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3035 Results

Towards a HANK Model for Canada: Estimating a Canadian Income Process

Staff Discussion Paper 2020-13 Iskander Karibzhanov
How might one simulate a million realistic income paths and compute their statistical moments in under a second? Using CUDA-based methods to estimate the Canadian earnings process, I find that the distribution of labour income growth is sharply peaked with heavy tails—similar to that in the United States.
Content Type(s): Staff research, Staff discussion papers Research Topic(s): Economic models, Labour markets JEL Code(s): D, D3, D31, E, E2, E24, J, J3, J31
September 15, 2008

The Bank of Canada's Senior Loan Officer Survey

The Bank of Canada maintains regular contact with financial institutions as part of the information-gathering process that feeds into the larger set of information used to arrive at its monetary policy decision. Since 1999, the Bank has been conducting a quarterly survey of the business-lending practices of major Canadian financial institutions. Analysis of the information collected shows that it is correlated with future growth in both credit and business investment. This article focuses on how the survey is conducted and describes the construction of the summary statistics, highlighting the key statistical relationships in the historical survey data.

Climate-Related Flood Risk to Residential Lending Portfolios in Canada

We assess the potential financial risks of current and projected flooding caused by extreme weather events in Canada. We focus on the residential real estate secured lending (RESL) portfolios of Canadian financial institutions (FIs) because RESL portfolios are an important component of FIs’ balance sheets and because the assets used to secure such loans are immobile and susceptible to climate-related extreme weather events.

Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics

Staff Working Paper 2013-12 Jianjian Jin
This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of risk-neutral and realized volatilities.
Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Economic models JEL Code(s): G, G1, G12, G17

A Micro Approach to the Issue of Hysteresis in Unemployment: Evidence from the 1988­1990 Labour Market Activity Survey

Staff Working Paper 1997-12 Gordon Wilkinson
This paper uses a rich set of microeconomic labour market data—the 1988­90 Labour Market Activity Survey published by Statistics Canada—to test whether there is negative duration dependence in unemployment spells. It updates and extends similar work carried out by Jones (1995) who used the 1986­87 Labour Market Activity Survey.
Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets JEL Code(s): E, E2, E24
March 12, 2009

Financial System Policy Responses to the Crisis

Remarks David Longworth Financial Markets Association of Canada Toronto, Ontario
With your professional interests in foreign exchange, money markets, capital markets, and derivatives, I'm sure the past year and a half has been exciting and interesting – if those are the right words. We've been living through a period of astonishing financial turbulence, historic marketplace losses, and serious threats to financial stability.

Price-Level versus Inflation Targeting with Financial Market Imperfections

Staff Working Paper 2008-26 Francisco Covas, Yahong Zhang
This paper compares price-level-path targeting (PT) with inflation targeting (IT) in a sticky-price, dynamic, general equilibrium model augmented with imperfections in both the debt and equity markets.

Distributional Effects of Payment Card Pricing and Merchant Cost Pass-through in Canada and the United States

Although credit cards are more expensive for merchants to accept than cash or debit cards, merchants typically pass through their costs evenly to all customers. Along with consumer card rewards and banking fees, this creates cross-subsidies between payment methods. Because higher-income individuals tend to use credit cards more than those with lower incomes, our results indicate that these cross-subsidies might lead to regressive distributional effects.
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