Subordinated Debt and Market Discipline in Canada Staff Working Paper 2005-40 Greg Caldwell The author documents the use by Canadian banks of subordinated debt (SD) as a capital instrument. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions JEL Code(s): G, G2, G21, G28
January 20, 2012 A Fundamental Review of Capital Charges Associated with Trading Activities Financial System Review - December 2011 Grahame Johnson Content Type(s): Publications, Financial System Review articles
Volatility Transmission Between Foreign Exchange and Money Markets Staff Working Paper 2000-16 Shafiq K. Ebrahim This paper uses trivariate generalized autoregressive conditional heteroscedasticity (GARCH) models to study price and volatility spillovers between the foreign exchange and associated money markets. Three models are estimated using data on U.S. dollar/Canadian dollar, U.S. dollar/Deutsche mark, and U.S. dollar/Japanese yen daily exchange rate returns together with returns on 90-day Eurodollar, Euro Canada, Euromark, and Euroyen deposits. Content Type(s): Staff research, Staff working papers Research Topic(s): International financial markets JEL Code(s): G, G1, G15
December 15, 1999 The Exchange Rate, Productivity, and the Standard of Living Bank of Canada Review - Winter 1999–2000 Robert Lafrance, Lawrence L. Schembri This article examines the recent proposition that the decline in Canada's standard of living relative to that of the United States is causally related to the decline in our exchange rate. The authors explore the main channels through which the exchange rate and the standard of living could be related—productivity and the terms of trade—focusing mainly on productivity. They conclude that the decline in world commodity prices and weak demand for domestic output were affecting both Canada's standard of living and the exchange rate and that the flexible exchange rate regime itself did not play an independent role. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Exchange rates
A Q-Theory of Banks Staff Working Paper 2021-44 Juliane Beganau, Saki Bigio, Jeremy Majerovitz, Matías Vieyra Using stock market data on banks, we show that the book value of loans recognizes losses with a delay. This delayed accounting is important for regulation because the requirements regulators impose are based on book values. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): E, E4, E44, G, G2, G21, G3, G32, G33
Labour Shares and the Role of Capital and Labour Market Imperfections Staff Discussion Paper 2009-2 Lena Suchanek In continental Europe, labour shares in national income have exhibited considerable variation since 1970. Empirical and theoretical research suggests that the evolution of labour markets and labour market imperfections can, in part, explain this phenomenon. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Economic models, Financial institutions, Labour markets JEL Code(s): C, C7, C78, E, E2, E25, J, J6, J64
October 15, 1998 The Canadian Experience with Targets for Inflation Control Remarks Gordon Thiessen Queen's University Kingston, Ontario As an economist who worked as a banker for most of his career, Douglas Gibson brought an interesting perspective to public policy issues, to the relationship between government and business, and to the contribution of outside economists to government policies. Content Type(s): Press, Speeches and appearances, Remarks
Sterilized Intervention in Emerging-Market Economies: Trends, Costs, and Risks Staff Discussion Paper 2008-4 Robert Lavigne The author examines recent trends in sterilized intervention among emerging-market economies, to determine the size and extent of this policy in relation to earlier periods of heavy reserve accumulation. He then analyzes whether the domestic costs and risks of substantial and prolonged sterilization are beginning to manifest themselves. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Exchange rate regimes, Financial stability, International topics JEL Code(s): E, E5, E52, F, F3, F31, O, O2, O24
The U.S. New Keynesian Phillips Curve: An Empirical Assessment Staff Working Paper 2004-35 Alain Guay, Florian Pelgrin The authors examine the evidence presented by Galí and Gertler (1999) and Galí, Gertler, and Lopez-Salido (2001, 2003) that the inflation dynamics in the United States can be well-described by the New Keynesian Phillips curve (NKPC). Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C13, C5, C52, E, E3, E31
Identifying the Degree of Collusion Under Proportional Reduction Staff Working Paper 2017-51 Oleksandr Shcherbakov, Naoki Wakamori Proportional reduction is a common cartel practice in which cartel members reduce their output proportionately. We develop a method to quantify this reduction relative to a benchmark market equilibrium scenario and relate the reduction to the traditional conduct parameter. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C3, C36, D, D2, D22, L, L4, L41