June 8, 2015 Panel remarks for round table discussion at the 21st Conference of Montréal Remarks Carolyn A. Wilkins 21st Conference of Montréal: International Economic Forum of the Americas Montréal, Quebec Introduction Thank you for the invitation to be here today. I’m honoured to be part of this panel. It’s been more than seven years since the global financial crisis began, and we’re still coping with its aftermath. One of the consequences of the crisis has been a disruption of financial globalization. Global capital flows—to give […] Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Credit risk management, Financial markets, Financial stability, Financial system regulation and policies, International financial markets, International topics
Price Formation and Liquidity Provision in Short-Term Fixed Income Markets Staff Working Paper 2007-27 Chris D'Souza, Ingrid Lo, Stephen Sapp Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Interest rates, Market structure and pricing JEL Code(s): G, G1, G12, G14, G15
Lagging Productivity Growth in the Service Sector: Mismeasurement, Mismanagement or Misinformation? Staff Working Paper 1997-6 Dinah Maclean While the service sector has been growing rapidly as a share of total output, aggregate productivity growth has generally lagged behind that of the goods sector. In this report, the author assesses a range of explanations for lagging service sector productivity growth. Content Type(s): Staff research, Staff working papers Research Topic(s): Productivity, Recent economic and financial developments JEL Code(s): L, L8, L80, O, O4, O47
Labour Markets, Liquidity, and Monetary Policy Regimes Staff Working Paper 2002-32 David Andolfatto, Scott Hendry, Kevin Moran We develop an equilibrium model of the monetary policy transmission mechanism that highlights information frictions in the market for money and search frictions in the market for labour. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy and uncertainty, Monetary policy transmission JEL Code(s): E, E4, E5
Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets Staff Working Paper 2006-43 Alexander Melnikov, Yuliya Romanyuk The authors use the efficient hedging methodology for optimal pricing and hedging of equity-linked life insurance contracts whose payoff depends on the performance of several risky assets. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): D, D8, D81, G, G1, G10, G12
Systematic Risk, Debt Maturity and the Term Structure of Credit Spreads Staff Working Paper 2012-27 Hui Chen, Yu Xu, Jun Yang We build a dynamic capital structure model to study the link between systematic risk exposure and debt maturity, as well as their joint impact on the term structure of credit spreads. Our model allows for time variation and lumpiness in the maturity structure. Relative to short-term debt, long-term debt is less prone to rollover risks, but its illiquidity raises the costs of financing. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Debt management JEL Code(s): G, G3, G32, G33
An Index of Financial Stress for Canada Staff Working Paper 2003-14 Mark Illing, Ying Liu The authors develop an index of financial stress for the Canadian financial system. Stress is defined as the force exerted on economic agents by uncertainty and changing expectations of loss in financial markets and institutions. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial markets JEL Code(s): E, E5, G, G1, G10
Search-for-Yield in Canadian Fixed-Income Mutual Funds and Monetary Policy Staff Working Paper 2014-3 Sermin Gungor, Jesus Sierra This paper investigates the effects of monetary policy on the risk-taking behavior of fixed-income mutual funds in Canada. We consider different measures of the stance of monetary policy and investigate active variation in mutual funds’ risk exposure in response to monetary policy. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Monetary policy transmission JEL Code(s): E, E5, E52, G, G2, G23
Financial Stress, Monetary Policy, and Economic Activity Staff Working Paper 2010-12 Fuchun Li, Pierre St-Amant This paper examines empirically the impact of financial stress on the transmission of monetary policy shocks in Canada. The model used is a threshold vector autoregression in which a regime change occurs if financial stress conditions cross a critical threshold. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, Monetary policy and uncertainty JEL Code(s): C, C0, C01, E, E5, E50, G, G0, G01
Credibility, Flexibility and Renewal: The Evolution of Inflation Targeting in Canada Staff Discussion Paper 2018-18 Thomas J. Carter, Rhys R. Mendes, Lawrence L. Schembri In 1991, Canada became the second country to adopt an inflation target as a central pillar of its monetary policy framework. The regime has proven much more successful than initially expected, both in achieving price stability and in stabilizing the real economy against a wide range of shocks. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Credibility, Inflation targets, Monetary policy, Monetary policy framework JEL Code(s): E, E5, E52, E58, E6, E61