The MacroFinancial Risk Assessment Framework (MFRAF), Version 2.0 Technical report No. 111 Jose Fique This report provides a detailed technical description of the updated MacroFinancial Risk Assessment Framework (MFRAF), which replaces the version described in Gauthier, Souissi and Liu (2014) as the Bank of Canada’s stress-testing model for banks with a focus on domestic systemically important banks (D-SIBs). Content Type(s): Staff research, Technical reports JEL Code(s): C, C7, C72, E, E5, E58, G, G0, G01, G2, G21, G28 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Financial system regulation and oversight
May 16, 2013 Unconventional Monetary Policies: Evolving Practices, Their Effects and Potential Costs Bank of Canada Review - Spring 2013 Lena Suchanek, Eric Santor Following the recent financial crisis, major central banks have introduced several types of unconventional monetary policy measures, including liquidity and credit facilities, asset purchases and forward guidance. To date, these measures appear to have been successful. They restored market functioning, facilitated the transmission of monetary policy and supported economic activity. They have potential costs, however, including challenges related to the greatly expanded balance sheets of central banks and the eventual exit from these measures, as well as the vulnerabilities that can arise from prolonged monetary accommodation. Content Type(s): Publications, Bank of Canada Review articles JEL Code(s): E, E5, E52, E58, E6, E65
Dating Systemic Financial Stress Episodes in the EU Countries Staff working paper 2016-11 Benjamin Klaus, Tuomas Peltonen, Thibaut Duprey This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C54, G, G0, G01, G1, G15 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods
Systemic Risk and Collateral Adequacy Staff working paper 2019-23 Radoslav Raykov Many derivatives markets use collateral requirements calculated with industry-standard but dated methods that are not designed with systemic risk in mind. This paper explores whether the conservative nature of conventional collateral requirements outweighs their lack of consideration of systemic risk. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G10, G2, G20 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Money and payments, Payment and financial market infrastructures
The Determinants of Consumers’ Inflation Expectations: Evidence from the US and Canada Staff working paper 2020-52 Charles Bellemare, Rolande Kpekou Tossou, Kevin Moran We compare the determinants of consumer inflation expectations in the US and Canada by analyzing two current surveys. We find that Canadian consumers rely more on professional forecasts and the history of actual inflation when forming their expectations, while US consumers rely more on their own lagged expectations. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C33, D, D8, D83, D84, E, E3, E31 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission
What cured the TSX Equity index after COVID-19? Staff analytical note 2021-3 Guillaume Ouellet Leblanc, Jean-Sébastien Fontaine, Ryan Shotlander The TSX index rose by 9.5 percent in November 2020, adding large gains to an already sharp V-shaped recovery. The economic outlook improved at that time as well. We ask whether the stock market gains since last autumn are due to improving forecasts of firms’ earnings. Content Type(s): Staff research, Staff analytical notes JEL Code(s): G, G1, G12, G14 Research Theme(s): Financial markets and funds management, Market functioning, Monetary policy, Real economy and forecasting
Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement Staff working paper 2018-21 Elena Goldman, Xiangjin Shen We explore properties of asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) models in the threshold GARCH (GTARCH) family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low-frequency macroeconomic volatility as well as an asymmetric response to past negative news in both autoregressive conditional heteroscedasticity (ARCH) and GARCH terms. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C58, G, G1, G19, G2, G23, G28 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods, Money and payments, Payment and financial market infrastructures
Potential netting benefits from expanded central clearing in Canada’s fixed-income market Staff analytical note 2022-8 Jessie Ziqing Chen, Johannes Chen, Shamarthi Ghosh, Manu Pandey, Adrian Walton We assess whether more central clearing would enhance the resilience of Canadian fixed-income markets. Our analysis estimates the potential benefits of balance sheet netting under scenarios where central clearing is expanded to new participants. Content Type(s): Staff research, Staff analytical notes JEL Code(s): D, D4, G, G1, G12, G2, G21, G29 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Money and payments, Payment and financial market infrastructures
June 23, 2004 The Organizational Structure of Financial Market Regulation: Highlights from the Literature Financial System Review - June 2004 Christine Fay, Nicolas Parent Content Type(s): Publications, Financial System Review articles
November 1, 2018 Bank of Canada publishes staff economic projections for the first time Media Relations Ottawa, Ontario Today the Bank of Canada launched a digital database with more than 30 years of past staff economic projections of the Canadian economy. Content Type(s): Press, Press releases