The Ex-Ante Versus Ex-Post Effect of Public Guarantees Staff Working Paper 2012-22 H. Evren Damar, Reint Gropp, Adi Mordel In October 2006, Dominion Bond Rating Service (DBRS) introduced new ratings for banks that account for the potential of government support. The rating changes are not a reflection of any changes in the respective banks’ credit fundamentals. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G2, G21, G28, G3, G32
The Turning Black Tide: Energy Prices and the Canadian Dollar Staff Working Paper 2006-29 Ramzi Issa, Robert Lafrance, John Murray The authors revisit the relationship between energy prices and the Canadian dollar in the Amano and van Norden (1995) equation, which shows a negative relationship such that higher real energy prices lead to a depreciation of the Canadian dollar. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Exchange rates JEL Code(s): F, F3, F31
Asset Allocation Using Extreme Value Theory Staff Working Paper 2002-2 Younes Bensalah This paper examines asset allocation strategies in an extreme value at risk (VaR) framework in which the risk measure is the p-quantile from the extreme value distribution. The main focus is on the allocation problem faced by an extremely risk-averse institution, such as a central bank. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): C, C0, C4, C5, G, G1
A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market Staff Working Paper 2006-8 Ingrid Lo, Stephen Sapp Traders using the electronic limit order book in the foreign exchange market can watch the posted price and depth of the best quotes change over the day. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial markets JEL Code(s): C, C3, D, D8, F, F3, F31
Managing Operational Risk in Payment, Clearing, and Settlement Systems Staff Working Paper 2003-2 Kim McPhail Awareness of operational risk has increased greatly in recent years, both at individual financial institutions and for payment, clearing, and settlement systems (PCSS). PCSS consist of networks of interconnected elements (i.e., central operators, participants, and settlement agents); operational problems at any one of the key elements have the potential to disrupt the system as a whole and negatively affect financial stability. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Payment clearing and settlement systems JEL Code(s): E, E4, E44, G, G2, G21
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
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
May 1, 2013 Monetary Policy After the Fall Remarks Mark Carney Eric J. Hanson Memorial Lecture University of Alberta Edmonton, Alberta Bank of Canada Governor Mark Carney discusses the future of monetary policy. Content Type(s): Press, Speeches and appearances, Remarks
Financial Frictions, Durable Goods and Monetary Policy Staff Working Paper 2019-31 Ugochi Emenogu, Leo Michelis Financial frictions affect how much consumers spend on durable and non-durable goods. Borrowers can face both loan-to-value (LTV) constraints and payment-to-income (PTI) constraints. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial system regulation and policies, Monetary policy JEL Code(s): E, E4, E44, E5, E52
Downward Nominal Wage Rigidity in Canada: Evidence from Micro- Level Data Staff Working Paper 2016-40 Dany Brouillette, Olena Kostyshyna, Natalia Kyui We assess the importance of downward nominal wage rigidity (DNWR) in Canada using both firm- and worker-level microdata. In particular, we analyze employer-level administrative data from the Major Wage Settlements (MWS) and household-based survey data from the Survey of Labour Income Dynamics (SLID). Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Labour markets JEL Code(s): E, E2, E24, J, J3, J30