An Application of Shapley Value Cost Allocation to Liquidity Savings Mechanisms Staff working paper 2019-26 Rodney J. Garratt Liquidity demands in real-time gross settlement payment systems can be enormous. To reduce the liquidity requirement, central banks around the world have implemented liquidity savings mechanisms (LSMs). Content Type(s): Staff research, Staff working papers JEL Code(s): C, C7, C72, E, E5, E58 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Payment and financial market infrastructures
November 14, 2013 Bank of Canada Review - Autumn 2013 The three articles in this issue provide an overview of the monetary policy decision-making process at the Bank of Canada, a discussion of Bank research on the assessment of vulnerabilities in the financial system and a description of recent fragmentation in Canadian equity markets. Content Type(s): Publications, Bank of Canada Review
High-Frequency Trading and Institutional Trading Costs Staff working paper 2018-8 Marie Chen, Corey Garriott Using data on Canadian bond futures, we examine how high-frequency traders (HFTs) interact with institutions building large positions. In contrast to recent findings, we find HFTs in the data act as small-sized liquidity suppliers, and we reject the hypothesis that they engage in back running, a predatory trading strategy. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G14, G2, G20, L, L1, L10 Research Theme(s): Financial markets and funds management, Market functioning, Market structure
Machine learning for economics research: when, what and how Staff analytical note 2023-16 Ajit Desai This article reviews selected papers that use machine learning for economics research and policy analysis. Our review highlights when machine learning is used in economics, the commonly preferred models and how those models are used. Content Type(s): Staff research, Staff analytical notes JEL Code(s): A, A1, A10, B, B2, B23, C, C4, C45, C5, C55 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Structural challenges, Digitalization and productivity
Is the Discretionary Income Effect of Oil Price Shocks a Hoax? Staff working paper 2017-50 Christiane Baumeister, Lutz Kilian, Xiaoqing Zhou The transmission of oil price shocks has been a question of central interest in macroeconomics since the 1970s. There has been renewed interest in this question after the large and persistent fall in the real price of oil in 2014–16. In the context of this debate, Ramey (2017) makes the striking claim that the existing literature on the transmission of oil price shocks is fundamentally confused about the question of how to quantify the effect of oil price shocks. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C51, Q, Q4, Q43 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
Housing and Tax-Deferred Retirement Accounts Staff working paper 2016-24 Anson T. Y. Ho, Jie Zhou Assets in tax-deferred retirement accounts (TDA) and housing are two major components of household portfolios. In this paper, we develop a life-cycle model to examine the interaction between households’ use of TDA and their housing decisions. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C6, C61, D, D1, D14, D9, D91, E, E2, E21, H, H2, H24, R, R2, R21 Research Theme(s): Financial system, Household and business credit, Models and tools, Economic models, Monetary policy, Real economy and forecasting
The Bank of Canada’s “Horse Race” of Alternative Monetary Policy Frameworks: Some Interim Results from Model Simulations Staff discussion paper 2021-13 José Dorich, Rhys R. Mendes, Yang Zhang Bank of Canada staff are running a “horse race” of alternative monetary policy frameworks in the lead-up to 2021 renewal of the Bank’s monetary policy framework. This paper summarizes some interim results of model simulations from their research. Content Type(s): Staff research, Staff discussion papers JEL Code(s): E, E2, E27, E3, E4, E5, E52, E58 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission
June 21, 2009 Procyclicality and Bank Capital Financial System Review - June 2009 Neville Arjani Content Type(s): Publications, Financial System Review articles
December 8, 2006 Perspectives on Productivity and Potential Output Growth: A Summary of the Joint Banque de France/Bank of Canada Workshop, 24–25 April 2006 Bank of Canada Review - Winter 2006-2007 Gilbert Cette, Donald Coletti A nation's productivity is the prime determinant of its real incomes and standard of living, as well as being a major determinant of its potential output. In the short run, deviations of actual output from potential output are a useful indicator of inflationary pressures. This article is a short summary of the proceedings of the workshop, which focus on productivity and potential output growth among industrialized countries. The research is organized under three main themes: estimating potential growth; productivity and growth; and institutions, policies, and growth. Content Type(s): Publications, Bank of Canada Review articles
Climate Variability and International Trade Staff working paper 2023-8 Geoffrey R. Dunbar, Walter Steingress, Ben Tomlin This paper quantifies the impact of hurricanes on seaborne international trade to the United States. Matching the timing of hurricane–trade route intersections with monthly U.S. port-level trade data, we isolate the unanticipated effects of a hurricane hitting a trade route using two separate identification schemes: an event study and a local projection. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C2, C22, C5, F, F1, F14, F18, Q, Q5, Q54 Research Theme(s): Structural challenges, Climate change, International trade, finance and competitiveness