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
Price Discovery in Canadian Government Bond Futures and Spot Markets Staff Working Paper 2007-4 Christopher Chung, Bryan Campbell, Scott Hendry In this paper we look at the relative information content of cash and futures prices for Canadian Government bonds. We follow the information-share approaches introduced by Hasbrouck (1995) and Harris et al (1995), applying the techniques in Gonzalo-Granger (1995), to evaluate the relative contributions of trading in the cash and futures markets to the price discovery process. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G12, G13, G14
Non-competing Data Intermediaries Staff Working Paper 2020-28 Shota Ichihashi I study a model of competing data intermediaries (e.g., online platforms and data brokers) that collect personal data from consumers and sell it to downstream firms. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models JEL Code(s): D, D4, D42, D43, D8, D80, L, L1, L12
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
Monetary Policy Uncertainty: A Tale of Two Tails Staff Working Paper 2018-50 Tatjana Dahlhaus, Tatevik Sekhposyan We document a strong asymmetry in the evolution of federal funds rate expectations and map this observed asymmetry into measures of monetary policy uncertainty. We show that periods of monetary policy tightening and easing are distinctly related to downside (policy rate is higher than expected) and upside (policy rate is lower than expected) uncertainty. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Monetary policy and uncertainty, Monetary policy communications, Monetary policy transmission JEL Code(s): C, C1, C18, C3, C32, E, E0, E02, E4, E43, E5, E52
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
June 13, 2013 The Market for Collateral: The Potential Impact of Financial Regulation Financial System Review - June 2013 Jorge Cruz Lopez, Royce Mendes, Harri Vikstedt Content Type(s): Publications, Financial System Review articles
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
Do Exchange Rates Affect the Capital-Labour Ratio? Panel Evidence from Canadian Manufacturing Industries Staff Working Paper 2005-12 Danny Leung, Terence Yuen Using industry-level data for Canadian manufacturing industries from 1981 to 1997, the authors find empirical evidence of a negative relationship between the capital-labour ratio and the user cost of capital relative to the price of labour. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Productivity JEL Code(s): F, F4
November 16, 2017 An Update on the Neutral Rate of Interest Bank of Canada Review - Autumn 2017 José Dorich, Abeer Reza, Subrata Sarker The neutral rate serves as a benchmark for measuring monetary stimulus and provides a medium- to long-run anchor for the real policy rate. Global neutral rate estimates have been falling over the past few decades. Factors such as population aging, high corporate savings, and low trend productivity growth are likely to continue supporting a low global neutral rate. These global factors as well as domestic factors are exerting downward pres-sure on the Canadian real neutral rate, which is estimated to be between 0.5 to 1.5 per cent. This low neutral rate has important implications for monetary policy and financial stability. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Interest rates, International topics, Potential output, Recent economic and financial developments JEL Code(s): E, E4, E43, E5, E52, E58, F, F0, F01, F4, F43, O, O4