August 18, 2011 Mortgage Debt and Procyclicality in the Housing Market Bank of Canada Review - Summer 2011 Ian Christensen This article focuses on the role that loans backed by housing collateral play in amplifying housing booms and, more generally, procyclicality in the housing market. The author uses a model developed to include borrower and lender households, as well as a housing market, to examine the impact that altering the loan-to-value ratio (either permanently or countercyclically) might have on the volatility of house prices and mortgage debt. Content Type(s): Publications, Bank of Canada Review articles
June 1, 2004 Liquidity in the Market for Government of Canada Bonds: An Empirical Analysis Financial System Review - June 2004 Chris D'Souza Content Type(s): Publications, Financial System Review articles
November 14, 2013 Assessing Financial System Vulnerabilities: An Early Warning Approach Bank of Canada Review - Autumn 2013 Gurnain Pasricha, Tom Roberts, Ian Christensen, Brad Howell This article focuses on a quantitative method to identify financial system vulnerabilities, specifically, an imbalance indicator model (IIM) and its application to Canada. An IIM identifies potential vulnerabilities in a financial system by comparing current economic and financial data with data from periods leading up to past episodes of financial stress. It complements other sources of information - including market intelligence and regular monitoring of the economy - that policy-makers use to assess vulnerabilities. Content Type(s): Publications, Bank of Canada Review articles JEL Code(s): E, E6, E66, G, G0, G01
February 17, 2011 Conference Summary: Financial Globalization and Financial Instability Bank of Canada Review - Winter 2010-2011 Scott Hendry The Bank of Canada’s annual conference, held in October 2010, brought together leading researchers from universities and central banks around the world. Content Type(s): Publications, Bank of Canada Review articles
A Dynamic Factor Model for Nowcasting Canadian GDP Growth Staff working paper 2017-2 Tony Chernis, Rodrigo Sekkel This paper estimates a dynamic factor model (DFM) for nowcasting Canadian gross domestic product. The model is estimated with a mix of soft and hard indicators, and it features a high share of international data. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C32, C38, C5, C53, E, E3, E37 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
Monetary Policy and Cross-Border Interbank Market Fragmentation: Lessons from the Crisis Staff working paper 2020-34 Tobias Blattner, Jonathan Swarbrick We present a two-country model featuring risky lending and cross-border interbank market frictions. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E44, E5, E52, F, F3, F32, F36 Research Theme(s): Financial markets and funds management, International markets and currencies, Financial system, Financial institutions and intermediation, Monetary policy, Monetary policy framework and transmission, Monetary policy tools and implementation
Using Payments Data to Nowcast Macroeconomic Variables During the Onset of COVID-19 Staff working paper 2021-2 James Chapman, Ajit Desai We use retail payment data in conjunction with machine learning techniques to predict the effects of COVID-19 on the Canadian economy in near-real time. Our model yields a significant increase in macroeconomic prediction accuracy over a linear benchmark model. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C53, C55, E, E3, E37, E4, E42, E5, E52 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting, Money and payments, Retail payments
September 10, 2020 Economic progress report: a very uneven recovery Remarks (delivered virtually) Tiff Macklem The Canadian Chamber of Commerce Ottawa, Ontario Governor Tiff Macklem discusses the Bank’s latest interest rate announcement and explains the uneven impact that the COVID-19 pandemic is having on different sectors and people. Content Type(s): Press, Speeches and appearances, Remarks Subject(s): Financial system, Financial stability, Monetary policy, Economy/Economic growth, Inflation, Inflation targeting framework
August 19, 2010 Bank of Canada Review - Summer 2010 Examination of how, when the policy interest rate is at or near zero, different monetary policy frameworks might help to lower the risk and economic cost of such a scenario; review of the findings of recent Bank of Canada research on the relative merits of inflation targeting and price-level targeting (PLT) for a small open economy; examination of monetary policy being used to counteract financial imbalances; conference summary: new frontiers in monetary policy design. Content Type(s): Publications, Bank of Canada Review
Understanding Firms’ Inflation Expectations Using the Bank of Canada’s Business Outlook Survey Staff working paper 2016-7 Simon Richards, Matthieu Verstraete Inflation expectations are a key determinant of actual and future inflation and thus matter for the conduct of monetary policy. We study how firms form their inflation expectations using quarterly firm-level data from the Bank of Canada’s Business Outlook Survey, spanning the 2001 to 2015 period. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C2, C25, D, D2, D21, D8, D84, E, E3, E31, E5, E52, E58 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission