What To Do about Bilateral Credit Limits in the LVTS When a Closure Is Anticipated: Risk versus Liquidity Sharing among LVTS Participants Staff Discussion Paper 2008-13 Sean O'Connor, Greg Caldwell The authors examine the effect of a trade-off between shared credit risk and liquidity efficiency, among participants in Tranche 2 of the Large Value Transfer System (LVTS T2), on their decisions to leave open, or close, their bilateral credit limits (BCLs) to a participant at risk of imminent closure. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial institutions, Financial services, Payment clearing and settlement systems JEL Code(s): G, G2, G21, L, L1, L13, L14
June 11, 2015 Financial System Review - June 2015 The Reports section of the Financial System Review examines selected issues of relevance to the Canadian and global financial systems. The June 2015 issue features two reports summarizing recent work by Bank of Canada staff on specific financial sector policies. Content Type(s): Publications, Financial Stability Report
Losing Contact: The Impact of Contactless Payments on Cash Usage Staff Working Paper 2020-56 Marie-Hélène Felt Contactless payment cards are a competitive alternative to cash. Using Canadian panel data from 2010 to 2017, this study investigates whether contactless credit cards are an important contributor to the decline in the transactional use of cash. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods, Financial services JEL Code(s): C, C3, C33, D, D1, D12, E, E4, E41
A Comprehensive Evaluation of Measures of Core Inflation in Canada: An Update Staff Discussion Paper 2019-9 Helen Lao, Ceciline Steyn We provide an updated evaluation of the value of various measures of core inflation that could be used in the conduct of monetary policy. We find that the Bank of Canada’s current preferred measures of core inflation—CPI-trim, CPI-median and CPI-common—continue to outperform alternative core measures across a range of criteria. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Inflation and prices, Monetary policy framework JEL Code(s): E, E3, E31, E5, E52
Identifying Consumer-Welfare Changes when Online Search Platforms Change Their List of Search Results Staff Working Paper 2020-5 Ryan Martin Online shopping is often guided by search platforms. Consumers type keywords into query boxes, and search platforms deliver a list of products. Consumers' attention is limited, and exhaustive searches are often impractical. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C1, C14, D, D1, D11, D12, D6, D8, D83, L, L4, L40
Job Ladder and Business Cycles Staff Working Paper 2022-14 Felipe Alves During downturns, workers get stuck in low-productivity jobs and wages remain stagnant. I build an heterogenous agent incomplete market model with a full job ladder that accounts for these facts. An adverse financial shock calibrated to the US Great Recession replicates the period’s slow recovery and missing disinflation. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Inflation and prices, Labour markets, Productivity JEL Code(s): D, D3, D31, D5, D52, E, E2, E21, E24, E3, E31, E32
Persistent Leverage in Portfolio Sorts: An Artifact of Measurement Error? Staff Working Paper 2014-55 Michael Mueller Studies such as Lemmon, Roberts and Zender (2008) demonstrate how stable firms’ capital structures are over time, and raise the question of whether new theories of capital structure are needed to explain these phenomena. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C18, G, G3, G32
Monetary Policy, Uncertainty and the Presumption of Linearity Technical Report No. 63 Douglas Laxton, David Rose, Robert Tetlow This report shows that extreme conditions and volatility in markets are much more likely to result from systematic policy errors in gauging and responding to inflationary pressures in an economy than from unfortunate random shocks. We describe a simple model that incorporates the key features of the policy control process. We use two versions of […] Content Type(s): Staff research, Technical reports Research Topic(s): Economic models, Inflation and prices, Monetary policy and uncertainty JEL Code(s): E, E5, E52
Empirical Likelihood Block Bootstrapping Staff Working Paper 2008-18 Jason Allen, Allan Gregory, Katsumi Shimotsu Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C14, C2, C22
Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles? Staff Working Paper 1996-11 Simon van Norden, Robert Vigfusson Work on testing for bubbles has caused much debate, much of which has focussed on methodology. Monte Carlo simulations reported in Evans (1991) showed that standard tests for unit roots and cointegration frequently reject the presence of bubbles even when such bubbles are present by construction. Evans referred to this problem as the pitfall of testing for bubbles. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C52