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3037 Results

Testing for Financial Contagion with Applications to the Canadian Banking System

Staff Working Paper 2009-14 Fuchun Li
The author proposes a new test for financial contagion based on a non-parametric measure of the cross-market correlation. The test does not depend on the assumption that the data are drawn from a given probability distribution; therefore, it allows for maximal flexibility in fitting into the data.

Une nouvelle méthode d'estimation de l'écart de production et son application aux États-Unis, au Canada et à l'Allemagne

Staff Working Paper 1998-21 René Lalonde, Jennifer Page, Pierre St-Amant
This study introduces a new method for identifying the output gap, based on the estimation of multivariate autoregression (VAR) models. This approach, which involves using restrictions to identify structural shocks that have only a transitory effect on output but that affect the trend inflation rate, is compared with the decomposition method proposed by Blanchard and […]

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

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.

The Heterogeneous Effects of COVID-19 on Canadian Household Consumption, Debt and Savings

Staff Working Paper 2020-51 James (Jim) C. MacGee, Thomas Michael Pugh, Kurt See
The impact of COVID-19 on Canadian households’ debt and unplanned savings varies by household income. Low-income and high-income households accrued unplanned savings, while middle-income households tended to accumulate more debt.

Firm Inattention and the Efficacy of Monetary Policy: A Text-Based Approach

Staff Working Paper 2022-3 Wenting Song, Samuel Stern
How much attention do firms pay to macroeconomic news? Through a novel text-based measure, two facts emerge. First, attention is polarized. Most firms either never or always pay attention to economic conditions. Second, it is countercyclical. During recessions, more firms pay attention, and firms pay greater attention to macroeconomic news.

Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps

Staff Working Paper 2023-38 Andrea Ugolini, Juan C. Reboredo, Javier Ojea Ferreiro
We study whether the credit derivatives of firms reflect the risk from climate transition. We find that climate transition risk has asymmetric and significant economic impacts on the credit risk of more vulnerable firms, and negligible effects on other firms.

The Canadian Neutral Rate of Interest through the Lens of an Overlapping-Generations Model

Staff Discussion Paper 2023-5 Martin Kuncl, Dmitry Matveev
We use a small open economy model with overlapping generations to evaluate secular dynamics of the neutral rate in Canada from 1980 to 2018. We find that changes in both foreign and domestic factors resulted in a protracted decline in the neutral rate.
Content Type(s): Staff research, Staff discussion papers Research Topic(s): Economic models, Interest rates, Monetary policy JEL Code(s): E, E2, E21, E22, E4, E43, E5, E50, E52, E58, F, F4, F41

Changes in Payment Timing in Canada’s Large Value Transfer System

Staff Working Paper 2015-20 Nellie Zhang
This paper uncovers trends in payment timing in Canada’s Large Value Transfer System (LVTS) from 2003 to 2011. Descriptive analysis shows that LVTS payment activity has not been peaking in the late afternoon since 2008, and the improvement was most significant in 2009.
Content Type(s): Staff working papers Research Topic(s): Payment clearing and settlement systems JEL Code(s): E, E5, E50, G, G2, G20
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