November 23, 2011 Renewing Canada’s Monetary Policy Framework Remarks Mark Carney Board of Trade of Metropolitan Montreal Montréal, Quebec Governor Mark Carney discusses the key elements of Canada’s inflation-targeting regime. Content Type(s): Press, Speeches and appearances, Remarks
The Role of Intermediaries in Selection Markets: Evidence from Mortgage Lending Staff working paper 2023-12 Jason Allen, Robert Clark, Jean-François Houde, Shaoteng Li, Anna Trubnikova This paper looks at the role mortgage brokers play in helping borrowers generate quotes and qualify for credit. We find that, on average, borrowers that engage with a mortgage broker pay lower interest rates. However, in about 15% of cases, borrowers are steered towards longer amortizing mortgages than they would have chosen absent a broker. Since mortgages with longer amortization have higher total interest costs over the entire life of the mortgage, this steering is expensive. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D4, G, G2, G21, L, L2 Research Theme(s): Financial markets and funds management, Market functioning, Market structure, Financial system, Financial institutions and intermediation, Household and business credit
Anticipated Technology Shocks: A Re‐Evaluation Using Cointegrated Technologies Staff working paper 2017-11 Joel Wagner Two approaches have been taken in the literature to evaluate the relative importance of news shocks as a source of business cycle volatility. The first is an empirical approach that performs a structural vector autoregression to assess the relative importance of news shocks, while the second is a structural-model-based approach. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E3, E32 Research Theme(s): Models and tools, Economic models, Monetary policy, Real economy and forecasting, Structural challenges, Digitalization and productivity
May 6, 2010 Is There a Commodity Curse? Lessons from the Past Remarks John Murray University of Alberta Institute for Public Economics and C.D. Howe Institute Edmonton, Alberta As the title of the conference suggests, we have seen many boom-and-bust cycles in the commodity sector. This raises one obvious and central question: How can we avoid them in the future? Content Type(s): Press, Speeches and appearances, Remarks
Tail Index Estimation: Quantile-Driven Threshold Selection Staff working paper 2019-28 Jon Danielsson, Lerby Ergun, Casper G. de Vries, Laurens de Haan The most extreme events, such as economic crises, are rare but often have a great impact. It is difficult to precisely determine the likelihood of such events because the sample is small. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C0, C01, C1, C14, C5, C58 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods
Time-Varying Crash Risk: The Role of Stock Market Liquidity Staff working paper 2016-35 Peter Christoffersen, Bruno Feunou, Yoontae Jeon, Chayawat Ornthanalai We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on return variance once we include market illiquidity as an economic variable in the model. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G0, G01, G1, G12 Research Theme(s): Financial markets and funds management, Market functioning, Market structure, Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods
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
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
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
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