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3045 Results

The Neutral Rate in Canada: 2019 Update

Staff Analytical Note 2019-11 Thomas J. Carter, Xin Scott Chen, José Dorich
This note provides an update on Bank of Canada staff’s assessment of the Canadian neutral rate. The neutral rate is the policy rate needed to keep output at its potential level and inflation at target once the effects of any cyclical shocks have dissipated. This medium- to long-run concept serves as a benchmark for gauging the degree of monetary stimulus provided by a given policy setting.
Content Type(s): Staff research, Staff analytical notes Research Topic(s): Economic models, Interest rates, Monetary policy JEL Code(s): E, E4, E40, E43, E5, E50, E52, E58, F, F4, F41

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

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

Resilience of bank liquidity ratios in the presence of a central bank digital currency

Staff Analytical Note 2022-5 Alissa Gorelova, Bena Lands, Maria teNyenhuis
Could Canadian banks continue to meet their regulatory liquidity requirements after the introduction of a cash-like retail central bank digital currency (CBDC)? We conduct a hypothetical exercise to estimate how a CBDC could affect bank liquidity by increasing the run-off rates of transactional retail deposits under four increasingly severe scenarios.

Housework and Fiscal Expansions

Staff Working Paper 2014-34 Stefano Gnocchi, Daniela Hauser, Evi Pappa
We build an otherwise-standard business cycle model with housework, calibrated consistently with data on time use, in order to discipline consumption-hours complementarity and relate its strength to the size of fiscal multipliers.
Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Fiscal policy JEL Code(s): E, E2, E24, E3, E32, E5, E52, E6, E62

The MacroFinancial Risk Assessment Framework (MFRAF), Version 2.0

Technical Report No. 111 Jose Fique
This report provides a detailed technical description of the updated MacroFinancial Risk Assessment Framework (MFRAF), which replaces the version described in Gauthier, Souissi and Liu (2014) as the Bank of Canada’s stress-testing model for banks with a focus on domestic systemically important banks (D-SIBs).
Content Type(s): Staff research, Technical reports Research Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): C, C7, C72, E, E5, E58, G, G0, G01, G2, G21, G28

To Link or Not To Link? Netting and Exposures Between Central Counterparties

This paper provides a framework to compare linked and unlinked CCP configurations in terms of total netting achieved by market participants and the total system default exposures that exist between participants and CCPs.
Content Type(s): Staff research, Staff working papers Research Topic(s): Payment clearing and settlement systems JEL Code(s): G, G1, G18, G2, G23

Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility

Staff Working Paper 2016-37 Michael Ehrmann, Jonathan Talmi
Press releases announcing and explaining monetary policy decisions play a critical role in the communication strategy of central banks. Because of their market-moving potential, it is particularly important how they are drafted. Often, central banks start from the previous statement and update the earlier text with only small changes.
Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Financial markets, Interest rates JEL Code(s): E, E4, E43, E5, E52, E58

The Distributional Effects of Conventional Monetary Policy and Quantitative Easing: Evidence from an Estimated DSGE Model

Staff Working Paper 2019-6 Stefan Hohberger, Romanos Priftis, Lukas Vogel
This paper compares the distributional effects of conventional monetary policy and quantitative easing (QE) within an estimated open-economy DSGE model of the euro area.
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