Vertical Specialization and Gains from Trade Staff working paper 2017-17 Patrick Alexander Multi-stage production is widely recognized as an important feature of the modern global economy. This feature has been incorporated into many state-of-the-art quantitative trade models, and has been shown to deliver significant additional gains from international trade. Content Type(s): Staff research, Staff working papers JEL Code(s): F, F1, F11, F14, F6, F60 Research Theme(s): Models and tools, Economic models, Structural challenges, International trade, finance and competitiveness
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
Multibank Holding Companies and Bank Stability Staff working paper 2018-51 Radoslav Raykov, Consuelo Silva-Buston This paper studies the relationship between bank holding company affiliation and the individual and systemic risk of banks. Using the 2005 hurricane season in the US as an exogenous shock to bank balance sheets, we show that banks that are part of a holding parent company are more resilient than independent banks. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G2 Research Theme(s): Financial system, Financial institutions and intermediation, Financial stability and systemic risk
December 23, 2003 Financial System Review - December 2003 This section of the Financial System Review examines the recent performance of the Canadian financial system and the factors, both domestic and international, that are influencing it. Content Type(s): Publications, Financial Stability Report
June 7, 2018 The Bank of Canada’s Financial System Survey Financial System Review - June 2018 Guillaume Bédard-Pagé, Ian Christensen, Scott Kinnear, Maxime Leboeuf This report presents the details of a new semi-annual survey that will improve the Bank of Canada’s surveillance across the financial system and deepen efforts to engage with financial system participants. The survey collects expert opinions on the risks to and resilience of the Canadian financial system as well as on emerging trends and financial innovations. The report presents an overview of the survey and provides high-level results from the spring 2018 survey. Content Type(s): Publications, Financial System Review articles JEL Code(s): C, C8, C83, G, G1, G11, G18, G2, G28, G3, G32
The Macroeconomic Effects of Quantitative Easing in the Euro Area: Evidence from an Estimated DSGE Model Staff working paper 2018-11 Stefan Hohberger, Romanos Priftis, Lukas Vogel This paper estimates an open-economy dynamic stochastic general equilibrium model with Bayesian techniques to analyse the macroeconomic effects of the European Central Bank’s (ECB’s) quantitative easing (QE) programme. Using data on government debt stocks and yields across maturities, we identify the parameter governing portfolio adjustment in the private sector. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E44, E5, E52, F, F4, F41 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy tools and implementation
December 8, 2011 Strengthening Bank Management of Liquidity Risk: The Basel III Liquidity Standards Financial System Review - December 2011 Natasha Khan, Tamara Gomes Content Type(s): Publications, Financial System Review articles
On the Programmability and Uniformity of Digital Currencies Staff working paper 2025-18 Jonathan Chiu, Cyril Monnet Central bankers argue that programmable digital currencies may compromise the uniformity of money. We develop a stylized model to examine this argument and the trade-offs involved in circulating programmable money. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E5, E50, E58 Research Theme(s): Money and payments, Digital assets and fintech, Payment and financial market infrastructures
Should Central Banks Worry About Nonlinearities of their Large-Scale Macroeconomic Models? Staff working paper 2017-21 Vadym Lepetyuk, Lilia Maliar, Serguei Maliar How wrong could policymakers be when using linearized solutions to their macroeconomic models instead of nonlinear global solutions? Content Type(s): Staff research, Staff working papers JEL Code(s): C, C6, C61, C63, C68, E, E3, E31, E5, E52 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Monetary policy framework and transmission
Comparison of Bayesian and Sample Theory Parametric and Semiparametric Binary Response Models Staff working paper 2022-31 Xiangjin Shen, Iskander Karibzhanov, Hiroki Tsurumi, Shiliang Li We use graphic processing unit computing to compare Bayesian and sample theory semiparametric binary response models. Our findings show that optimal bandwidth does not outperform regular bandwidth in binary semiparametric models. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C14, C3, C35, C5, C51, C6, C63, D, D1 Research Theme(s): Financial system, Household and business credit, Models and tools, Econometric, statistical and computational methods