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3030 Results

Sources of Borrowing and Fiscal Multipliers

Staff Working Paper 2018-32 Romanos Priftis, Srecko Zimic
This paper finds that debt-financed government spending multipliers vary considerably depending on the location of the debt buyer. In a sample of 33 countries, we find that government spending multipliers are larger when government purchases are financed by issuing debt to foreign investors (non-residents), compared with when government purchases are financed by issuing debt to home investors (residents).

Windfall Income Shocks with Finite Planning Horizons

Staff Working Paper 2022-40 Michael Boutros
How do households respond when they receive unanticipated income, such as an inheritance or government stimulus cheque? This paper studies these windfall income shocks through a model of household behaviour that generates a realistic consumption response for households along the entire distribution of wealth.
Content Type(s): Staff research, Staff working papers Research Topic(s): Domestic demand and components, Economic models, Fiscal policy JEL Code(s): D, D9, D91, E, E2, E21, G, G5, G51

Does US or Canadian Macro News Drive Canadian Bond Yields?

Staff Analytical Note 2018-38 Bruno Feunou, Rodrigo Sekkel, Morvan Nongni-Donfack
We show that a large share of low-frequency (quarterly) movements in Canadian government bond yields can be explained by macroeconomic news, even though high-frequency (daily) changes are driven by other shocks. Furthermore, we show that US macro news—not domestic news— explains most of the quarterly variation in Canadian bond yields.
Content Type(s): Staff research, Staff analytical notes Research Topic(s): Financial markets, International topics, Monetary policy JEL Code(s): C, C2, C22, E, E4, E43

Potential output and the neutral rate in Canada: 2021 update

We expect potential output growth to be higher than in the October 2020 reassessment. By 2024, growth will be slightly above its average growth from 2010 to 2019. We assess that the Canadian nominal neutral rate continues to lie in the range of 1.75 to 2.75 percent.

Timing of Banks’ Loan Loss Provisioning During the Crisis

Staff Working Paper 2016-27 Leo de Haan, Maarten van Oordt
We estimate a panel error correction model for loan loss provisions, using unique supervisory data on flow of funds into and out of the allowance for loan losses of 25 Dutch banks in the post-2008 crisis period. We find that these banks aim for an allowance of 49% of impaired loans.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability JEL Code(s): G, G0, G01, G2, G21, G3, G32

Security Transaction Taxes and Market Quality

Staff Working Paper 2011-26 Anna Pomeranets, Daniel G. Weaver
We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask spreads, lower volume, and increased price impact of trades.
March 9, 2010

Inflation Expectations and the Conduct of Monetary Policy: A Review of Recent Evidence and Experience

This article explores the role of inflation expectations in the conduct of monetary policy. It reviews the various measures of inflation expectations used by central banks, including surveys and market-based indicators, and considers their advantages and disadvantages. It examines the critical role of inflation expectations in the framework that central banks use to understand, forecast, and control inflation. It also looks at their role as an indicator of central bank credibility. The behaviour of inflation expectations over the past two years is analyzed and policy conclusions are offered.

Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound

Staff Working Paper 2012-21 Christiane Baumeister, Luca Benati
We explore the macroeconomic effects of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a time-varying parameter structural VAR model.
May 19, 2011

Understanding and Measuring Liquidity Risk: A Selection of Recent Research

During the recent financial crisis, one of the forces set in motion by the initial losses on subprime-mortgage loans was a significant decline in the market liquidity of assets and in the ability of financial institutions to obtain funding in wholesale markets. In this article, the authors summarize recent research that clarifies the role of liquidity in destabilizing the financial system and examine the implications of this research for the recently announced financial system reforms, including Basel III.
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