Are Bank Bailouts Welfare Improving? Staff Working Paper 2021-56 Malik Shukayev, Alexander Ueberfeldt Financial sector bailouts, while potentially beneficial during a crisis, might lead to excessive risk taking if anticipated. Taking expectations and aggregate risk implications into account, we show that bailouts can be welfare improving, but only if capital adequacy constraints are sufficiently tight. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): D, D6, D62, E, E3, E32, E4, E44, G, G0, G01
Technological Progress and Monetary Policy: Managing the Fourth Industrial Revolution Staff Discussion Paper 2019-11 Stephen S. Poloz This paper looks at the implications for monetary policy of the widespread adoption of artificial intelligence and machine learning, which is sometimes called the “fourth industrial revolution.” Content Type(s): Staff research, Staff discussion papers Research Topic(s): Economic models, Financial stability, Monetary policy and uncertainty, Monetary policy framework JEL Code(s): C, C5, E, E3, O, O1, O11, O3, O33
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
Unintended Consequences of the Home Affordable Refinance Program Staff Working Paper 2024-11 Phoebe Tian, Chen Zheng We investigate the unintended consequences of the Home Affordable Refinance Program (HARP). Originally designed to help borrowers refinance after the 2008–09 global financial crisis, HARP inadvertently strengthened the market power of incumbent lenders by creating a cost advantage for them. Despite a 2013 policy rectifying this cost advantage, we still find significant welfare losses for borrowers. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions JEL Code(s): G, G2, G21, G5, G51, L, L5, L51
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
Assessing global potential output growth and the US neutral rate: April 2021 Staff Analytical Note 2021-5 Thomas J. Carter, Xin Scott Chen, Ali Jaffery, Christopher Hajzler, Jonathan Lachaine, Peter Shannon, Subrata Sarker, Graeme Westwood, Beiling Yan We expect global potential output growth to rise to 3 percent by 2022. Relative to the last assessment in October 2020, potential output growth has been revised up across all the regions. The range of the US neutral rate remains unchanged relative to the autumn 2020 assessment. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Interest rates, Monetary policy, Potential output, Productivity JEL Code(s): E, E1, E2, E4, E5, F, F0, O, O4
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
An Alternative Estimate of Canadian Potential Output: The Multivariate State-Space Framework Staff Discussion Paper 2018-14 Lise Pichette, Maria Bernier, Marie-Noëlle Robitaille In this paper, we extend the state-space methodology proposed by Blagrave et al. (2015) and decompose Canadian potential output into trend labour productivity and trend labour input. As in Blagrave et al. (2015), we include output growth and inflation expectations from consensus forecasts to help refine our estimates. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Economic models, Potential output JEL Code(s): C, C5, E, E0, E5
Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market? Staff Working Paper 2007-23 Ingrid Lo, Stephen Sapp Dealers trading in a limit order market must choose both the order aggressiveness and the quantity for their orders. We empirically investigate how dealers jointly make these decisions in the foreign exchange market using a unique simultaneous equations model. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial markets JEL Code(s): G, G1, G14
Tractable Term Structure Models Staff Working Paper 2015-46 Bruno Feunou, Jean-Sébastien Fontaine, Anh Le, Christian Lundblad We introduce a new framework that facilitates term structure modeling with both positive interest rates and flexible time-series dynamics but that is also tractable, meaning amenable to quick and robust estimation. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Interest rates, International financial markets, International topics, Monetary policy and uncertainty, Monetary policy transmission JEL Code(s): G, G1, G12