April 16, 2006 Bank of Canada Review - Spring 2006 Cover page Depression Scrip The examples of Depression scrip illustrated here are part of the National Currency Collection of the Bank of Canada. Content Type(s): Publications, Bank of Canada Review
Home Equity Extraction and the Boom-Bust Cycle in Consumption and Residential Investment Staff Working Paper 2018-6 Xiaoqing Zhou The consumption boom-bust cycle in the 2000s coincided with large fluctuations in the volume of home equity borrowing. Contrary to conventional wisdom, I show that homeowners largely borrowed for residential investment and not consumption. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Economic models, Housing JEL Code(s): D, D1, E, E2, E3
November 17, 1999 Monetary Policy Report – November 1999 Since the May Report, the international economic environment has continued to improve. Economic activity abroad grew faster than expected, while inflation in the major economies remained subdued. Content Type(s): Publications, Monetary Policy Report
Uninsured Idiosyncratic Production Risk with Borrowing Constraints Staff Working Paper 2005-26 Francisco Covas The author analyzes a general-equilibrium model of a heterogeneous agents economy in which the agents are subject to borrowing constraints and uninsurable idiosyncratic production risk. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial institutions, Financial markets JEL Code(s): E, E2, E22, G, G1, G11, M, M1, M13
Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures Staff Working Paper 2007-25 Alejandro García, Ramazan Gençay We propose a framework that allows a portfolio manager to quantify the probability of simultaneous losses in multiple assets of a collateral portfolio. Using this framework, we propose a methodology to conduct stress tests on the market value of the portfolio of collateral when undesirable extreme dependence occurs. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, Financial stability JEL Code(s): C, C1, C10, G, G0, G00, G1, G10
Testing Uncovered Interest Parity: A Continuous-Time Approach Staff Working Paper 2007-53 Antonio Diez de los Rios, Enrique Sentana Nowadays researchers can choose the sampling frequency of exchange rates and interest rates. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Exchange rates JEL Code(s): F, F3, F31, G, G1, G15
House Prices, Consumption and the Role of Non-Mortgage Debt Staff Working Paper 2013-2 Katya Kartashova, Ben Tomlin This paper examines the relationship between house prices and consumption, through the use of debt. Using unique Canadian household-level data that reports the uses of debt, we begin by looking at the relationship between house prices and debt. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Domestic demand and components JEL Code(s): D, D1, D10, D14, D3, D31, E, E2, E21
Reassessing Trade Barriers with Global Value Chains Staff Working Paper 2019-19 Yuko Imura This paper provides a systematic, quantitative analysis of the short-run and long-run effects of various trade-restricting policies in the presence of global value chains and multinational production. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Firm dynamics, International topics, Trade integration JEL Code(s): F, F1, F12, F13, F4, F41
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
Poignée de main invisible et persistance des cycles économiques : une revue de la littérature Staff Working Paper 2003-40 Christian Calmès The author explains how self-enforcing labour contracts can enhance the performance of macroeconomic models. He exposes the benefits of using these dynamic contracts to account for some puzzling macroeconomic facts regarding the dynamics and persistence of employment, consumption and output. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E1, E12, E4, E49, J, J3, J30, J31, J4, J41