Optimal Capital Regulation Staff Working Paper 2017-6 Stéphane Moyen, Josef Schroth We study constrained-efficient bank capital regulation in a model with market-imposed equity requirements. Banks hold equity buffers to insure against sudden loss of access to funding. However, in the model, banks choose to only partially self-insure because equity is privately costly. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): E, E1, E13, E3, E32, E4, E44
April 2, 2012 Exporting in a Post-Crisis World Remarks Mark Carney Greater Kitchener Waterloo Chamber of Commerce Waterloo, Ontario Governor Mark Carney discusses why Canada’s exports are lagging and what can be done to respond to the underlying challenges. Content Type(s): Press, Speeches and appearances, Remarks
Filling in the Blanks: Network Structure and Interbank Contagion Staff Working Paper 2014-26 Kartik Anand, Ben Craig, Goetz von Peter The network pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial institutions, Financial stability JEL Code(s): C, C6, C63, D, D8, D85, G, G2, G21, L, L1, L14
April 16, 2014 Monetary Policy Report – April 2014 Economic growth in Canada is expected to average about 2 1/2 per cent in 2014 and 2015 before easing to around the 2 per cent growth rate of the economy’s potential in 2016. Content Type(s): Publications, Monetary Policy Report
On the Existence and Fragility of Repo Markets Staff Working Paper 2012-17 Hajime Tomura This paper presents a model of an over-the-counter bond market in which bond dealers and cash investors arrange repurchase agreements (repos) endogenously. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial stability, Payment clearing and settlement systems JEL Code(s): G, G2, G24
On the Essentiality of E-Money Staff Working Paper 2015-43 Jonathan Chiu, Tsz-Nga Wong Recent years have witnessed the advances of e-money systems such as Bitcoin, PayPal and various forms of stored-value cards. This paper adopts a mechanism design approach to identify some essential features of different payment systems that implement and improve the constrained optimal resource allocation. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Payment clearing and settlement systems JEL Code(s): E, E4, E42, E5, E58, L, L5, L51
Does Inflation Uncertainty Vary with the Level of Inflation? Staff Working Paper 1996-9 Allan Crawford, Marcel Kasumovich The purpose of this study is to test the hypothesis that inflation uncertainty increases at higher levels of inflation. Our analysis is based on the generalized autoregressive conditional heteroscedasticity (GARCH) class of models, which allow the conditional variance of the error term to be time-varying. Since this variance is a proxy for inflation uncertainty, a positive relationship between the conditional variance and inflation would be interpreted as evidence that inflation uncertainty increases with the level of inflation. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Monetary policy and uncertainty JEL Code(s): C, C5, C52, E, E3, E31
Foreign Exchange Fixings and Returns Around the Clock Staff Working Paper 2021-48 Ingomar Krohn, Philippe Mueller, Paul Whelan We document a new empirical finding in the foreign exchange market: currency returns show systematic reversals around the benchmark fixings. Specifically, the US dollar, on average, appreciates in the hours before fixes and depreciates after fixes. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): F, F3, F31, G, G1, G15
Financial Shocks and the Output Growth Distribution Staff Working Paper 2025-25 Francois-Michel Boire, Thibaut Duprey, Alexander Ueberfeldt This paper studies how financial shocks shape the distribution of output growth by introducing a quantile-augmented vector autoregression (QAVAR), which integrates quantile regressions into a structural VAR framework. The QAVAR preserves standard shock identification while delivering flexible, nonparametric forecasts of conditional moments and tail risk measures for gross domestic product. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Econometric and statistical methods, Financial markets, Financial stability, Monetary and financial indicators JEL Code(s): C, C3, C32, C5, C53, E, E3, E32, E4, E44, G, G0, G01
An Analysis of Closure Policy under Alternative Regulatory Structures Staff Working Paper 2005-11 Greg Caldwell The author develops a theoretical model of bank closure. The regulatory decision about bank failure consists of two parts: whether to close and how to close. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions JEL Code(s): G, G2, G21, G28