Which Bank is the "Central" Bank? An Application of Markov Theory to the Canadian Large Value Transfer System Staff Working Paper 2008-42 Morten Bech, James Chapman, Rodney J. Garratt We use a method similar to Google's PageRank procedure to rank banks in the Canadian Large Value Transfer System (LVTS). Along the way we obtain estimates of the payment processing speeds for the individual banks. Content Type(s): Staff research, Staff working papers Research Topic(s): Payment clearing and settlement systems JEL Code(s): C, C1, C11, E, E5, E50, G, G2, G20
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
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
Simulations du ratio du service de la dette des consommateurs en utilisant des données micro Staff Working Paper 2009-18 Ramdane Djoudad The author constructs a formal analytic framework to simulate the impact of various economic shocks on the household debt-service ratio, using data from the Canadian Financial Monitor (CFM) survey. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial stability JEL Code(s): C, C1, C15, C3, C31, D, D1, D14, E, E5, E51
February 1, 2012 Excess Collateral in the LVTS: How Much Is Too Much? Financial System Review - December 2003 Kim McPhail, Anastasia Vakos Content Type(s): Publications, Financial System Review articles
May 13, 1997 Capacity constraints, price adjustment, and monetary policy Bank of Canada Review - Spring 1997 Tiff Macklem The short-run Phillips curve describes a positive short-run relationship between the level of economic activity and inflation. When the level of demand in the economy as a whole runs ahead of the level of output that the economy can supply in the short run, price pressures increase and inflation rises. This article reviews the origins of the short-run Phillips curve with particular emphasis on the long-standing idea that the shape of this curve may be non-linear, with inflation becoming more sensitive to changes in output when the cycle of economic activity is high than when it is low. This type of non-linearity in the short-run Phillips curve, which is typically motivated by the effects of capacity constraints that limit the ability of the economy to expand in the short run, has recently attracted renewed attention. The article surveys recent research that finds some evidence of this type of non-linearity in the Phillips curve in Canada and considers the potential implications for monetary policy. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Inflation and prices, Monetary policy transmission, Potential output
How Far Do Canadians Need to Travel to Access Cash? Staff Discussion Paper 2023-28 Heng Chen, Daneal O’Habib, Hongyu Xiao This paper develops a travel-based metric to measure Canadians’ access to cash from automated banking machines (ABMs) and financial institution branches. We find that, overall, access to cash remained stable between 2019 and 2022. The total number of ABMs in Canada increased by 3.7% and the total number of branches decreased by 5.2% during that period. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Bank notes, Financial services, Regional economic developments JEL Code(s): G, G2, G21, J, J1, J15, R, R5, R51
Time Variation in Okun's Law: A Canada and U.S. Comparison Staff Working Paper 2010-7 Kimberly Beaton This article investigates the stability of Okun's law for Canada and the United States using a time varying parameter approach. Time variation is modeled as driftless random walks and is estimated using the median unbiased estimator approach developed by Stock and Watson (1998). Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Labour markets JEL Code(s): E, E2, E24, J, J0, J00
Housing Market Cycles and Duration Dependence in the United States and Canada Staff Working Paper 2007-2 Rose Cunningham, Ilan Kolet Housing wealth is a large component of total wealth and plays an important role in aggregate business cycles. In this paper, we explore data on real house price cycles at the aggregate level and city level for the United States and Canada. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C4, C41, E, E3, E32, R, R2, R21
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