Extreme Downside Risk in Asset Returns Staff working paper 2019-46 Lerby Ergun Financial markets can experience sudden and extreme downward movements. Investors are highly concerned about the performance of their assets in such scenarios. Some assets perform badly in a downturn in the market; others have milder reactions. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C14, G, G1, G11, G12 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk
May 16, 2016 The Micro and Macro of Downward Nominal Wage Rigidity Bank of Canada Review - Spring 2016 Robert Amano, Dany Brouillette, Stefano Gnocchi, Natalia Kyui The article examines the extent of downward nominal wage rigidity in Canada and its implications for monetary policy. The authors ask whether its existence is a sufficient argument for a higher inflation target if concerns about the effective lower bound are adequately addressed. Content Type(s): Publications, Bank of Canada Review articles JEL Code(s): E, E3, E4, E5, J, J2, J23, J3, J30
Assessment of the Effects of Macroprudential Tightening in Canada Staff analytical note 2016-12 Martin Kuncl During the period of 2008 to 2012, the rules for government-backed mortgage insurance were tightened on four occasions. In this note, we estimate the effects through a simple econometric exercise using a vector error-correction model (VECM). Content Type(s): Staff research, Staff analytical notes JEL Code(s): C, C3, C32, E, E6, E65, G, G2, G28 Research Theme(s): Financial system, Financial system regulation and oversight, Household and business credit
November 1, 2006 Renewal of the Inflation-Control Target (November 2006) Commentary and technical data relating to the 2006 target renewal. Content Type(s): Background materials
Are Hedge Funds a Hedge for Increasing Government Debt Issuance? Staff discussion paper 2025-7 Adam Epp, Jeffrey Gao This paper studies the rapid increase since 2019 of Government of Canada (GoC) debt issuance alongside greater hedge fund participation at GoC bond auctions. We find a systematic relationship between GoC debt stock and hedge fund bidding shares at auction. Content Type(s): Staff research, Staff discussion papers JEL Code(s): D, D4, D44, G, G1, G12, G2, G23, H, H6, H63 Research Theme(s): Financial markets and funds management, Funds management, Financial system, Financial institutions and intermediation, Financial stability and systemic risk
August 22, 2009 Some Considerations on Using Monetary Policy to Stabilize Economic Activity Remarks Mark Carney symposium sponsored by the Federal Reserve Bank of Kansas City Jackson Hole, Wyoming Walsh's paper highlights many useful lessons that can be learned from the conventional framework and its various extensions. However, the financial crisis provides a stark and costly reminder of just how incomplete the standard model is. Content Type(s): Press, Speeches and appearances, Remarks
Payments on Digital Platforms: Resiliency, Interoperability and Welfare Staff working paper 2021-19 Jonathan Chiu, Tsz-Nga Wong This paper studies the business model choice between running a cash platform and a token platform, as well as its welfare and policy implications. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E5, L, L5 Research Theme(s): Money and payments, Digital assets and fintech, Payment and financial market infrastructures, Retail payments
August 19, 2002 Models in Policy-Making Bank of Canada Review - Summer 2002 Donald Coletti, Stephen Murchison This article examines another strategy in the Bank's approach to dealing with an uncertain world: the use of carefully articulated models to produce economic forecasts and to examine the implications of the various risks to those forecasts. Economic models are deliberate simplifications of a complex world that allow economists to make predictions that are reasonably accurate and that can be easily understood and communicated. By using several models, based on competing paradigms, the Bank minimizes policy errors that could result from relying on one view of the world and one philosophy of model design. The authors review some of the models currently used at the Bank, as well as the role of judgment in the projection process. Content Type(s): Publications, Bank of Canada Review articles
January 14, 2008 Backgrounder on Questions in the Business Outlook Survey Concerning Past Sales and Credit Conditions Starting with the winter 2007–08 survey, the results of two additional questions became included in the Business Outlook Survey (BOS) publication: the balance of opinion on past sales and the balance of opinion on credit conditions. This backgrounder briefly describes the two questions and presents the correlations between the responses and relevant economic data. Content Type(s): Background materials
Central Bank Liquidity Facilities and Market Making Staff working paper 2022-9 David Cimon, Adrian Walton We create a theoretical model of central bank asset purchases. The model helps explain how, in a crisis, these purchases ease pressures on investment dealers. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G10, G2, G20, L, L1, L10 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial institutions and intermediation, Financial stability and systemic risk, Monetary policy, Monetary policy tools and implementation