November 28, 2017 Shoring Up the Foundations for a More Resilient Banking System: The Development of Basel III Financial System Review - November 2017 Sheryl King, Alexandra Lai, Tamara Gomes The authors trace the development of the Basel III standards for banking regulation. Basel III builds on two earlier frameworks, in response to weaknesses revealed during the global financial crisis. They highlight how implementation of the standards will underpin greater financial stability and provide a sound foundation for economic growth. Content Type(s): Publications, Financial System Review articles Research Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G1, G2, G21, G28
Evaluating Factor Models: An Application to Forecasting Inflation in Canada Staff Working Paper 2001-18 Marc-André Gosselin, Greg Tkacz This paper evaluates the forecasting performance of factor models for Canadian inflation. This type of model was introduced and examined by Stock and Watson (1999a), who have shown that it is quite promising for forecasting U.S. inflation. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C3, C32, E, E3, E37
The Welfare Implications of Fiscal Dominance Staff Working Paper 2008-28 Carlos De Resende, Nooman Rebei This paper studies the interdependence between fiscal and monetary policy in a DSGE model with sticky prices and non-zero trend inflation. We characterize the fiscal and monetary policies by a rule whereby a given fraction k of the government debt must be backed by the discounted value of current and future primary surpluses. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Fiscal policy, Inflation: costs and benefits, Monetary policy framework JEL Code(s): E, E3, E31, E4, E42, E5, E50, E6, E63
December 21, 2008 Credit, Asset Prices, and Financial Stress in Canada Financial System Review - December 2008 Miroslav Misina, Pierre St-Amant, Greg Tkacz Content Type(s): Publications, Financial System Review articles
Risk and State-Dependent Financial Frictions Staff Working Paper 2022-37 Martin Harding, Rafael Wouters Using a nonlinear New Keynesian model with a financial accelerator, we show that financial frictions generate large state-dependent amplification effects. Shocks propagate more strongly in periods of financial stress. We propose an endogenous regime-switching DSGE framework for efficient estimation and improved model fit. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Credit and credit aggregates, Financial stability, Monetary policy JEL Code(s): E, E5, E52, E58
The Empirical Performance of Alternative Monetary and Liquidity Aggregates Staff Working Paper 1995-12 Joseph Atta-Mensah This paper examines the empirical performance of alternatives to the monetary aggregates currently published by the Bank of Canada. The results show that real M1 and real M1a perform about equally well in providing leading information about real output at short horizons. However, on theoretical grounds, M1a is a more attractive aggregate, since it excludes […] Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary and financial indicators
When Bad Things Happen to Good Banks: Contagious Bank Runs and Currency Crises Staff Working Paper 2004-18 Raphael Solomon The author develops a twin crisis model featuring multiple banks. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial institutions JEL Code(s): E, E5, E58, F, F3, F30, G, G2, G21
Price Caps in Canadian Bond Borrowing Markets Staff Analytical Note 2019-2 Léanne Berger-Soucy, Jean-Sébastien Fontaine, Adrian Walton Price controls, or caps, can lead to shortages, as 1970’s gasoline price controls illustrate. One million trades show that the market for borrowing bonds in Canada has an implicit price cap: traders are willing to pay no more than the overnight interest rate to borrow a bond. This suggests the probability of a shortage increases when interest rates are very low. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Financial markets JEL Code(s): G, G1, G10, G12
The BoC-BoE Sovereign Default Database: What’s New in 2019? Staff Working Paper 2019-39 David Beers, Patrisha de Leon-Manlagnit Until recently, few efforts have been made to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada (BoC) developed a comprehensive database of sovereign defaults that is posted on its website and updated in partnership with the Bank of England (BoE). Content Type(s): Staff research, Staff working papers Research Topic(s): Debt management, Development economics, Financial stability, International financial markets JEL Code(s): F, F3, F34, G, G1, G10, G14, G15
Digitalization: Prices of Goods and Services Staff Discussion Paper 2023-27 Vivian Chu, Tatjana Dahlhaus, Christopher Hajzler This paper outlines and assesses the various channels through which digitalization can affect prices of goods and services. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Digitalization, Inflation and prices, Market structure and pricing, Monetary policy JEL Code(s): D, D2, E, E3, E31, E5, E52, L, L1, L11