December 21, 2007 An Approach to Stress Testing the Canadian Mortgage Portfolio Financial System Review - December 2007 Moez Souissi Content Type(s): Publications, Financial System Review articles
Durées d'utilisation des facteurs et fonction de production : une estimation par la méthode des moments généralisés en système Staff Working Paper 2004-12 Eric Heyer, Florian Pelgrin, Arnaud Sylvain Although a number of studies have demonstrated the importance of the degree of factor utilization in economic analysis, the impact of the durations of utilization in a production function remains largely unknown, particularly in terms of the duration of equipment utilization. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models JEL Code(s): C, C3, C33, D, D2, D24, J, J2, J23
An Investigation into the Effects of Border Carbon Adjustments on the Canadian Economy Staff Working Paper 2023-27 Y.-H. Henry Chen, Hossein Hosseini Jebeli, Craig Johnston, Sergey Paltsev, Marie-Christine Tremblay We examine the economic implications of border carbon adjustments (BCAs) for Canada. We find that, BCAs, in the form of import tariffs, reduce Canada’s carbon leakage and improve its competitiveness when Canada is part of a broad coalition of BCA-implementing countries. Welfare also improves when tariff revenues are transferred to households. Content Type(s): Staff research, Staff working papers Research Topic(s): Climate change, International topics, Trade integration JEL Code(s): C, C6, C68, F, F1, H, H2, Q, Q3, Q37, Q5
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. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Interest rates, Monetary policy, Monetary policy transmission JEL Code(s): D, D1, D12, D14, E, E4, E43, E5, E52, G, G2, G21, R, R3, R31
International Banking and Cross-Border Effects of Regulation: Lessons from Canada Staff Working Paper 2016-34 H. Evren Damar, Adi Mordel We study how changes in prudential requirements affect cross-border lending of Canadian banks by utilizing an index that aggregates adjustments in key regulatory instruments across jurisdictions. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): F, F3, F34, G, G0, G01, G2, G21
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. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial stability, Payment clearing and settlement systems JEL Code(s): C, C1, G, G0, G1
Credit Crunches from Occasionally Binding Bank Borrowing Constraints Staff Working Paper 2017-57 Tom D. Holden, Paul Levine, Jonathan Swarbrick We present a model in which banks and other financial intermediaries face both occasionally binding borrowing constraints and costs of equity issuance. Near the steady state, these intermediaries can raise equity finance at no cost through retained earnings. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial markets JEL Code(s): E, E2, E22, E3, E32, E5, E51, G, G2
Bouncing Back: How Mothballing Curbs Prices Staff Working Paper 2024-51 Thibaut Duprey, Artur Kotlicki, Daniel E. Rigobon, Philip Schnattinger We investigate the macroeconomic impacts of mothballed businesses—those that closed temporarily—on sectoral equilibrium prices after a negative demand shock. Our results suggest that pandemic fiscal support for temporary closures may have eased inflationary pressures. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Firm dynamics, Fiscal policy, Inflation and prices JEL Code(s): C, C5, C55, C8, C81, D, D2, D22, E, E3, E32
The Role of Credit in International Business Cycles Staff Working Paper 2012-36 TengTeng Xu This paper examines the role of bank credit in modeling and forecasting business cycle fluctuations, and investigates the international transmission of US credit shocks, using a global vector autoregressive (GVAR) framework and associated country-specific error correction models. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Econometric and statistical methods, International financial markets JEL Code(s): C, C3, C32, E, E3, E32, E4, E44, G, G2, G21
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