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2125 Results

Markov‐Switching Three‐Pass Regression Filter

We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes.

Non-Performing Loans, Fiscal Costs and Credit Expansion in China

Staff working paper 2018-53 Huixin Bi, Yongquan Cao, Wei Dong
This paper studies how the credit expansion policy pursued by the Chinese government in an effort to stimulate its economy in the post-crisis period affects bank–firm loan contracts and the macroeconomy. We build a structural model with financial frictions in which the optimal loan contract reflects the trade-off between leverage and the probability of default.

Macroeconomic Predictions Using Payments Data and Machine Learning

Staff working paper 2022-10 James Chapman, Ajit Desai
We demonstrate the usefulness of payment systems data and machine learning models for macroeconomic predictions and provide a set of econometric tools to overcome associated challenges.

The Heterogeneous Effects of COVID-19 on Canadian Household Consumption, Debt and Savings

Staff working paper 2020-51 James (Jim) C. MacGee, Thomas Michael Pugh, Kurt See
The impact of COVID-19 on Canadian households’ debt and unplanned savings varies by household income. Low-income and high-income households accrued unplanned savings, while middle-income households tended to accumulate more debt.

Unregulated Lending, Mortgage Regulations and Monetary Policy

Staff working paper 2022-28 Ugochi Emenogu, Brian Peterson
This paper evaluates the effectiveness of macroprudential policies when regulations are uneven across mortgage lender types. We look at credit tightening that results from macroprudential regulations and examine how much of it is counteracted by credit shifting to unregulated lenders. We also study the impact of monetary policy tightening when some lenders are unregulated.

On the Fragility of DeFi Lending

Staff working paper 2023-14 Jonathan Chiu, Emre Ozdenoren, Kathy Yuan, Shengxing Zhang
We develop a dynamic model to capture key features of decentralized finance lending. We identify a price-liquidity feedback: the market outcome in any given period depends on agents' expectations about lending activities in future periods, with higher future price expectations leading to more lending and higher prices in that period.

Canadian Financial Stress and Macroeconomic Conditions

Staff discussion paper 2020-4 Thibaut Duprey
Severe disruptions in the financial markets, as observed during the 2008 global financial crisis or the COVID-19 pandemic, can impair the stability of the entire financial system and worsen macroeconomic downturns.
August 4, 2010

Fellowship Award

Annual research grants and expense allowances for a term of up to five years.
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