How to Predict Financial Stress? An Assessment of Markov Switching Models Staff Working Paper 2017-32 Benjamin Klaus, Thibaut Duprey This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a transition to a tranquil state. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Financial markets, Financial stability, Financial system regulation and policies, Monetary and financial indicators JEL Code(s): C, C5, C54, G, G0, G01, G1, G15
October 22, 2006 Bank of Canada Review - Autumn 2006 Cover page The "pretended" Bank of Upper Canada — Kingston (1819-22) The note is part of the National Currency Collection of the Bank of Canada. Photography by Gord Carter Content Type(s): Publications, Bank of Canada Review
December 21, 2006 Are Canadian Banks Efficient? A Canada-U.S. Comparison Financial System Review - December 2006 Jason Allen, Walter Engert, Ying Liu Content Type(s): Publications, Financial System Review articles
The Monetary Transmission Mechanism at the Sectoral Level Staff Working Paper 2001-27 Jean Farès, Gabriel Srour This paper relies on simple vector autoregressions to investigate the monetary transmission mechanism in broad sectors of the Canadian economy. Two types of disaggregation are considered: one at the level of final expenditures, and one at the level of production. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy transmission JEL Code(s): E, E5, E52
March 22, 2018 Financial Stability: Taking Care of Unfinished Business Remarks Carolyn A. Wilkins Rotman School of Management conference Toronto, Ontario Senior Deputy Governor Carolyn A. Wilkins discusses three areas in which work remains to be done to improve financial stability. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Credit and credit aggregates, Digital currencies and fintech, Financial stability, Financial system regulation and policies, Monetary policy framework, Recent economic and financial developments
December 2, 2002 Canadian Foreign Exchange Market Liquidity and Exchange Rate Dynamics Financial System Review - December 2002 Chris D'Souza Content Type(s): Publications, Financial System Review articles
Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector Staff Working Paper 2006-47 Miroslav Misina, David Tessier, Shubhasis Dey Stress testing, at its most general level, is an investigation of the performance of an entity under abnormal operating conditions. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability JEL Code(s): C, C1, C15, G, G2, G21, G3, G33
May 13, 2014 The Canadian Dollar as a Reserve Currency Bank of Canada Review - Spring 2014 Lukasz Pomorski, Francisco Rivadeneyra, Eric Wolfe This article provides an overview of the growth of Canadian-dollar-denominated assets in official foreign reserves. Based on International Monetary Fund data and on internal Bank of Canada analysis, we estimate that the total reserve holdings of Canadian-dollar assets increased from negligible levels before 2008 to around US$200 billion in the third quarter of 2013. We discuss the determinants of this increase, as well as its potential impact on Canadian debt markets, for example, lower yields and therefore reduced financing costs for the Government of Canada, and the possible negative impact on market liquidity. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Central bank research, Foreign reserves management, Recent economic and financial developments JEL Code(s): E, E5, E58, F, F3, F31, G, G1, G12
Why Does Private Consumption Rise After a Government Spending Shock? Staff Working Paper 2003-43 Hafedh Bouakez, Nooman Rebei Recent empirical evidence suggests that private consumption is crowded-in by government spending. This outcome violates existing macroeconomic theory, according to which the negative wealth effect brought about by a rise in public expenditure should decrease consumption. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Fiscal policy JEL Code(s): E, E3, E32, E6, E62
Household Stockholding Behavior During the Great Financial Crisis Staff Working Paper 2015-15 Jie Zhou Using the Panel Study of Income Dynamics, this paper studies household stock market participation and trading behavior in 2007–09, a period that saw a major stock market downswing. The stock market participation rate fell after the market crash. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets JEL Code(s): G, G0, G01, G1, G11