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
Emerging Asia's Impact on Food and Oil Prices: A Model-Based Analysis Staff Discussion Paper 2009-3 René Lalonde, Philipp Maier, Dirk Muir The authors explore the usefulness of macroeconomic models in analyzing global economic developments by examining movements in commodity prices between July 2007 and July 2008. They use the Bank of Canada's version of the Global Economy Model and investigate the longer-term outlook for commodity prices by constructing two different, globally consistent, scenarios for emerging Asia. Content Type(s): Staff research, Staff discussion papers Research Topic(s): International topics, Recent economic and financial developments JEL Code(s): E, E3, E30, E5, E50, E58, E6, E60
May 19, 2011 Central Bank Collateral Policy: Insights from Recent Experience Bank of Canada Review - Spring 2011 Lorie Zorn, Alejandro García The collateral policy of central banks played a critical role during the recent financial crisis, as they worked to bolster liquidity and alleviate the funding pressures facing financial institutions. This article examines central bank collateral policy and discusses three areas in which central banks can use their collateral policy to influence financial market practices: promoting greater transparency for securitized products, improving practices related to credit risk, and reducing procyclicality in the management of market risk. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Financial markets, Financial stability, Payment clearing and settlement systems
June 20, 2010 The Bank of Canada’s Analytic Framework for Assessing the Vulnerability of the Household Sector Financial System Review - June 2010 Ramdane Djoudad Content Type(s): Publications, Financial System Review articles
Transaction Costs, the Value of Convenience, and the Cross-Section of Safe Asset Returns Staff Working Paper 2025-34 Ragnar Juelsrud, Plamen Nenov, Fabienne Schneider, Olav Syrstad We study the cross-section of equilibrium returns on safe assets using a tractable asset pricing model with a micro-founded demand for liquidity and multiple safe assets with heterogeneous transaction costs. We test the main predictions of our theory using a novel measure of relative (in)convenience yields in the US Treasury market. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Debt management, Financial markets, Monetary policy JEL Code(s): E, E4, E44, G, G1, G12
Forecasting the Price of Oil Staff Working Paper 2011-15 Ron Alquist, Lutz Kilian, Robert Vigfusson We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications? Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, Q, Q4, Q43, Q47
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
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
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