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. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Econometric and statistical methods, Financial stability JEL Code(s): C, C1, C12, G, G0, G01, G1, G15
Monetary Payoff and Utility Function in Adaptive Learning Models Staff Working Paper 2019-50 Erhao Xie When players repeatedly face an identical or similar game (e.g., coordination game, technology adoption game, or product choice game), they may learn through experience to perform better in the future. This learning behaviour has important economic implications. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Economic models JEL Code(s): C, C5, C57, C7, C72, C9, C92
Uncovered Return Parity: Equity Returns and Currency Returns Staff Working Paper 2018-22 Edouard Djeutem, Geoffrey R. Dunbar We propose an uncovered expected returns parity (URP) condition for the bilateral spot exchange rate. URP implies that unilateral exchange rate equations are misspecified and that equity returns also affect exchange rates. Fama regressions provide evidence that URP is statistically preferred to uncovered interest rate parity (UIP) for nominal bilateral exchange rates between the US dollar and six countries (Australia, Canada, Japan, Norway, Switzerland and the UK) at the monthly frequency. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Exchange rates, International financial markets JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G15
October 15, 2007 Bank of Canada Review - Autumn 2007 Cover page Siamese Gaming Tokens The tokens pictured here are part of the National Currency Collection, Bank of Canada. Photography by Gord Carter, Ottawa. Content Type(s): Publications, Bank of Canada Review
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. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Economic models, Inflation and prices, Labour markets, Productivity JEL Code(s): E, E0, E3, E31, E5, E52
The Global Benefits of Low Oil Prices: More Than Meets the Eye Staff Analytical Note 2016-13 Robert Fay, Justin-Damien Guénette, Louis Morel Between mid-2014 and early 2016, oil prices fell by roughly 65 per cent. This note documents the channels through which this oil price decline is expected to affect the global economy. One important and immediate channel is through higher expenditures, especially in net oil-importing countries. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Business fluctuations and cycles, International topics, Recent economic and financial developments JEL Code(s): E, E3, E32, E37, F, F0, F01, Q, Q4, Q43
Does Financial Integration Increase Welfare? Evidence from International Household-Level Data Staff Working Paper 2015-4 Christian Friedrich Despite a vast empirical literature that assesses the impact of financial integration on the economy, evidence of substantial welfare gains from consumption risk sharing remains elusive. While maintaining the usual cross-country perspective of the literature, this paper explicitly accounts for household heterogeneity and thus relaxes three restrictive assumptions that have featured prominently in the past. Content Type(s): Staff research, Staff working papers Research Topic(s): International financial markets, International topics, Labour markets, Recent economic and financial developments JEL Code(s): E, E2, E21, F, F3, I, I3, I31
May 16, 2018 The (Mostly) Long and Short of Potential Output Remarks Lawrence L. Schembri Ottawa Economics Association and CFA Society Ottawa Ottawa, Ontario Deputy Governor Lawrence Schembri discusses the importance of potential output to monetary policy, as well as policy challenges and opportunities in a world of low potential output growth. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Inflation targets, Interest rates, Labour markets, Monetary policy, Monetary policy framework, Potential output, Productivity
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
Strengthening Inflation Targeting: Review and Renewal Processes in Canada and Other Advanced Jurisdictions Staff Discussion Paper 2020-7 Robert Amano, Thomas J. Carter, Lawrence L. Schembri We summarize the review and renewal process at four central banks (Reserve Bank of New Zealand, Bank of England, Sveriges Riksbank and the US Federal Reserve Bank) and compare them with the process at the Bank of Canada, which has been well-established since 2001. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Central bank research, Inflation targets, Monetary policy framework JEL Code(s): E, E5, E52, E58