April 24, 2005 Bank of Canada Review - Spring 2005 Cover page Moroccan Coin Moulds This bronze mould from Morocco is part of the National Currency Collection, Bank of Canada. Photography by Gord Carter, Ottawa. Content Type(s): Publications, Bank of Canada Review
We Didn’t Start the Fire: Effects of a Natural Disaster on Consumers’ Financial Distress Staff Working Paper 2023-15 Anson T. Y. Ho, Kim Huynh, David T. Jacho-Chávez, Geneviève Vallée We use detailed consumer credit data to investigate the impact of the 2016 Fort McMurray wildfire, the costliest wildfire disaster in Canadian history, on consumers’ financial stress. We focus on the arrears of insured mortgages because of their important implications for financial institutions and insurers’ business risk and relevant management practices. Content Type(s): Staff research, Staff working papers Research Topic(s): Climate change, Credit and credit aggregates, Econometric and statistical methods, Financial stability JEL Code(s): C, C2, C21, D, D1, D12, G, G2, G21, Q, Q5, Q54
Speculators, Prices and Market Volatility Staff Working Paper 2015-42 Celso Brunetti, Bahattin Buyuksahin, Jeffrey H. Harris We analyze data from 2005 through 2009 that uniquely identify categories of traders to assess how speculators such as hedge funds and swap dealers relate to volatility and price changes. Examining various subperiods where price trends are strong, we find little evidence that speculators destabilize financial markets. Content Type(s): Staff research, Staff working papers Research Topic(s): International topics, Recent economic and financial developments JEL Code(s): C, C3, G, G1
Modeling Fluctuations in the Global Demand for Commodities Staff Working Paper 2018-4 Lutz Kilian, Xiaoqing Zhou It is widely understood that the real price of globally traded commodities is determined by the forces of demand and supply. One of the main determinants of the real price of commodities is shifts in the demand for commodities associated with unexpected fluctuations in global real economic activity. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): F, F4, F44, Q, Q1, Q11, Q3, Q31, Q4, Q41, Q43
August 16, 2012 Bank of Canada Review - Summer 2012 This issue features three articles that present research and analysis by Bank of Canada staff. The first updates previous Bank estimates of measurement bias in the Canadian consumer price index; the second uses a new term-structure model to analyze the relationship between the short-term policy rate and long-term interest rates; and the third examines indicators of balance-sheet risks at financial institutions in Canada. Content Type(s): Publications, Bank of Canada Review
Educational Spillovers: Does One Size Fit All? Staff Working Paper 2005-10 Robert Baumann, Raphael Solomon In a search model of production, where agents accumulate heterogeneous amounts of human capital, an individual worker's wage depends on average human capital in the searching population. Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets JEL Code(s): I, I2, I29, J, J2, J24, J3, J31
The Rise of Non-Regulated Financial Intermediaries in the Housing Sector and its Macroeconomic Implications Staff Working Paper 2017-36 Hélène Desgagnés I examine the impact of non-regulated lenders in the mortgage market using a dynamic stochastic general equilibrium (DSGE) model. My model features two types of financial intermediaries that differ in three ways: (i) only regulated intermediaries face a capital requirement, (ii) non-regulated intermediaries finance themselves by selling securities and cannot accept deposits, and (iii) non-regulated intermediaries face a more elastic demand. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Financial system regulation and policies, Housing JEL Code(s): E, E3, E32, E4, E44, E47, E6, E60, G, G2, G21, G23, G28
Modelling the Evolution of Credit Spreads in the United States Staff Working Paper 2004-45 Stuart Turnbull, Jun Yang The authors use Jarrow and Turnbull's (1995) reduced-form methodology to model the evolution of the term structure of interest rates in the United States for different credit classes and different industries. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G12, G13
Quantitative Easing in a Small Open Economy: An International Portfolio Balancing Approach Staff Working Paper 2016-55 Serdar Kabaca This paper studies the effects of quantitative easing (QE) in a small open economy dynamic stochastic general-equilibrium model with international portfolio balancing. Portfolios are classified as imperfectly substitutable short-term and long-term subportfolios, each including domestic and foreign bonds. Content Type(s): Staff research, Staff working papers Research Topic(s): International topics, Monetary policy transmission JEL Code(s): E, E5, E52, F, F4, F41
Machine learning for economics research: when, what and how Staff Analytical Note 2023-16 Ajit Desai This article reviews selected papers that use machine learning for economics research and policy analysis. Our review highlights when machine learning is used in economics, the commonly preferred models and how those models are used. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Central bank research, Econometric and statistical methods, Economic models JEL Code(s): A, A1, A10, B, B2, B23, C, C4, C45, C5, C55