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3035 Results

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

Bank Runs, Portfolio Choice, and Liquidity Provision

Staff Working Paper 2019-37 Toni Ahnert, Mahmoud Elamin
After the financial crisis of 2007–09, many jurisdictions introduced new banking regulations to make banks more resilient and less likely to fail. These regulations included tighter limits for the quality and quantity of bank capital and introduced minimum standards for liquidity. But what was the impact of these changes?
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, Wholesale funding JEL Code(s): G, G0, G01, G2, G21

The Central Bank Strikes Back! Credibility of Monetary Policy under Fiscal Influence

Staff Working Paper 2022-11 Antoine Camous, Dmitry Matveev
Central banks in many advanced economies enjoy a high degree of independence, which protects monetary policy decisions from political influence. But how should independent central banks react if pressured by fiscal policy-makers? We examine whether a central bank should design a monetary policy framework that prescribes acting conditionally on how fiscal policy behaves.
Content Type(s): Staff research, Staff working papers Research Topic(s): Credibility, Fiscal policy, Monetary policy JEL Code(s): E, E0, E02, E5, E52, E58, E6, E61, E62

Productive Misallocation and International Transmission of Credit Shocks

Staff Working Paper 2015-19 Yuko Imura, Julia Thomas
We develop an asymmetric, two-country equilibrium business cycle model to study the role of international trade in transmitting and propagating the real effects of global financial shocks. Our model predicts that a recession in a large economy considerably alters a recession in its smaller trade partner, with distinct investment dynamics driving the transmission.

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.

Tractable Term Structure Models

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.

Strategic Uncertainty in Financial Markets: Evidence from a Consensus Pricing Service

Staff Working Paper 2020-55 Lerby Ergun, Andreas Uthemann
We look at the informational content of consensus pricing in opaque over-the-counter markets. We show that the availability of price data informs participants mainly about other participants’ valuations, rather than about the value of a financial security.
June 7, 2018

Financial System Review - June 2018

This issue of the Financial System Review reflects the Bank’s judgment that high household indebtedness and housing market imbalances remain the most important vulnerabilities. While these vulnerabilities remain elevated, policy measures continue to improve the resilience of the financial system. A third vulnerability highlighted in the FSR concerns cyber threats to an interconnected financial system.

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.
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