September 20, 2022 Macroeconomics of the 2020s: What we’ve learned, and what’s to come Remarks Paul Beaudry University of Waterloo Faculty of Arts Distinguished Lecture in Economics Waterloo, Ontario Deputy Governor Paul Beaudry discusses the macroeconomic lessons we’ve learned during the COVID-19 pandemic, and what lies ahead to bring inflation back to target. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Coronavirus disease (COVID-19), Expectations, Inflation and prices, Inflation targets, International topics, Labour markets, Monetary policy implementation, Recent economic and financial developments
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
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. Content Type(s): Press, Speeches and appearances, Remarks
On-the-run Premia, Settlement Fails, and Central Bank Access Staff Working Paper 2025-19 Fabienne Schneider The premium on “on-the-run” Treasuries is an anomaly. I explain it using a model in which primary dealers hold inventories of Treasuries. I use the model to analyze the effects of granting access to central bank facilities. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets, Market structure and pricing, Monetary policy JEL Code(s): G, G1, G12, G19, G2, G23
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
Labor Market Participation, Unemployment and Monetary Policy Staff Working Paper 2014-9 Alessia Campolmi, Stefano Gnocchi We incorporate a participation decision in a standard New Keynesian model with matching frictions and show that treating the labor force as constant leads to incorrect evaluation of alternative policies. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Labour markets, Monetary policy transmission JEL Code(s): E, E2, E24, E3, E32, E5, E52
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
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
Canadian Policy Analysis Model: CPAM Staff Working Paper 1997-16 Richard Black, David Rose This paper documents the structure and properties of the Canadian Policy Analysis Model (CPAM). CPAM is designed to provide a reasonably complete representation of the Canadian macro economy. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models JEL Code(s): C, C5, C53, E, E1, E17
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