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3045 Results

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.
November 16, 2017

An Update on the Neutral Rate of Interest

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.

Let’s Get Physical: Impacts of Climate Change Physical Risks on Provincial Employment

Staff Working Paper 2024-32 Thibaut Duprey, Soojin Jo, Geneviève Vallée
We analyze 40 years’ worth of natural disasters using a local projection framework to assess their impact on provincial labour markets in Canada. We find that disasters decrease hours worked within a week and lower wage growth in the medium run. Our study highlights that disasters affect vulnerable workers through the income channel.
Content Type(s): Staff research, Staff working papers Research Topic(s): Climate change, Labour markets, Regional economic developments JEL Code(s): C, C3, C33, E, E2, E24, J, J3, Q, Q5, Q54

How Do Agents Form Macroeconomic Expectations? Evidence from Inflation Uncertainty

Staff Working Paper 2024-5 Tao Wang
The uncertainty regarding inflation that is observed in density forecasts of households and professionals helps macroeconomists understand the formation mechanism of inflation expectations. Shocks to inflation take time to be perceived by all agents in the economy, and such rigidity is lower in a high-inflation environment.

Should Bank Capital Regulation Be Risk Sensitive?

Staff Working Paper 2018-48 Toni Ahnert, James Chapman, Carolyn A. Wilkins
We present a simple model to study the risk sensitivity of capital regulation. A banker funds investment with uninsured deposits and costly capital, where capital resolves a moral hazard problem in the banker’s choice of risk.

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

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

Pulse check: Measuring underlying inflation and its drivers

Staff Analytical Note 2025-29 Luis Uzeda
This note presents PULSE, a new measure of underlying inflation in Canada based on a dynamic factor model estimated on disaggregated inflation data. PULSE captures the persistent component of inflation and decomposes it into broad-based and sector-specific inflationary pressures.
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