natural interest rate. This allows monetary policy to reach price stability and full employment, but not without cost—permanently lower investment.
Content Type(s): Staff research, Staff working papers Research Topic(s): Fiscal policy, Monetary policy implementation JEL Code(s): E, E3, E4, E5, G, G1, H, H6

The Case of Serial Disappointment

Similar to those of other forecasters, the Bank of Canada’s forecasts of global GDP growth have shown persistent negative errors over the past five years. This is in contrast to the pre-crisis period, when errors were consistently positive as global GDP surprised to the upside. All major regions have contributed to the forecast errors observed since 2011, although the United States has been the most persistent source of notable errors.

Effects of Funding Portfolios on the Credit Supply of Canadian Banks

Staff Working Paper 2015-10 H. Evren Damar, Césaire Meh, Yaz Terajima
This paper studies how banks simultaneously manage the two sides of their balance sheet and its implications for bank risk taking and real economic activity. First, we analyze how changes in funding affect the supply of bank loans.
June 9, 2010

Crude Oil Futures: A Crystal Ball?

Based on recent research, this article discusses three ways that oil-futures prices can improve our understanding of current conditions and future prospects in the global market for crude oil. First, the response of the oil-futures curve can be used to identify the persistence of oil-price shocks and to obtain an indicator of the rate at which they will diminish. Second, the spread between the current futures price and the spot price of oil can be interpreted as an indicator of the precautionary demand for oil. Third, because oil-futures prices are volatile, forecasts of the future spot price of oil using futures prices should be supplemented with other information to improve their accuracy.

Consumer Interest Rates and Retail Mutual Fund Flows

Staff Working Paper 2012-39 Jesus Sierra
This paper documents a link between the real and financial sides of the economy. We find that retail equity mutual fund flows in Canada are negatively related to current and past changes in a component of the prime and 5-year mortgage rates that is uncorrelated with government rates.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial services, Interest rates JEL Code(s): G, G2, G21, G23

A Tractable Monetary Model Under General Preferences

Staff Working Paper 2013-7 Tsz-Nga Wong
Consider the monetary model of Lagos and Wright (JPE 2005) but with general preferences and general production. I show that preferences satisfying UXXUHH – (UXH)2 = 0 is a sufficient condition for the existence and uniqueness of monetary equilibrium with degenerate money distribution.
Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models JEL Code(s): D, D8, D83, E, E4, E40
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