November 11, 2009 The Evolution of Capital Flows to Emerging-Market Economies Bank of Canada Review - Winter 2009-2010 Lena Suchanek, Garima Vasishtha Many emerging-market economies (EMEs) have significantly improved their macroeconomic fundamentals and undergone structural reforms since the Asian crisis. These developments have enhanced the composition of capital flows to EMEs through an improved debt structure, a larger share of capital flows as foreign direct investment, and greater access to international debt markets for corporations in EMEs. Structural changes in the global financial landscape have also increased capital flows, bringing economic and financial benefits to EMEs. During the recent financial crisis, however, the opening up of capital accounts and increased financial and trade linkages left many countries vulnerable to external disruptions. Countries with sound fundamentals have weathered the crisis relatively well. Policy-makers in EMEs need to implement policies that support capital flows and ensure that controls imposed to deal with detrimental outflows during periods of stress or rapid inflows are only temporary. Content Type(s): Publications, Bank of Canada Review articles
Challenges in Implementing Worst-Case Analysis Staff working paper 2018-47 Jon Danielsson, Lerby Ergun, Casper G. de Vries Worst-case analysis is used among financial regulators in the wake of the recent financial crisis to gauge the tail risk. We provide insight into worst-case analysis and provide guidance on how to estimate it. We derive the bias for the non-parametric heavy-tailed order statistics and contrast it with the semi-parametric extreme value theory (EVT) approach. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C0, C01, C1, C14, C5, C58 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods
Market structure of cryptoasset exchanges: Introduction, challenges and emerging trends Staff analytical note 2024-2 Vladimir Skavysh, Jacob Sharples, Sofia Priazhkina, Salman H. Hasham This paper provides an overview of cryptoasset exchanges. We contrast their design with exchanges in traditional financial markets and discuss emerging regulatory trends and innovations aimed at solving the problems cryptoasset exchanges face. Content Type(s): Staff research, Staff analytical notes JEL Code(s): G, G1, G15, L, L1 Research Theme(s): Financial markets and funds management, Market structure, Money and payments, Digital assets and fintech
Are Working Hours Complements in Production? Staff working paper 2022-47 Lin Shao, Faisal Sohail, Emircan Yurdagul Using Canadian matched employer-employee data, we show that working hours of different workers are gross complements in production rather than perfect substitutes, as is typically assumed by macroeconomic models of production. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E2, E23, J, J2, J22, J23, J3, J31 Research Theme(s): Models and tools, Economic models, Monetary policy, Real economy and forecasting, Structural challenges, Demographics and labour supply
Should Central Banks Worry About Nonlinearities of their Large-Scale Macroeconomic Models? Staff working paper 2017-21 Vadym Lepetyuk, Lilia Maliar, Serguei Maliar How wrong could policymakers be when using linearized solutions to their macroeconomic models instead of nonlinear global solutions? Content Type(s): Staff research, Staff working papers JEL Code(s): C, C6, C61, C63, C68, E, E3, E31, E5, E52 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Monetary policy framework and transmission
Finding a Needle in a Haystack: A Machine Learning Framework for Anomaly Detection in Payment Systems Staff working paper 2024-15 Ajit Desai, Anneke Kosse, Jacob Sharples Our layered machine learning framework can enhance real-time transaction monitoring in high-value payment systems, which are a central piece of a country’s financial infrastructure. When tested on data from Canadian payment systems, it demonstrated potential for accurately identifying anomalous transactions. This framework could help improve cyber and operational resilience of payment systems. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C4, C45, C5, C55, D, D8, D83, E, E4, E42 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Payment and financial market infrastructures
August 23, 2004 The Evolution of Liquidity in the Market for Government of Canada Bonds Bank of Canada Review - Summer 2004 Stacey Anderson, Stéphane Lavoie Using turnover ratios, Anderson and Lavoie describe the recent evolution of liquidity in various secondary government bond markets, focusing specifically on the market for Government of Canada securities. They attribute much of the recent variation in liquidity to such cyclical factors as changes in the interest rate environment and investors' appetite for risk, as well as developments in equity markets in the late 1990s. They also examine longer-term structural and policy-related trends, including the rate of adoption of financial and technological innovations and the level of government borrowing and debt-management initiatives. Content Type(s): Publications, Bank of Canada Review articles
Trade and Diffusion of Embodied Technology: An Empirical Analysis Staff working paper 2023-21 Stephen Ayerst, Faisal Ibrahim, Gaelan MacKenzie, Swapnika Rachapalli Using data from patents, citations, inter-sectoral sales and customs, we examine the international diffusion of technology through imports of sectoral knowledge and production inputs. We develop an instrumental variable strategy to identify the causal effects of technology embodied in imports on innovation and diffusion outcomes. Content Type(s): Staff research, Staff working papers JEL Code(s): F, F1, F14, F6, F61, O, O1, O19, O3, O31, O33 Research Theme(s): Structural challenges, Digitalization and productivity, International trade, finance and competitiveness
March 9, 2010 An Uncertain Past: Data Revisions and Monetary Policy in Canada Bank of Canada Review - Spring 2010 Greg Tkacz Many important economic variables are subject to revision. This article explains how, when, and why such revisions occur; how revisions to Canadian gross domestic product (GDP) compare with GDP revisions in some other countries; which GDP components are subject to the largest revisions; and how data revisions can affect policy decisions. The author finds that revisions to Canadian GDP tend to be smaller, on average, than those of some other countries, and that among the GDP components, exports and imports are most heavily revised. Content Type(s): Publications, Bank of Canada Review articles
March 25, 2022 A world of difference: Households, the pandemic and monetary policy Remarks (delivered virtually) Sharon Kozicki Federal Reserve Bank of San Francisco Macroeconomics and Monetary Policy Conference San Francisco, California Bank of Canada Deputy Governor Sharon Kozicki discusses how differences among households affect economic outcomes, how shocks can have important uneven effects across households, and why these things matter for monetary policy. Content Type(s): Press, Speeches and appearances, Remarks Subject(s): Monetary policy, Economic models, Economy/Economic growth, Inflation, Inflation targeting framework