Rollover Risk, Liquidity and Macroprudential Regulation Staff Working Paper 2014-23 Toni Ahnert I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex ante and are subject to fire sales ex post. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial system regulation and policies JEL Code(s): G, G0, G01, G1, G11, G2, G28
June 17, 2007 Trend Labour Supply in Canada: Implications of Demographic Shifts and the Increasing Labour Force Attachment of Women Bank of Canada Review - Summer 2007 Russell Barnett While demographic change has been an ongoing process in Canada, labour market implications of an aging population will become more acute in coming years. This article discusses the anticipated slowing in the growth of trend labour input over the coming decades with the aging of the baby boomers, declining fertility rates, and the stabilization of the labour force attachment of women. As the pool of labour shrinks, employers and governments will be looking for ways to address barriers to continued labour force participation and firms will have a greater incentive to find ways of improving labour productivity. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Economic models, Labour markets, Potential output
Inflation and Growth: A New Keynesian Perspective Staff Working Paper 2012-23 Robert Amano, Thomas J. Carter, Kevin Moran The long-run relation between growth and inflation has not yet been studied in the context of nominal price and wage rigidities, despite the fact that these rigidities now figure prominently in workhorse macroeconomic models. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation: costs and benefits JEL Code(s): E, E3, E31, E5, E52, O, O3, O31, O4, O42
What Does Structural Analysis of the External Finance Premium Say About Financial Frictions? Staff Working Paper 2019-38 Jelena Zivanovic I use a structural vector autoregression (SVAR) with sign restrictions to provide conditional evidence on the behavior of the US external finance premium (EFP). The results indicate that the excess bond premium, a proxy for the EFP, reacts countercyclically to supply and monetary policy shocks and procyclically to demand shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial markets, Recent economic and financial developments JEL Code(s): E, E3, E32, E4, E44
December 9, 2010 The Countercyclical Bank Capital Buffer: Insights for Canada Financial System Review - December 2010 David Xiao Chen, Ian Christensen Content Type(s): Publications, Financial System Review articles
March 2, 2017 Thermometer Rising—Climate Change and Canada’s Economic Future Remarks Timothy Lane Finance and Sustainability Initiative Montréal, Quebec Deputy Governor Tim Lane discusses the implications of climate change—and actions to address it—for Canada’s economy and financial system. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Central bank research, Climate change, Financial markets, Financial stability, Financial system regulation and policies, International financial markets, International topics
Monetary Policy and the Persistent Aggregate Effects of Wealth Redistribution Staff Working Paper 2021-38 Martin Kuncl, Alexander Ueberfeldt Monetary policy in the presence of nominal debt and labour supply heterogeneity creates a policy trade-off: a short-term economic stimulus leads to persistently reduced output over the medium term. Price-level targeting weakens this trade-off and is better able to stabilize inflation and output than inflation targeting. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework, Monetary policy transmission JEL Code(s): E, E2, E21, E5, E50
Redemption Runs in Canadian Corporate Bond Funds? Staff Analytical Note 2018-21 Rohan Arora Mutual funds employ a host of tools to manage redemption run risk. However, our results suggest that Canadian corporate bond funds may be vulnerable to redemption runs, especially when they are less liquid and when market volatility is high. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Financial institutions, Financial markets JEL Code(s): G, G0, G01, G2, G23
Volatility Forecasting when the Noise Variance Is Time-Varying Staff Working Paper 2013-48 Selma Chaker, Nour Meddahi This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the noise variance is related to the true return volatility. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C14, C5, C51, C58
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