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3032 Results

A New Measure of Monetary Policy Shocks

Staff Working Paper 2021-29 Xu Zhang
Combining various high frequency financial data with central bank projections, I construct a new measure of monetary policy shocks not predictable by the public information preceding a central bank’s announcements. I then study the causal effects of monetary policy on the macro economy.

Macroprudential Regulation and Systemic Capital Requirements

Staff Working Paper 2010-4 Céline Gauthier, Alfred Lehar, Moez Souissi
In the aftermath of the financial crisis, there is interest in reforming bank regulation such that capital requirements are more closely linked to a bank's contribution to the overall risk of the financial system. In our paper we compare alternative mechanisms for allocating the overall risk of a banking system to its member banks.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability JEL Code(s): C, C1, C15, C8, C81, E, E4, E44, G, G2, G21

2023 Methods-of-Payment Survey Report: The Resilience of Cash

Staff Discussion Paper 2024-8 Christopher Henry, Matthew Shimoda, Doina Rusu
We present key results from the 2023 Methods-of-Payment Survey. Results show that measures of cash management and use have remained stable since 2020, and that Canadians increased their adoption of payment alternatives such as mobile apps in 2023.

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 Research Topic(s): Econometric and statistical methods, Financial stability JEL Code(s): C, C1, C12, C14, G, G0, G01, G1, G17

Heterogeneity and Monetary Policy: A Thematic Review

The theory that rich economic diversity of businesses and households both affects and is shaped by economy-wide fluctuations has strong implications for monetary policy. This review places these insights in a Canadian context.

On Fiscal Multipliers: Estimates from a Medium Scale DSGE Model

Staff Working Paper 2010-30 Sarah Zubairy
This paper contributes to the debate on fiscal multipliers, in the context of a structural model. I estimate a micro-founded dynamic stochastic general equilibrium model, that features a rich fiscal policy block and a transmission mechanism for government spending shocks, using Bayesian techniques for US data.
Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Fiscal policy JEL Code(s): C, C1, C11, E, E3, E32, E6, E62, H, H3, H30

Understanding the Time Variation in Exchange Rate Pass-Through to Import Prices

Staff Discussion Paper 2017-12 Rose Cunningham, Min Jae Kim, Christian Friedrich, Kristina Hess
In this paper, we analyze the presence of time variation in the pass-through from the nominal effective exchange rate to import prices for 24 advanced economies over the period 1995–2015. In line with earlier studies in the literature, we find substantial heterogeneity in the level of exchange rate pass-through across countries.
August 24, 2004

The Efficiency of Canadian Capital Markets: Some Bank of Canada Research

Capital markets and their related financial instruments make an important contribution to the welfare of Canadians. The Bank of Canada is interested in the efficient functioning of capital markets through each of its responsibilities for monetary policy, the financial system, and funds management. Hendry and King highlight the key findings of Bank research published over the past year that addresses capital market efficiency and summarize lessons that have been learned. The research conducted thus far suggests that Canadian capital markets are efficient for a capital market of Canada's size but are less diverse than the U.S. capital markets, indicating that there is room for improvement in certain areas.
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