Parallel Tempering for DSGE Estimation Staff Working Paper 2024-13 Joshua Brault I develop a population-based Markov chain Monte Carlo algorithm known as parallel tempering to estimate dynamic stochastic general equilibrium models. Parallel tempering approximates the posterior distribution of interest using a family of Markov chains with tempered posteriors. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Economic models JEL Code(s): C, C1, C11, C15, E, E1, E10
December 8, 2011 Strengthening Bank Management of Liquidity Risk: The Basel III Liquidity Standards Financial System Review - December 2011 Natasha Khan, Tamara Gomes Content Type(s): Publications, Financial System Review articles
February 17, 2011 Competition in the Canadian Mortgage Market Bank of Canada Review - Winter 2010-2011 Jason Allen This article begins with a brief examination of the Canadian mortgage market, focusing on the market’s evolution following changes to the Bank Act in 1992, which allowed chartered banks to enter the trust business, and the subsequent entrance of virtual banks and mortgage brokers. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Interest rates, Market structure and pricing, Monetary policy transmission
Monetary Policy and Financial Stability: Cross-Country Evidence Staff Working Paper 2015-41 Christian Friedrich, Kristina Hess, Rose Cunningham Central banks may face challenges in achieving their price stability goals when financial stability risks are present. There is, however, considerable heterogeneity among central banks with respect to how they manage these potential trade-offs. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, International topics, Monetary policy framework JEL Code(s): E, E4, E5, G, G0, G01
Are There Canada-U.S. Differences in SME Financing? Staff Working Paper 2008-41 Danny Leung, Césaire Meh, Yaz Terajima Previous surveys of Canadian and U.S. business owners suggest that access to financing in Canada may be more problematic than in the United States. Using the 2003 Survey of Small Business Financing in the United States and the 2004 Survey on Financing of Small and Medium Enterprises in Canada, this paper examines whether this perception can be better quantified. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial services JEL Code(s): C, C2, C21, G, G2, G21
Climate Variability and International Trade Staff Working Paper 2023-8 Geoffrey R. Dunbar, Walter Steingress, Ben Tomlin This paper quantifies the impact of hurricanes on seaborne international trade to the United States. Matching the timing of hurricane–trade route intersections with monthly U.S. port-level trade data, we isolate the unanticipated effects of a hurricane hitting a trade route using two separate identification schemes: an event study and a local projection. Content Type(s): Staff research, Staff working papers Research Topic(s): Climate change, International topics JEL Code(s): C, C2, C22, C5, F, F1, F14, F18, Q, Q5, Q54
Efficiency and Economies of Scale of Large Canadian Banks Staff Working Paper 2005-13 Jason Allen, Ying Liu The authors measure the economies of scale of Canada's six largest banks and their costefficiency over time. Using a unique panel data set from 1983 to 2003, they estimate pooled translog cost functions and derive measures of relative efficiency and economies of scale. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions JEL Code(s): C, C3, C33, D, D2, D24, G, G2, G21
Canadian Financial Stress and Macroeconomic Conditions Staff Discussion Paper 2020-4 Thibaut Duprey Severe disruptions in the financial markets, as observed during the 2008 global financial crisis or the COVID-19 pandemic, can impair the stability of the entire financial system and worsen macroeconomic downturns. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Central bank research, Coronavirus disease (COVID-19), Financial markets, Financial stability, Monetary and financial indicators JEL Code(s): C, C3, C32, E, E4, E44, G, G0, G01
Endogenous Trade Participation with Incomplete Exchange Rate Pass-Through Staff Working Paper 2013-30 Yuko Imura This paper investigates the implications of endogenous trade participation for international business cycles, trade flow dynamics and exchange rate pass-through when price adjustments are staggered across firms. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Exchange rates, International topics JEL Code(s): F, F1, F12, F4, F44
Expenditure-Switching Effect and the Choice of Exchange Rate Regime Staff Working Paper 2007-54 Wei Dong The author investigates the quantitative importance of the expenditure-switching effect by developing and estimating a structural sticky-price model nesting both producer currency pricing (PCP) and local currency pricing (LCP) settings. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rate regimes, International topics JEL Code(s): F, F3, F4