Implementing Market-Based Indicators to Monitor Vulnerabilities of Financial Institutions Staff Analytical Note 2016-5 Cameron MacDonald, Maarten van Oordt, Robin Scott This note introduces several market-based indicators and examines how they can further inform the Bank of Canada’s vulnerability assessment of Canadian financial institutions. Market-based indicators of leverage suggest that the solvency risk for major Canadian banks has increased since the beginning of the oil-price correction in the second half of 2014. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Financial institutions, Financial stability JEL Code(s): G, G1, G10, G2, G21
June 2, 2022 Economic progress report: Navigating a high inflation environment Remarks (delivered virtually) Paul Beaudry Gatineau Chamber of Commerce Gatineau, Quebec Bank of Canada Deputy Governor Paul Beaudry talks about the Bank’s latest interest rate announcement and the importance of keeping inflation expectations well anchored to prevent high inflation from becoming entrenched. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Credibility, Expectations, Inflation and prices, Inflation targets, Interest rates, Monetary policy, Monetary policy and uncertainty, Monetary policy implementation, Price stability, Recent economic and financial developments
The Impact of Operational Events on the Network Structure of the LVTS Staff Discussion Paper 2011-7 Tom Roberts The author uses a quantitative network analysis approach to assess how participants in the Large Value Transfer System (LVTS) respond to partial outages at other banks. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Payment clearing and settlement systems JEL Code(s): C, C4, C49, G, G1, G14, G2, G21
Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects Staff Working Paper 2019-16 Kerem Tuzcuoglu Modeling and estimating persistent discrete data can be challenging. In this paper, we use an autoregressive panel probit model where the autocorrelation in the discrete variable is driven by the autocorrelation in the latent variable. In such a non-linear model, the autocorrelation in an unobserved variable results in an intractable likelihood containing high-dimensional integrals. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit risk management, Econometric and statistical methods, Economic models JEL Code(s): C, C2, C23, C25, C5, C58, G, G2, G24
Testing the Parametric Specification of the Diffusion Function in a Diffusion Process Staff Working Paper 2005-35 Fuchun Li A new consistent test is proposed for the parametric specification of the diffusion function in a diffusion process without any restrictions on the functional form of the drift function. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C12, C14
December 8, 2011 Financial System Review - December 2011 In this issue of the Financial System Review, the Bank of Canada’s Governing Council judges that the risks to the stability of Canada’s financial system are high and have increased markedly over the past six months, owing primarily to an escalation of the sovereign debt crisis in the euro area and a weaker global economic outlook. Erratum: The data for Chart 7 on page 8 were plotted incorrectly. See revised chart. Content Type(s): Publications, Financial Stability Report
Inflation, Learning and Monetary Policy Regimes in The G-7 Economies Staff Working Paper 1995-6 Nicholas Ricketts, David Rose In this paper, the authors report estimates of two- and three-state Markov switching models applied to inflation, measured using consumer price indexes, in the G-7 countries. They report tests that show that two-state models are preferred to simple one-state representations of the data, and argue that three-state representations are more satisfactory than two-state representations for […] Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices
Yield Curve Modelling at the Bank of Canada Technical Report No. 84 David Bolder, David Stréliski The primary objective of this paper is to produce a framework that could be used to construct a historical data base of zero-coupon and forward yield curves estimated from Government of Canada securities' prices. Content Type(s): Staff research, Technical reports Research Topic(s): Economic models
A Note on Central Counterparties in Repo Markets Staff Discussion Paper 2012-4 Hajime Tomura The author introduces a central counterparty (CCP) into a model of a repo market. Without the CCP, there exist multiple equilibria in the model. In one of the equilibria, a repo market emerges as bond dealers and cash investors choose to arrange repos in an over-the-counter bond market. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial markets, Financial stability, Payment clearing and settlement systems JEL Code(s): G, G2, G24
February 4, 2010 The Coming Thaw Remarks Mark Carney Winnipeg Chamber of Commerce Winnipeg, Manitoba It is a pleasure to be here in Winnipeg. Today, I intend to elaborate on elements of the Bank of Canada's economic outlook. Content Type(s): Press, Speeches and appearances, Remarks