Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach Staff Working Paper 2011-19 Toni Gravelle, Fuchun Li In this paper, we define a financial institution’s contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the financial institution. The higher the contribution is, the more systemically important is the institution for the system. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): C, C1, C14, C5, C58, G, G2, G21, G3, G32
What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks Staff Working Paper 2016-25 Laurent Ferrara, Pierre Guérin This paper evaluates the effects of high-frequency uncertainty shocks on a set of low-frequency macroeconomic variables that are representative of the U.S. economy. Rather than estimating models at the same common low-frequency, we use recently developed econometric models, which allows us to deal with data of different sampling frequencies. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E32, E4, E44
Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology Staff Working Paper 1996-2 Pierre St-Amant In this paper, the author uses structural vector autoregression methodology to decompose U.S. nominal interest rates into an expected inflation component and an ex ante real interest rate component. He identifies inflation expectations and ex ante real interest rate shocks by assuming that nominal interest rates and inflation expectations move one-for-one in the long-run—they are cointegrated (1,1)—and that the real interest rate is stationary. Content Type(s): Staff research, Staff working papers Research Topic(s): Interest rates, International topics JEL Code(s): E, E3, E31, E4, E43
Effects of macroprudential policy announcements on perceptions of systemic risks Staff Analytical Note 2025-4 Thibaut Duprey, Victoria Fernandes, Kerem Tuzcuoglu, Ruhani Walia We introduce a history of macroprudential policy (MPP) events in Canada since the 1980s. We document the short-run effects of MPP announcements on market-based measures of systemic risk and find that MPPs can influence the market’s perception of large banks’ resilience. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Econometric and statistical methods, Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): E, E5, E58, G, G2, G21, G28, G3, G32
A Note on Contestability in the Canadian Banking Industry Staff Discussion Paper 2007-7 Jason Allen, Ying Liu The authors examine the degree of contestability in the Canadian banking system using the H-statistic proposed by Panzar and Rosse (1987) and modified by Bikker, Spierdijk, and Finnie (2006). A modification is necessary because the standard approach of controlling for size using total assets leads to an upward bias in the H-statistic. The authors propose […] Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial institutions JEL Code(s): G, G2, G21, L, L1, L11
August 18, 2011 Bank of Canada Review - Summer 2011 This special issue, “Real-Financial Linkages,” examines the Bank’s research using theoretical and empirical models to improve its understanding of the linkages between financial and macroeconomic developments in the wake of the recent global financial crisis. Content Type(s): Publications, Bank of Canada Review
Inventories in ToTEM Staff Discussion Paper 2010-9 Oleksiy Kryvtsov, Yang Zhang ToTEM – the Bank of Canada’s principal projection and policy-analysis model for the Canadian economy – is extended to include inventories. In the model, firms accumulate inventories of finished goods for their role in facilitating the demand for goods. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E3, E31, E32
February 16, 2023 No two ways about it: Why the Bank is committed to getting back to 2% Remarks Paul Beaudry Alberta School of Business Edmonton, Alberta Deputy Governor Paul Beaudry discusses the benefits of being near the Bank’s 2% inflation target and the dangers of straying from it for too long. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Exchange rates, Inflation targets
June 2, 2006 Another Look at the Inflation-Target Horizon Bank of Canada Review - Summer 2006 Donald Coletti, Jack Selody, Carolyn A. Wilkins The conduct of monetary policy within an inflation-targeting framework requires the establishment of an inflation-target horizon, which is the average time it takes inflation to return to the target. Policy-makers have an interest in communicating this horizon, since it is likely to help anchor inflation expectations. This article focuses on the determination of the appropriate policy horizon by reporting on two recent Bank of Canada studies. The evidence suggests that the current target horizon of six to eight quarters remains appropriate. It is important to note that the duration of the optimal inflation-target horizon varies widely, depending on the combination of shocks to the economy. In rare cases when the financial accelerator is triggered by a persistent shock, such as an asset-price bubble, it may be appropriate to take a longer view of the inflation-target horizon. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Inflation targets, Monetary policy framework, Monetary policy transmission