January 20, 2012 A Fundamental Review of Capital Charges Associated with Trading Activities Financial System Review - December 2011 Grahame Johnson Content Type(s): Publications, Financial System Review articles
Cost Pass-Through with Capacity Constraints and International Linkages Staff working paper 2023-16 Reinhard Ellwanger, Hinnerk Gnutzmann, Piotr Śpiewanowski How are regional cost shocks passed through into global prices? We investigate the role of short-run capacity constraints and show that they can induce stark non-linearities in the pass-through. We highlight this effect for the market for ammonia, a commodity produced largely from natural gas. Content Type(s): Staff research, Staff working papers JEL Code(s): L, L1, L13, L6, L65, Q, Q4, Q40, Q5, Q54 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Structural challenges, Climate change, International trade, finance and competitiveness
Loan Insurance, Market Liquidity, and Lending Standards Staff working paper 2019-47 Toni Ahnert, Martin Kuncl We examine loan insurance—credit risk transfer upon origination—in a model in which lenders can screen, learn loan quality over time, and can sell loans. Some lenders with low screening ability insure, benefiting from higher market liquidity of insured loans while forgoing the option to exploit future information about loan quality. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G0, G01, G2, G21, G28 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial institutions and intermediation, Financial stability and systemic risk, Household and business credit
Behavioral Learning Equilibria in New Keynesian Models Staff working paper 2022-42 Cars Hommes, Kostas Mavromatis, Tolga Özden, Mei Zhu We introduce behavioral learning equilibria (BLE) into DSGE models with boundedly rational agents using simple but optimal first order autoregressive forecasting rules. The Smets-Wouters DSGE model with BLE is estimated and fits well with inflation survey expectations. As a policy application, we show that learning requires a lower degree of interest rate smoothing. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C11, D, D8, D83, D84, E, E3, E6, E62 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission
Exporting and Investment Under Credit Constraints Staff working paper 2023-10 Kim Huynh, Robert Petrunia, Joel Rodrigue, Walter Steingress We examine the relationship between firms’ performance and credit constraints affecting export market entry. Using administrative Canadian firm-level data, our findings show that new exporters (a) increase their productivity, (b) raise their leverage ratio and (c) increase investment. We estimate that 48 percent of Canadian manufacturers face binding credit constraints when deciding whether to enter export markets. Content Type(s): Staff research, Staff working papers JEL Code(s): F, F1, F10, F14, F3, F36, G, G2, G20, G28, G3, G32 Research Theme(s): Financial system, Financial institutions and intermediation, Household and business credit, Models and tools, Economic models, Structural challenges, International trade, finance and competitiveness
Dynamic Competition in Negotiated Price Markets Staff working paper 2020-22 Jason Allen, Shaoteng Li Repeated interactions between borrowers and lenders create the possibility of dynamic pricing: lenders compete aggressively with low prices to attract new borrowers and then raise their prices once borrowers have made a commitment. We find such pricing patterns in the Canadian mortgage market. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D4, G, G2, G21, L, L2 Research Theme(s): Financial markets and funds management, Market structure, Financial system, Financial institutions and intermediation, Household and business credit
Covariates Hiding in the Tails Staff working paper 2021-45 Milian Bachem, Lerby Ergun, Casper G. de Vries We characterize the bias in cross-sectional Hill estimates caused by common underlying factors and propose two simple-to-implement remedies. To test for the presence, direction and size of the bias, we use monthly US stock returns and annual US Census county population data. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C0, C01, C1, C14, C5, C58 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Econometric, statistical and computational methods
June 20, 2010 The Bank of Canada’s Analytic Framework for Assessing the Vulnerability of the Household Sector Financial System Review - June 2010 Ramdane Djoudad Content Type(s): Publications, Financial System Review articles
May 19, 2011 Central Bank Collateral Policy: Insights from Recent Experience Bank of Canada Review - Spring 2011 Lorie Zorn, Alejandro García The collateral policy of central banks played a critical role during the recent financial crisis, as they worked to bolster liquidity and alleviate the funding pressures facing financial institutions. This article examines central bank collateral policy and discusses three areas in which central banks can use their collateral policy to influence financial market practices: promoting greater transparency for securitized products, improving practices related to credit risk, and reducing procyclicality in the management of market risk. Content Type(s): Publications, Bank of Canada Review articles
May 17, 1996 The Transmission of Monetary Policy Gordon Thiessen, Bruce Montador, Kevin Clinton, Kevin Fettig, Donna Howard, Charles Freedman, Pierre Duguay, Stephen S. Poloz, Tim Noël Text of major 1995 lecture by Bank Governor Gordon Thiessen, plus articles from Bank of Canada Review and other sources Content Type(s): Publications, Books and monographs JEL Code(s): E, E5