The Commodity-Price Cycle and Regional Economic Performance in Canada Staff Working Paper 1996-12 Mario Lefebvre, Stephen S. Poloz This paper attempts to provide one interpretation of the broad regional economic history of Canada since the early 1970s. As the title of the paper suggests, we believe that, to a significant degree, regional diversity in economic performance reflects movements in Canada's terms of trade, which very frequently are tied to developments in world commodity markets. Content Type(s): Staff research, Staff working papers Research Topic(s): Regional economic developments JEL Code(s): E, E3, E32
On the Tail Risk Premium in the Oil Market Staff Working Paper 2017-46 Reinhard Ellwanger This paper shows that changes in market participants’ fear of rare events implied by crude oil options contribute to oil price volatility and oil return predictability. Using 25 years of historical data, we document economically large tail risk premia that vary substantially over time and significantly forecast crude oil futures and spot returns. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C5, C53, C58, D, D8, D84, E, E4, E44, G, G1, G12, G13, Q, Q4, Q43
Real Effects of Price Stability with Endogenous Nominal Indexation Staff Working Paper 2009-16 Césaire Meh, Vincenzo Quadrini, Yaz Terajima We study a model with repeated moral hazard where financial contracts are not fully indexed to inflation because nominal prices are observed with delay as in Jovanovic & Ueda (1997). Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial markets, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E2, E21, E3, E31, E4, E44, E5, E52
Systemic Risk and Collateral Adequacy Staff Working Paper 2019-23 Radoslav Raykov Many derivatives markets use collateral requirements calculated with industry-standard but dated methods that are not designed with systemic risk in mind. This paper explores whether the conservative nature of conventional collateral requirements outweighs their lack of consideration of systemic risk. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial markets JEL Code(s): G, G1, G10, G2, G20
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
September 14, 2010 Bundesbank Lecture 2010: The Economic Consequences of the Reforms Remarks Mark Carney Deutsche Bundesbank Berlin, Germany Keynes wrote prophetically of the economic consequences of the Treaty of Versailles. Could the same be said of current financial reforms? Are policy-makers taking for granted the essential role performed by finance in a vain pursuit of its risk-proofing? Content Type(s): Press, Speeches and appearances, Remarks
Market Structure and the Diffusion of E-Commerce: Evidence from the Retail Banking Industry Staff Working Paper 2008-32 Jason Allen, Robert Clark, Jean-François Houde This paper studies the role that market structure plays in affecting the diffusion of electronic banking. Electronic banking (and electronic commerce more generally) reduces the cost of performing many types of transactions for firms. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Market structure and pricing JEL Code(s): D, D1, D14, D4, G, G2, G21, L, L1
Evaluating the Quarterly Projection Model: A Preliminary Investigation Staff Working Paper 2002-20 Robert Amano, Kim McPhail, Hope Pioro, Andrew Rennison This paper summarizes the results of recent research evaluating the Bank of Canada's Quarterly Projection Model (QPM). Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models JEL Code(s): C, C5, C52, E, E1, E17, E3, E30, E37
Assessing global potential output growth: April 2024 Staff Analytical Note 2024-10 Amor Aniss Benmoussa, Raheeb Dastagir, Eshini Ekanayake, Justin-Damien Guénette, Helen Lao, Jenna Rolland-Mills, Aidan Spencer, Lin Xiang This note presents the annual update of Bank of Canada staff estimates for growth in global potential output. These estimates serve as key inputs to the analysis supporting the April 2024 Monetary Policy Report. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Potential output, Productivity JEL Code(s): E, E1, E2, F, F0, O, O4
A Macroeconomic Model of an Epidemic with Silent Transmission and Endogenous Self-isolation Staff Working Paper 2020-50 Antonio Diez de los Rios We study the interaction between epidemics and economic decisions in a model that has silent transmission of the virus. We find that rational behaviour strongly diminishes the severity of the epidemic but worsens the economic recession. We also find that the detection and isolation of not only symptomatic individuals but also those who are infected and asymptomatic or mildly symptomatic can reduce the severity of the recession caused by the pandemic. Content Type(s): Staff research, Staff working papers Research Topic(s): Coronavirus disease (COVID-19), Economic models JEL Code(s): E, E1, H, H0, I, I1