Decomposing Systemic Risk: The Roles of Contagion and Common Exposures Staff working paper 2024-19 Grzegorz Halaj, Ruben Hipp We examine systemic risks within the Canadian banking sector, decomposing them into three contribution channels: contagion, common exposures, and idiosyncratic risk. Through a structural model, we dissect how interbank relationships and market conditions contribute to systemic risk, providing new insights for financial stability. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C32, C5, C51, G, G2, G21, L, L1, L14 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods, Economic models
December 9, 2010 Central Counterparties and Systemic Risk Financial System Review - December 2010 Eric Tuer, Nicholas Labelle, Nikil Chande Content Type(s): Publications, Financial System Review articles
Trading on Long-term Information Staff working paper 2020-20 Corey Garriott, Ryan Riordan Investors who trade based on good research are said to be the backbone of stock markets: They conduct research to discover the value of stocks and, through their trading, guide financial prices to reflect true value. What can make their job difficult is that high-speed, short-term traders could use machine learning and other technologies to infer when informed investors are trading. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G14, G2, G20, L, L1 Research Theme(s): Financial markets and funds management, Market functioning, Market structure, Financial system, Financial institutions and intermediation
Merchant Acceptance of Cash and Credit Cards at the Point of Sale Staff analytical note 2018-1 Ben Fung, Kim Huynh, Kerry Nield, Angelika Welte Recent data show that the use of credit cards in Canada has been increasing, while the use of cash has been declining. At the same time, only two-thirds of small or medium-sized businesses accept credit cards. Content Type(s): Staff research, Staff analytical notes JEL Code(s): C, C2, D, D1, E, E4, E41 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Cash and bank notes, Retail payments
SME Failures Under Large Liquidity Shocks: An Application to the COVID-19 Crisis Staff working paper 2023-32 Pierre-Olivier Gourinchas, Şebnem Kalemli-Özcan, Veronika Penciakova, Nicholas Sander We study the effects of financial frictions on firm exit when firms face large liquidity shocks. We develop a simple model of firm cost-minimization that introduces a financial friction that limits firms’ borrowing capacity to smooth temporary shocks to liquidity. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D2, D21, D22, E, E6, E65, H, H8, H81 Research Theme(s): Financial system, Financial stability and systemic risk, Household and business credit, Monetary policy, Real economy and forecasting
The Digital Economy—Insight from a Special Survey with IT Service Exporters Staff discussion paper 2016-21 Wei Dong, James Fudurich, Lena Suchanek Information technology (IT) is an increasingly integral part of everyday business and personal life reflecting the ongoing and accelerating digital transformation of the economy. In this paper, we present information gathered from a survey with export-oriented firms in the Canadian IT service industry and consultations with industry associations aimed at shedding light on this small but highly dynamic sector. Content Type(s): Staff research, Staff discussion papers JEL Code(s): D, D2, D22, L, L8, L86, O, O3, O33 Research Theme(s): Structural challenges, Demographics and labour supply, Digitalization and productivity, International trade, finance and competitiveness
Labor Market Shocks and Monetary Policy Staff working paper 2023-52 Serdar Birinci, Fatih Karahan, Yusuf Mercan, Kurt See We develop a heterogeneous-agent New Keynesian model featuring a frictional labor market with on-the-job search to quantitatively study the positive and normative implications of employer-to-employer transitions for inflation. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E1, E12, E2, E24, E5, E52, J, J3, J31, J6, J62, J64 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission, Real economy and forecasting
The Evolution of Unobserved Skill Returns in the U.S.: A New Approach Using Panel Data Staff working paper 2017-61 Lance Lochner, Youngmin Park, Youngki Shin Economists disagree about the factors driving the substantial increase in residual wage inequality in the United States over the past few decades. To identify changes in the returns to unobserved skills, we make a novel assumption about the dynamics of skills (especially among older workers) rather than about the stability of skill distributions across cohorts, as is standard. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C2, C23, J, J2, J24, J3, J31 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting, Structural challenges, Demographics and labour supply
October 22, 2006 ToTEM: The Bank of Canada's New Projection and Policy-Analysis Model Bank of Canada Review - Autumn 2006 Paul Fenton, Stephen Murchison The Terms-of-Trade Economic Model, or ToTEM, replaced the Quarterly Projection Model (QPM) in December 2005 as the Bank's principal projection and policy-analysis model for the Canadian economy. Benefiting from advances in economic modelling and computer power, ToTEM builds on the strengths of QPM, allowing for optimizing behaviour on the part of firms and households, both in and out of steady state, in a multi-product environment. The authors explain the motivation behind the development of ToTEM, provide an overview of the model and its calibration, and present several simulations to illustrate its key properties, concluding with some indications of how the model is expected to evolve going forward. Content Type(s): Publications, Bank of Canada Review articles
June 20, 2010 Financial System Review - June 2010 Risks to the stability of both the Canadian and the global financial systems appeared to be diminishing for most of the period since the last Financial System Review (FSR), as the recovery in financial conditions and the macroeconomic environment continued to solidify.FSR Highlights - June 2010 Content Type(s): Publications, Financial Stability Report