Immigrants and Mortgage Delinquency in the United States Staff Working Paper 2015-1 Zhenguo Lin, Yingchun Liu, Jia Xie We investigate the relationship between immigrant status and mortgage delinquency in the United States. Content Type(s): Staff research, Staff working papers Research Topic(s): Debt management, Financial stability JEL Code(s): G, G2, G21, J, J1, J15
Reactions of Canadian Interest Rates to Macroeconomic Announcements: Implications for Monetary Policy Transparency Staff Working Paper 2001-5 Toni Gravelle, Richhild Moessner In this study we statistically quantify the reactions of Canadian and U.S. interest rates to macroeconomic announcements released in Canada and in the United States. We find that Canadian interest rates react very little to Canadian macroeconomic news and are significantly affected by U.S. macroeconomic news, which indicates that international influences on the Canadian fixed-income markets are important. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Interest rates, Monetary policy implementation JEL Code(s): E, E0, E4, E5
August 27, 2007 The Bank of Canada's Research Agenda and the Future of Inflation Targeting Remarks Pierre Duguay Canadian Association for Business Economics Kingston, Ontario The last few weeks have been a time of turbulence in financial markets. In times such as these, it is common for people to focus on day-by-day or even hour-by-hour events, and to lose sight of the future. But tonight, I want to focus on the future; specifically, the future of inflation targeting in Canada. Content Type(s): Press, Speeches and appearances, Remarks
An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds Staff Working Paper 2003-28 Chris D'Souza, Charles Gaa, Jing Yang The authors empirically measure Canadian bond market liquidity using a number of indicators proposed in the literature and detail, for the first time, price and trade dynamics in the Government of Canada secondary bond market. They find, consistent with Inoue (1999), that the Canadian brokered interdealer fixed-income market is relatively liquid for its size. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G10, G14
Real Time Detection of Structural Breaks in GARCH Models Staff Working Paper 2009-31 Zhongfang He, John M. Maheu A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C11, C15, C2, C22, C5, C53
May 14, 2015 Inflation Dynamics in the Post-Crisis Period Bank of Canada Review - Spring 2015 Christian Friedrich, Marc-André Gosselin Inflation rates in advanced economies experienced two consecutive puzzles during the period following the global financial crisis—unexpectedly high inflation from the end of 2009 to 2011 and unexpectedly low inflation from 2012 to the middle of 2014. We investigate these developments in two ways. First, we show that accounting for inflation expectations by households explains a significant share of the inflation puzzles at the international level. Second, we find that, for Canada, elevated competition in the retail sector is also important for understanding inflation dynamics in the post-crisis period. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Inflation and prices, International topics, Regional economic developments JEL Code(s): E, E3, E31, E5, F, F4, F41
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
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
December 14, 2007 The Costs of Inflation in New Keynesian Models Bank of Canada Review - Winter 2007-2008 Steve Ambler Ambler describes three new channels through which inflation affects economic welfare in New Keynesian models. These channels were absent from traditional analyses and may have caused researchers to underestimate the costs associated with variable inflation, even at relatively low levels of inflation. The article concludes with a preliminary assessment of the quantitative importance of the new channels and their significance for monetary policy. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Inflation: costs and benefits, Monetary policy framework
International Cross-Listing and the Bonding Hypothesis Staff Working Paper 2004-17 Michael R. King, Dan Segal The authors describe a new view of cross-listing that links the impact on firm valuation to the firm's ability to develop an active secondary market for its shares in the U.S. markets. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, International topics JEL Code(s): G, G1, G12, G15