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3032 Results

What Drives Episodes of Settlement Fails in the Government of Canada Bond Market?

We study settlement fails for trades in the Government of Canada bond market. We find that settlement fails do not occur independently. Using a novel and comprehensive dataset, we examine three drivers of fails.

A Stochastic Simulation Framework for the Government of Canada's Debt Strategy

Staff Working Paper 2003-10 David Bolder
Debt strategy is defined as the manner in which a government finances an excess of government expenditures over revenues and any maturing debt issued in previous periods. The author gives a thorough qualitative description of the complexities of debt strategy analysis and then demonstrates that it is, in fact, a problem in stochastic optimal control.

Trade Flows and Exchange Rates: Importers, Exporters and Products

Staff Working Paper 2019-41 Michael Devereux, Wei Dong, Ben Tomlin
Using highly disaggregated transaction-level trade data, we document the importance of new firm-level trade partner relationships and the addition of new products to existing relationships in driving aggregate trade flows.
Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Firm dynamics, International topics JEL Code(s): F, F1, F4

Crude Oil Prices and Fixed-Asset Cash Spending in the Oil and Gas Industry: Findings from VAR Models

Staff Analytical Note 2016-8 Farrukh Suvankulov
This note investigates the relationship between crude oil prices and investment in the energy sector. We employ a set of vector autoregression (VAR) models (unconstrained VAR, vector error-correction and Bayesian VAR) to formalize the relationship between the West Texas Intermediate (WTI) benchmark and fixed-asset cash spending in the oil and gas extraction and support activities sector of the Canadian economy.

CANVAS: A Canadian Behavioral Agent-Based Model

The Bank of Canada’s current suite of models faces challenges in addressing network effects that integrate household and firm-level heterogeneity and their behaviours. We develop CANVAS, a Canadian behavioural agent-based model to contribute to the Bank’s next-generation modelling effort. CANVAS improves forecasting performance and expands capacity for model-based scenario analysis.

A Structural Interpretation of the Recent Weakness in Business Investment

Staff Analytical Note 2017-7 Russell Barnett, Rhys R. Mendes
Since 2012, business investment growth has slowed considerably in advanced economies, averaging a little less than 2 per cent versus the 4 per cent growth rates experienced in the period leading up to crisis. Several recent studies have attributed a large part of the weakness in business investment to cyclical factors, including soft aggregate demand, and, to a lesser degree, heightened uncertainty and tighter financial conditions.

Exploring Differences in Household Debt Across Euro Area Countries and the United States

We use internationally comparable household-level data for ten euro area economies and the United States to investigate cross-country differences in debt holdings and the potential of debt overhang.

From He-Cession to She-Stimulus? The Labor Market Impact of Fiscal Policy Across Gender

Staff Working Paper 2021-42 Alica Ida Bonk, Laure Simon
The effects of fiscal policy shocks on labour market outcomes across gender depend on the type of public expenditure. Women benefit most from increases in the government wage bill, while men are the main beneficiaries of higher investment spending.
Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Fiscal policy, Labour markets JEL Code(s): E, E3, E32, E6, E62, J, J1, J16, J2, J21

A Market-Based Approach to Reverse Stress Testing the Financial System

Staff Working Paper 2025-32 Javier Ojea Ferreiro
This article examines what market conditions lead to extreme losses in global financial systems. Using a reverse stress testing approach, it introduces two measures of systemic risk by starting from the tail losses and working backward to identify the events most closely associated with them.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability JEL Code(s): C, C0, C02, C3, C32, C5, C58, G, G2, G21

Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields

Staff Working Paper 2020-14 Guihai Zhao
This equilibrium model explains the trend in long-term yields and business-cycle movements in short-term yields and yield spreads. The less-frequent inverted yield curves (and less-frequent recessions) after the 1990s are due to recent secular stagnation and procyclical inflation expectations.
Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets, Interest rates JEL Code(s): E, E4, E43, G, G0, G00, G1, G12
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