Provincial Credit Ratings in Canada: An Ordered Probit Analysis Staff Working Paper 1996-6 Stella Cheung The author estimates the relationship between the provincial credit ratings, as assessed by Standard & Poor's, and a number of economic variables, using the ordered probit methodology. All the variables in her estimation prove to be significant. In particular, she finds that downgrades take place at almost the same speed at different levels of the debt-to-GDP ratio, based on a pooled sample of nine provinces. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): H, H6, H63
Real-Time Analysis of Oil Price Risks Using Forecast Scenarios Staff Working Paper 2012-1 Christiane Baumeister, Lutz Kilian Recently, there has been increased interest in real-time forecasts of the real price of crude oil. Standard oil price forecasts based on reduced-form regressions or based on oil futures prices do not allow consumers of forecasts to explore how much the forecast would change relative to the baseline forecast under alternative scenarios about future oil demand and oil supply conditions. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, E, E3, E32, Q, Q4, Q43
January 24, 2012 Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector Financial System Review - June 2007 Miroslav Misina, David Tessier, Shubhasis Dey Content Type(s): Publications, Financial System Review articles
Search Frictions and Asset Price Volatility Staff Working Paper 2010-1 B. Ravikumar, Enchuan Shao We examine the quantitative effect of search frictions in product markets on asset price volatility. We combine several features from Shi (1997) and Lagos and Wright (2002) in a model without money. Households prefer special goods and general goods. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): E, E4, E44, G, G1, G12
Monetary Policy Governance: Bank of Canada Practices to Support Policy Effectiveness Staff Discussion Paper 2024-14 Brigitte Desroches, Sharon Kozicki, Laure Simon We examine different monetary policy governance structures and discuss the important roles of non-legislated processes and practices. We also provide an update on monetary policy governance at the Bank of Canada and how it has evolved over time. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Credibility, Monetary policy communications, Monetary policy framework JEL Code(s): E, E0, E02, E5, E58
Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data Staff Working Paper 2017-30 Jose Fique In complex and interconnected banking systems, counterparty risk does not depend only on the risk of the immediate counterparty but also on the risk of others in the network of exposures. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability JEL Code(s): C, C6, C63, D, D8, D85, G, G2, G21
Ambiguity, Nominal Bond Yields and Real Bond Yields Staff Working Paper 2018-24 Guihai Zhao Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal yield curves. We develop a model that can generate upward-sloping nominal and real yield curves by instead using ambiguity about inflation and growth. 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
The Zero Bound on Nominal Interest Rates: Implications for the Optimal Monetary Policy in Canada Staff Discussion Paper 2007-1 Claude Lavoie, Hope Pioro The authors assess the performance of the Canadian economy under a variety of interest rate rules when the zero bound on nominal interest rates can bind. Their assessment is based on numerical simulations of a dynamic stochastic general-equilibrium model in a stochastic environment. Consistent with the literature, the authors find that the probability and consequences […] Content Type(s): Staff research, Staff discussion papers Research Topic(s): Inflation: costs and benefits, Interest rates, Monetary policy framework JEL Code(s): E, E4, E43, E47, E5, E52
The Construction of Continuity-Adjusted Monetary Aggregate Components Staff Working Paper 2003-22 Jeannie Kottaras Changes in the financial industry result in new data that are inconsistent with the former presentation, and therefore adjustments are required to "adjust" or smooth out these breaks to establish continuity. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary aggregates JEL Code(s): E, E5, E51
Some Economics of Private Digital Currency Staff Working Paper 2013-38 Joshua S. Gans, Hanna Halaburda This paper reviews some recent developments in digital currency, focusing on platform-sponsored currencies such as Facebook Credits. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Economic models, Payment clearing and settlement systems JEL Code(s): D, D4, D42, E, E4, L, L5, L51