Search

Content Types

Research Topics

JEL Codes

Locations

Departments

Authors

Sources

Statuses

Published After

Published Before

3035 Results

Modeling Fluctuations in the Global Demand for Commodities

Staff Working Paper 2018-4 Lutz Kilian, Xiaoqing Zhou
It is widely understood that the real price of globally traded commodities is determined by the forces of demand and supply. One of the main determinants of the real price of commodities is shifts in the demand for commodities associated with unexpected fluctuations in global real economic activity.
Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): F, F4, F44, Q, Q1, Q11, Q3, Q31, Q4, Q41, Q43

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.

Fragility of Resale Markets for Securitized Assets and Policy of Asset Purchases

Staff Working Paper 2016-46 Martin Kuncl
Markets for securitized assets were characterized by high liquidity prior to the recent financial crisis and by a sudden market dry-up at the onset of the crisis. A general equilibrium model with heterogeneous investment opportunities and information frictions predicts that, in boom periods or mild recessions, the degree of adverse selection in resale markets for securitized assets is limited because of the reputation-based guarantees by asset originators.

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.

Can the Business Outlook Survey Help Improve Estimates of the Canadian Output Gap?

Staff Discussion Paper 2020-14 Calista Cheung, Luke Frymire, Lise Pichette
We investigate whether questions in the Bank of Canada’s Business Outlook Survey can provide useful signals for the output gap.

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

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.

Measuring Potential Output at the Bank of Canada: The Extended Multivariate Filter and the Integrated Framework

Staff Discussion Paper 2015-1 Lise Pichette, Pierre St-Amant, Ben Tomlin, Karine Anoma
Estimating potential output and the output gap - the difference between actual output and its potential - is important for the proper conduct of monetary policy. However, the measurement and interpretation of potential output, and hence the output gap, is fraught with uncertainty, since it is unobservable.

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.
Go To Page