The Dynamic Behaviour of Canadian Imports and the Linear-Quadratic Model: Evidence Based on the Euler Equation Staff Working Paper 1994-6 Robert Amano, Tony S. Wirjanto We examine the ability of the simple linear-quadratic model under rational expectations to explain dynamic behaviour of aggregate Canadian imports. In contrast to authors of previous studies who examine dynamic behaviour using the LQ model, we estimate the structural parameters using the Euler equation in a limited information framework that does not require an explicit solution for the model's control variables in terms of the exogenous forcing variables. Content Type(s): Staff research, Staff working papers Research Topic(s): Recent economic and financial developments
Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real or Imagined? Technical Report No. 76 John Murray, Simon van Norden, Robert Vigfusson Greater intervention by the public sector is often proposed as a solution to the increased speculation and excessive price volatility thought to characterize today's competitive world financial system. Content Type(s): Staff research, Technical reports Research Topic(s): Exchange rates JEL Code(s): C, C4, C40, F, F3, F31
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
Blockchain-Based Settlement for Asset Trading Staff Working Paper 2018-45 Jonathan Chiu, Thorsten Koeppl Can securities be settled on a blockchain and, if so, what are the gains relative to existing settlement systems? We consider a blockchain that ensures delivery versus payment by linking transfers of assets with payments and operates using a proof-of-work protocol. The main benefit of a blockchain is faster and more flexible settlement, whereas the challenge is to avoid settlement fails when participants fork the chain to get rid of trading losses. Content Type(s): Staff research, Staff working papers Research Topic(s): Digital currencies and fintech, Economic models, Financial markets, Payment clearing and settlement systems JEL Code(s): G, G2, H, H4, P, P4, P43
Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples Staff Working Paper 1997-1 Marie-Josée Godbout, Simon van Norden This paper reconsiders several recently published but controversial results about the behaviour of exchange rates. In particular, it explores finite-sample problems in the application of cointegration tests and shows how these may have affected the conclusions of recent research. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C15, C2, C22, C3, C32, F, F3, F31
Credit in a Tiered Payments System Staff Working Paper 2006-36 Alexandra Lai, Nikil Chande, Sean O'Connor Payments systems are typically characterized by some degree of tiering, with upstream firms (clearing agents) providing settlement accounts to downstream institutions that wish to clear and settle payments indirectly in these systems (indirect clearers). Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial services, Market structure and pricing, Payment clearing and settlement systems JEL Code(s): G, G2, G21, L, L1, L12, L13, L2, L22
Real-Time Nowcasting of Nominal GDP Under Structural Breaks Staff Working Paper 2014-39 William A. Barnett, Marcelle Chauvet, Danilo Leiva-Leon This paper provides a framework for the early assessment of current U.S. nominal GDP growth, which has been considered a potential new monetary policy target. The nowcasts are computed using the exact amount of information that policy-makers have available at the time predictions are made. However, real-time information arrives at different frequencies and asynchronously, which poses challenges of mixed frequencies, missing data and ragged edges. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices JEL Code(s): C, C3, C32, E, E2, E27, E3, E31, E32
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
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
From Micro to Macro Hysteresis: Long-Run Effects of Monetary Policy Staff Working Paper 2024-39 Felipe Alves, Giovanni L. Violante We explore the long-run effects of a monetary policy shock in a Heterogeneous Agent New Keynesian model built on the micro evidence that job losses lead to persistently lower individual earnings through a combination of skill decay and abandonment of the labour force. Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets, Monetary policy transmission JEL Code(s): E, E2, E21, E24, E3, E31, E32, E5, E52, J, J2, J24, J6, J64