The Term Structures of Loss and Gain Uncertainty Staff Working Paper 2020-19 Bruno Feunou, Ricardo Lopez Aliouchkin, Roméo Tedongap, Lai Xu We investigate the uncertainty around stock returns at different investment horizons. Since a return is either a loss or a gain, we categorize return uncertainty into two components—loss uncertainty and gain uncertainty. We then use these components to evaluate investment. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods JEL Code(s): G, G1, G12
May 25, 2017 Upgrading the Payments Grid: The Payoffs Are Greater Than You Think Remarks Sylvain Leduc Payments Canada Toronto, Ontario Deputy Governor Sylvain Leduc discusses how upgrading Canada’s core payment systems will contribute to financial stability and help the Bank keep inflation on target. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Financial markets, Financial stability, Financial system regulation and policies, Monetary policy implementation, Payment clearing and settlement systems
June 23, 2005 A Brief Survey of Risk-Appetite Indexes Financial System Review - June 2005 Mark Illing, Meyer Aaron Content Type(s): Publications, Financial System Review articles
The Effect of the Sarbanes-Oxley Act on CEO Pay for Luck Staff Working Paper 2008-20 Teodora Paligorova According to the rent-extraction hypothesis, weak corporate governance allows entrenched CEOs to capture the pay-setting process and benefit from events outside of their control – get paid for luck. Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets JEL Code(s): G, G3, G38, J, J3, J33, M, M5, M52
Equity Option-Implied Probability of Default and Equity Recovery Rate Staff Working Paper 2016-58 Bo Young Chang, Greg Orosi There is a close link between prices of equity options and the default probability of a firm. We show that in the presence of positive expected equity recovery, standard methods that assume zero equity recovery at default misestimate the option-implied default probability. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets, Market structure and pricing JEL Code(s): G, G1, G13, G3, G33
The Market for Acquiring Card Payments from Small and Medium-Sized Canadian Merchants Staff Discussion Paper 2020-5 Angelika Welte, Jozsef Molnar This note uses industry data and a unique dataset of small and medium-sized merchants to provide insights into the acquirer-merchant market in Canada. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial services, Market structure and pricing, Payment clearing and settlement systems JEL Code(s): C, C2, D, D2, E, E4, E42
Understanding DeFi Through the Lens of a Production-Network Model Staff Working Paper 2023-42 Jonathan Chiu, Thorsten Koeppl, Hanna Yu, Shengxing Zhang We develop a production-network model to capture how decentralized finance (DeFi) has evolved across different sectors of financial services. The model allows us to measure the value added by different DeFi sectors and to study how the connections across the sectors influence token prices. Content Type(s): Staff research, Staff working papers Research Topic(s): Digital currencies and fintech, Payment clearing and settlement systems JEL Code(s): G, G2
The Power of Helicopter Money Revisited: A New Keynesian Perspective Staff Discussion Paper 2020-1 Thomas J. Carter, Rhys R. Mendes We analyze money financing of fiscal transfers (helicopter money) in two simple New Keynesian models: a “textbook” model in which all money is non-interest-bearing (e.g., all money is currency), and a more realistic model with interest-bearing reserves. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Credibility, Economic models, Fiscal policy, Inflation targets, Interest rates, Monetary policy, Monetary policy and uncertainty, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E1, E12, E4, E41, E43, E5, E51, E52, E58, E6, E61, E63
Bitcoin Adoption and Beliefs in Canada Staff Working Paper 2021-60 Daniela Balutel, Christopher Henry, Jorge Vásquez, Marcel Voia Using an economic model as well as survey data from the Bank of Canada, we study what factors influence the adoption of Bitcoin in Canada. Content Type(s): Staff research, Staff working papers Research Topic(s): Digital currencies and fintech, Econometric and statistical methods, Economic models JEL Code(s): D, D8, D83, O, O3, O33
Modelling and Forecasting Housing Investment: The Case of Canada Staff Working Paper 2005-41 Frédérick Demers The author proposes and evaluates econometric models that try to explain and forecast real quarterly housing expenditures in Canada. Structural and leading-indicator models of the Canadian housing sector are described. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Economic models JEL Code(s): E, E2, E27, R, R2, R21