Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach Staff working paper 2016-21 Fuchun Li, Hongyu Xiao We propose an early warning model for predicting the likelihood of a financial stress event for a given future time, and examine whether credit plays an important role in the model as a non-linear propagator of shocks. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C12, C14, G, G0, G01, G1, G17 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods
Incentive Compatibility on the Blockchain Staff working paper 2018-34 Jonathan Chiu, Thorsten Koeppl A blockchain is a digital ledger that keeps track of a record of ownership without the need for a designated party to update and enforce changes to the record. The updating of the ledger is done directly by the users of the blockchain and is traditionally governed by a proof-of-work (PoW) protocol. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G2, H, H4, P, P4, P43 Research Theme(s): Models and tools, Economic models, Money and payments, Digital assets and fintech, Payment and financial market infrastructures
February 1, 2012 Income Trusts: Understanding the Issues Financial System Review - December 2003 Michael R. King Content Type(s): Publications, Financial System Review articles
November 19, 2010 Has Exchange Rate Pass-Through Really Declined? Some Recent Insights from the Literature Bank of Canada Review - Autumn 2010 Jeannine Bailliu, Wei Dong, John Murray Building on an earlier Review article, the authors critically reassess the premise that exchange rate pass-through (ERPT) has declined in light of recent studies of the issue in the context of a dynamic stochastic general-equilibrium framework. Content Type(s): Publications, Bank of Canada Review articles
Government of Canada Securities in the Cash, Repo and Securities Lending Markets Staff discussion paper 2018-4 Narayan Bulusu, Sermin Gungor This paper documents the properties of Government of Canada securities in cash, repo and securities lending transactions over their life cycle. By tracking every security from issuance to maturity, we are able to highlight inter-linkages between the markets for cash and for specific securities. Content Type(s): Staff research, Staff discussion papers JEL Code(s): G, G1, G12, G2, G21, G23 Research Theme(s): Financial markets and funds management, Funds management, Market functioning, Financial system, Financial institutions and intermediation
Evaluating the Effects of Forward Guidance and Large-scale Asset Purchases Staff working paper 2021-54 Xu Zhang I propose a novel method to identify and estimate the macroeconomic effects of forward guidance and large-scale asset purchases (LSAP) for each FOMC announcement. I find that LSAP is more important than forward guidance in influencing output and inflation. LSAP puts upward pressure on short-term yields, so it should always be used in conjunction with forward guidance. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E5, G, G0 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy tools and implementation
June 21, 2008 A Model of Tiered Settlement Networks Financial System Review - June 2008 James Chapman, Jonathan Chiu, Miguel Molico Content Type(s): Publications, Financial System Review articles
On the Nexus of Monetary Policy and Financial Stability: Is the Financial System More Resilient? Staff discussion paper 2016-12 Patricia Palhau Mora, Michael Januska Monetary policy and financial stability are closely intertwined, and the resilience of the financial system carries weight in this relationship. This paper explores whether the financial system is more resilient as a result of the G20’s post-crisis agenda for financial regulatory reform. Content Type(s): Staff research, Staff discussion papers JEL Code(s): E, E5, E52, G, G0, G01, G2, G21, G23, G28 Research Theme(s): Financial system, Financial stability and systemic risk, Financial system regulation and oversight, Monetary policy, Monetary policy framework and transmission
Redefining Financial Inclusion for a Digital Age: Implications for a Central Bank Digital Currency Staff discussion paper 2023-22 Alexandra Sutton-Lalani, Sebastian Hernandez, John Miedema, Jiamin Dai, Badr Omrane We explore quantitative and qualitative information about Canadians who face barriers to making digital payments. We also consider the implications of ongoing digitalization for modern financial inclusion and a potential central bank digital currency. Content Type(s): Staff research, Staff discussion papers JEL Code(s): A, A1, A14, E, E4, E42, E5, E50, I, I3, I31, O, O3, O33, O5, O51 Research Theme(s): Money and payments, Digital assets and fintech, Retail payments, Structural challenges, Demographics and labour supply, Digitalization and productivity
Windfall Income Shocks with Finite Planning Horizons Staff working paper 2022-40 Michael Boutros How do households respond when they receive unanticipated income, such as an inheritance or government stimulus cheque? This paper studies these windfall income shocks through a model of household behaviour that generates a realistic consumption response for households along the entire distribution of wealth. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D9, D91, E, E2, E21, G, G5, G51 Research Theme(s): Financial system, Household and business credit, Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission