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
December 10, 2013 Assessing the Systemic Importance of Financial Institutions Financial System Review - December 2013 Éric Chouinard, Erik Ens Content Type(s): Publications, Financial System Review articles
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
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 Research 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
February 23, 2012 Medium-Term Fluctuations in Canadian House Prices Bank of Canada Review - Winter 2011-2012 Brian Peterson, Yi Zheng This article draws on theory and empirical evidence to examine a number of factors behind movements in Canadian house prices. It begins with an overview of the movements in house prices in Canada, using regional data to highlight factors that influence prices over the long run. It then turns to the central theme, that there are medium-run movements in prices not accounted for by long-run factors. Drawing on recent Bank of Canada research, the article discusses several factors behind these medium-run movements, including interest rates, expected price appreciation and market liquidity. The article concludes by identifying areas for future research that would further our understanding of fluctuations in house prices. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Asset pricing, Econometric and statistical methods, Market structure and pricing JEL Code(s): R, R2, R21, R3, R31
Understanding Post-COVID Inflation Dynamics Staff Working Paper 2022-50 Martin Harding, Jesper Lindé, Mathias Trabandt We propose a macroeconomic model with a nonlinear Phillips curve that has a flat slope when inflationary pressures are subdued and steepens when inflationary pressures are elevated. Our model can generate more sizable inflation surges due to cost-push and demand shocks than a standard linearized model when inflation is high. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Central bank research, Coronavirus disease (COVID-19), Economic models, Inflation and prices, Inflation: costs and benefits, Monetary policy, Monetary policy implementation JEL Code(s): E, E3, E30, E31, E32, E37, E4, E44, E5, E52
Estimating Systematic Risk Under Extremely Adverse Market Conditions Staff Working Paper 2016-22 Maarten van Oordt, Chen Zhou This paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We propose an estimator for the model coefficient by exploiting the tail dependence between the two variables and prove its asymptotic properties. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C14, G, G0, G01
Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets Staff Working Paper 1999-6 Ben Fung, Scott Mitnick, Eli Remolona Theory and empirical evidence suggest that the term structure of interest rates reflects risk premiums as well as market expectations about future inflation and real interest rates. We propose an approach to extracting such premiums and expectations by exploiting both the comovements among interest rates across the yield curve and between two countries, Canada and […] Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Inflation and prices, Interest rates, International topics JEL Code(s): E, E4, E43, G, G1, G12, G15
Finding a Needle in a Haystack: A Machine Learning Framework for Anomaly Detection in Payment Systems Staff Working Paper 2024-15 Ajit Desai, Anneke Kosse, Jacob Sharples Our layered machine learning framework can enhance real-time transaction monitoring in high-value payment systems, which are a central piece of a country’s financial infrastructure. When tested on data from Canadian payment systems, it demonstrated potential for accurately identifying anomalous transactions. This framework could help improve cyber and operational resilience of payment systems. Content Type(s): Staff research, Staff working papers Research Topic(s): Digital currencies and fintech, Financial institutions, Financial services, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): C, C4, C45, C5, C55, D, D8, D83, E, E4, E42
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