December 14, 2009 Liquidity Standards in a Macroprudential Context Financial System Review - December 2009 Carol Ann Northcott, Mark Zelmer Content Type(s): Publications, Financial System Review articles
December 24, 2004 Government of Canada Yield-Curve Dynamics, 1986-2003 Bank of Canada Review - Winter 2004-2005 Grahame Johnson A database of historical Government of Canada zero-coupon yield curves developed at the Bank of Canada is introduced in this article, which also includes an initial statistical analysis of the behaviour and evolution of the zero-coupon interest (spot) rates over the full period and two distinct subperiods. Specific areas of interest include the evolution of the levels of key interest rates and yield-curve measures over the sample as well as daily changes in the key interest rates and the yield-curve measures; the identification of a relatively small number of factors that drove the evolution of the yield curve; and the total returns that would have been realized by holding bonds of different maturities for a given holding period. Content Type(s): Publications, Bank of Canada Review articles Topic(s): Debt management, Econometric and statistical methods, Financial markets
Investment, Private Information, and Social Learning: A Case Study of the Semiconductor Industry Staff Working Paper 2004-32 Rose Cunningham Social learning models of investment provide an interesting explanation for sudden changes in investment behaviour. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles JEL Code(s): C, C3, C35, E, E3, E32, L, L6, L63
Capital Structure, Pay Structure and Job Termination Staff Working Paper 2016-12 Jason Allen, James R. Thompson We develop a model to analyze the link between financial leverage, worker pay structure and the risk of job termination. Contrary to the conventional view, we show that even in the absence of any agency problem among workers, variable pay can be optimal despite workers being risk averse and firms risk neutral. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Labour markets JEL Code(s): G, G2, G24, J, J3, J33
Credit Risk Transfer and Bank Insolvency Risk Staff Working Paper 2017-59 Maarten van Oordt The present paper shows that, everything else equal, some transactions to transfer portfolio credit risk to third-party investors increase the insolvency risk of banks. This is particularly likely if a bank sells the senior tranche and retains a sufficiently large first-loss position. Content Type(s): Staff research, Staff working papers Topic(s): Credit risk management, Financial institutions, Financial stability JEL Code(s): G, G2, G21, G28, G3, G32
Multilateral Adjustment and Exchange Rate Dynamics: The Case of Three Commodity Currencies Staff Working Paper 2007-41 Jeannine Bailliu, Ali Dib, Takashi Kano, Lawrence L. Schembri In this paper, we empirically investigate whether multilateral adjustment to large U.S. external imbalances can help explain movements in the bilateral exchange rates of three commodity currencies – the Australian, Canadian and New Zealand (ACNZ) dollars. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Exchange rates JEL Code(s): C, C1, C11, C2, C22, F, F3, F31, F32
Financial Development Beyond the Formal Financial Market Staff Working Paper 2018-49 Lin Shao This paper studies the effects of financial development, taking into account both formal and informal financing. Using cross-country firm-level data, we document that informal financing is utilized more by rich countries than poor countries. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Firm dynamics, Productivity JEL Code(s): E, E4, E44, O, O1, O17, O4, O47
April 5, 2016 China’s Great Transition: What It Means for Canada Remarks Carolyn A. Wilkins Greater Vancouver Board of Trade Vancouver, British Columbia Senior Deputy Governor Carolyn Wilkins discusses the risks and opportunities for Canada of China’s economic transition. Content Type(s): Press, Speeches and appearances, Remarks Topic(s): Financial stability, International financial markets, International topics, Monetary policy, Monetary policy and uncertainty, Trade integration
Qualitative Field Research in Monetary Policy Making Staff Discussion Paper 2021-1 Chris D'Souza, Jane Voll Central banks conduct research involving in-depth interviews with external parties—but little is known about how this information affects monetary policy. We address this gap by analyzing open-ended interviews with senior central bank economic and policy staff who work closely with policy decision-makers. Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, Monetary policy, Monetary policy and uncertainty JEL Code(s): C, C8, C83, E, E3, E37, E5, E52
Housing Market Dynamics and Macroprudential Policy Staff Working Paper 2016-31 Gabriel Bruneau, Ian Christensen, Césaire Meh We perform an analysis to determine how well the introduction of a countercyclical loanto- value (LTV) ratio can reduce household indebtedness and housing price fluctuations compared with a monetary policy rule augmented with house price inflation. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Financial stability, Housing, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E3, E31, E4, E42, H, H2, H23