Modelling Financial Instability: A Survey of the Literature Staff Working Paper 2002-12 Alexandra Lai The magnitude and frequency of recent financial crises underscore the importance of understanding financial instability for the purpose of crisis prevention and crisis management. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial markets, Financial services JEL Code(s): G, G2, G20, G21, G28
February 23, 2012 Household Borrowing and Spending in Canada Bank of Canada Review - Winter 2011-2012 Jeannine Bailliu, Katya Kartashova, Césaire Meh Understanding how much of the increased debt load of Canadian households has been used to finance household spending on consumption and home renovation is important for the conduct of monetary policy. In this article, the authors use a comprehensive data set that provides information on the uses of debt by Canadian households. They first present some facts regarding the evolution of Canadian household debt over the period from 1999 to 2010, emphasizing the increased importance of debt flows that are secured by housing. They then explore how Canadian households have used their borrowed funds over the same period, and assess the role of these borrowed funds in financing total consumption and spending on home renovation. Finally, they examine the possible effects of a decline in house prices on consumption when housing equity is used as collateral against household indebtedness. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Credit and credit aggregates, Domestic demand and components, Monetary policy transmission JEL Code(s): E, E2, E21, E5, E51, H, H3, H31
Estimated DGE Models and Forecasting Accuracy: A Preliminary Investigation with Canadian Data Staff Working Paper 2002-18 Kevin Moran, Veronika Dolar This paper applies the hybrid dynamic general-equilibrium, vector autoregressive (DGE-VAR) model developed by Ireland (1999) to Canadian time series. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E3, E32, E37
The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach Staff Working Paper 2005-36 René Garcia, Richard Luger The authors develop and estimate an equilibrium-based model of the Canadian term structure of interest rates. Content Type(s): Staff research, Staff working papers Research Topic(s): Interest rates JEL Code(s): E, E4, E43, E44, E47, E5, E52
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
An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate Staff Working Paper 2005-45 Ingrid Lo The author compares the performance of three Gaussian approximation methods - by Nowman (1997), Shoji and Ozaki (1998), and Yu and Phillips (2001) - in estimating a model of the nonlinear continuous-time short-term interest rate. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C1, E, E4
Central Bank Haircut Policy Staff Working Paper 2010-23 James Chapman, Jonathan Chiu, Miguel Molico We present a model of central bank collateralized lending to study the optimal choice of the haircut policy. We show that a lending facility provides a bundle of two types of insurance: insurance against liquidity risk as well as insurance against downside risk of the collateral. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Financial services, Financial system regulation and policies, Monetary policy implementation, Payment clearing and settlement systems JEL Code(s): E, E4, E40, E5, E50
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
Consumer Credit with Over-optimistic Borrowers Staff Working Paper 2020-57 Florian Exler, Igor Livshits, James (Jim) C. MacGee, Michèle Tertilt When lenders cannot directly identify behavioural and rational borrowers, they use type scoring to track the likelihood of a borrower’s type. This leads to the partial pooling of borrowers, which results in rational borrowers subsidizing borrowing costs for behavioural borrowers. This, in turn, reduces the effectiveness of regulatory policies that target mistakes by behavioural borrowers. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Credit risk management, Financial system regulation and policies JEL Code(s): E, E2, E21, E4, E49, G, G1, G18, K, K3, K35
February 9, 2022 The role of Canadian business in fostering non-inflationary growth Remarks (delivered virtually) Tiff Macklem Canadian Chamber of Commerce Ottawa, Ontario Governor Tiff Macklem discusses how business investment and stronger productivity are vital to sustaining non-inflationary economic growth. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Coronavirus disease (COVID-19), Expectations, Firm dynamics, Inflation and prices, Labour markets, Monetary policy, Productivity, Recent economic and financial developments