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3035 Results

October 26, 2018

Staff economic projections

These forecasts are provided to Governing Council in preparation for monetary policy decisions. They are released once a year with a five-year lag.
June 8, 2017

Financial System Review - June 2017

This issue of the Financial System Review reflects the Bank’s judgment that household indebtedness and housing market imbalances–the most important vulnerabilities for the Canadian financial system–have moved higher over the past six months. However, the financial system remains resilient, and macroeconomic conditions continue to improve. Other vulnerabilities discussed in this FSR are fragile fixed-income market liquidity and the capacity of an interconnected financial system to mitigate cyber threats.

The Impact of Macroprudential Housing Finance Tools in Canada: 2005–10

Staff Working Paper 2016-41 Jason Allen, Timothy Grieder, Brian Peterson, Tom Roberts
This paper combines loan-level administrative data with household-level survey data to analyze the impact of recent macroprudential policy changes in Canada using a microsimulation model of mortgage demand of first-time homebuyers.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial system regulation and policies JEL Code(s): C, C6, C63, D, D1, D14, G, G2, G28

Financial Constraint and Productivity: Evidence from Canadian SMEs

Staff Working Paper 2016-44 Shutao Cao, Danny Leung
The degree to which financial constraint is binding is often not directly observable in commonly used business data sets (e.g., Compustat). In this paper, we measure and estimate the likelihood of a firm being constrained by external financing using a data set of small- and medium-sized Canadian firms.
Content Type(s): Staff research, Staff working papers Research Topic(s): Firm dynamics, Productivity JEL Code(s): D, D2, D24, G, G3, G32, L, L2, L25

How Do Mortgage Rate Resets Affect Consumer Spending and Debt Repayment? Evidence from Canadian Consumers

Staff Working Paper 2020-18 Katya Kartashova, Xiaoqing Zhou
We study the causal effect of mortgage rate changes on consumer spending, debt repayment and defaults during an expansionary and a contractionary monetary policy episode in Canada. We find asymmetric responses of consumer durable spending, deleveraging and defaults. These findings help us to understand household sector response to interest rate changes.

On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk

Staff Working Paper 2008-16 Fousseni Chabi-Yo, Eric Ghysels, Eric Renault
The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called twofund separation relies on special assumptions on either returns or preferences.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): C, C5, C52, D, D5, D58, G, G1, G11, G12

Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events

Staff Working Paper 2006-17 Alejandro García, Ramazan Gençay
The authors examine how the use of extreme value theory yields collateral requirements that are robust to extreme fluctuations in the market price of the asset used as collateral.

Labour Supply and Firm Size

Staff Working Paper 2023-47 Lin Shao, Faisal Sohail, Emircan Yurdagul
This paper documents a systematic pattern of how wages, hours and their relationship vary across firms of different sizes. Using a model with heterogeneous firms and workers, we show how the interplay between wages, hours and firm size affect worker sorting and inequality.
Content Type(s): Staff research, Staff working papers Research Topic(s): Firm dynamics, Labour markets JEL Code(s): E, E2, E24, J, J2, J3, J31
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