The Dynamics of Capital Flow Episodes Staff Working Paper 2016-9 Christian Friedrich, Pierre Guérin This paper proposes a novel methodology for identifying episodes of strong capital flows based on a regime-switching model. In comparison with the existing literature, a key advantage of our methodology is to estimate capital flow regimes without the need for context- and sample-specific assumptions. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International financial markets, International topics, Monetary policy and uncertainty JEL Code(s): F, F2, F21, F3, F32, G, G1, G11
An Empirical Analysis of Bill Payment Choices Staff Working Paper 2021-23 Anneke Kosse How do Canadians pay their bills? 2019 survey data collected from over 4,000 Canadian consumers show how people’s bill payment choices vary with consumer characteristics and types of bills. The data also reveal that many consumers feel limited in their choices, which suggests that preferences of billers might play an important role as well. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Econometric and statistical methods, Financial services, Payment clearing and settlement systems JEL Code(s): D, D1, D9, G, G2
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
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
Lessons from the Financial Crisis: Bank Performance and Regulatory Reform Staff Discussion Paper 2013-4 Neville Arjani, Graydon Paulin The financial systems of some countries fared materially better than others during the global financial crisis of 2007-09. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial institutions, Financial system regulation and policies JEL Code(s): G, G2, G21, G28
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
Firm Heterogeneity, Technological Adoption, and Urbanization: Theory and Measurement Staff Working Paper 2017-27 Alex Chernoff This paper develops a model of firm heterogeneity, technological adoption, and urbanization. In the model, welfare is measured by household real income, and urbanization is measured by population density. I use the model to derive statistics that measure the effect of a new technology on productivity, welfare, and urbanization. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Productivity, Regional economic developments JEL Code(s): N, N6, N61, O, O1, O14, R, R1, R13
Variance Premium, Downside Risk and Expected Stock Returns Staff Working Paper 2017-58 Bruno Feunou, Ricardo Lopez Aliouchkin, Roméo Tedongap, Lai Xi We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large cross-section of firms. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets JEL Code(s): G, G1, G12
Lending Standards, Productivity and Credit Crunches Staff Working Paper 2019-25 Jonathan Swarbrick We propose a macroeconomic model in which adverse selection in investment drives the amplification of macroeconomic fluctuations, in line with prominent roles played by the credit crunch and collapse of the asset-backed security market in the financial crisis. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Financial markets, Financial stability, Interest rates, Productivity JEL Code(s): E, E2, E22, E3, E32, E4, E44, G, G0, G01