Measuring Systemic Risk Across Financial Market Infrastructures Staff Working Paper 2016-10 Fuchun Li, Héctor Pérez Saiz We measure systemic risk in the network of financial market infrastructures (FMIs) as the probability that two or more FMIs have a large credit risk exposure to the same FMI participant. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial stability, Payment clearing and settlement systems JEL Code(s): C, C5, C58, G, G2, G21, G23
Characterizing the Canadian Financial Cycle with Frequency Filtering Approaches Staff Analytical Note 2018-34 Andrew Lee-Poy In this note, I use two multivariate frequency filtering approaches to characterize the Canadian financial cycle by capturing fluctuations in the underlying variables with respect to a long-term trend. The first approach is a dynamically weighted composite, and the second is a stochastic cycle model. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial stability, Monetary and financial indicators, Recent economic and financial developments JEL Code(s): C, C0, C01, C1, C13, C14, C18, C3, C32, C5, C51, C52, E, E3, E32, E6, E66, G, G0, G01, G1, G18
May 16, 2016 A New Era of Central Banking: Unconventional Monetary Policies Bank of Canada Review - Spring 2016 Eric Santor, Lena Suchanek Central banks can implement unconventional monetary policy measures to provide additional easing when policy interest rates come close to their lower limit. To date, the international experience with tools such as quantitative easing and negative interest rates has been largely positive. Central banks may also use several such measures simultaneously, with often mutually reinforcing effects. Yet, unconventional tools are also subject to potential limits, and the costs associated with these measures could rise with extensive and prolonged use. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Interest rates, International topics, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E5, E52, E58, E6, E61, E65
Inflation and the Tax System in Canada: An Exploratory Partial-Equilibrium Analysis Staff Working Paper 2000-18 Brian O'Reilly, Mylène Levac This paper reports on an exploratory application to Canadian data of an approach pioneered by Martin Feldstein (1997, 1999). Feldstein finds that even at low inflation rates there are costs arising from the distortions introduced by the interaction of inflation with the taxation of income from capital (capital gains, dividends, and interest) in a less-than-perfectly-indexed tax system. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation: costs and benefits JEL Code(s): E, E5, E6
Non-Parametric and Neural Network Models of Inflation Changes Staff Working Paper 2000-7 Greg Tkacz Previous studies have shown that interest rate yield spreads contain useful information about future changes in inflation. However, such studies have for the most part focused on linear models, ignoring potential non-linearities between interest rates and inflation. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Inflation and prices JEL Code(s): C, C5, C51, E, E3, E31
Endogenous Borrowing Constraints and Consumption Volatility in a Small Open Economy Staff Working Paper 2006-37 Carlos De Resende Consumption volatility relative to output volatility is consistently higher in emerging economies than in developed economies. Content Type(s): Staff research, Staff working papers Research Topic(s): International topics JEL Code(s): F, F3, F32, F34, F4, F41
Liquidity and Central Clearing: Evidence from the CDS Market Staff Working Paper 2012-38 Joshua Slive, Jonathan Witmer, Elizabeth Woodman An international initiative to increase the use of central clearing for OTC derivatives emerged as one of the reactions to the 2008 financial crisis. The move to central clearing is a fundamental change in the structure of the market. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): G, G3, G30, G38
Strategic Complementarities and Money Market Fund Liquidity Management Staff Working Paper 2017-14 Jonathan Witmer Following the financial crisis, there has been increased regulatory focus on the management of liquidity in mutual funds and, specifically, whether funds hold enough liquidity to guard against the potential for investor runs. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial markets JEL Code(s): F, F3, F30, G, G0, G01, G1, G18, G2, G20
The International Monetary Fund's Balance-Sheet and Credit Risk Staff Working Paper 2006-21 Ryan Felushko, Eric Santor The authors examine the characteristics of International Monetary Fund (IMF) lending from the 1960s to 2005. Content Type(s): Staff research, Staff working papers Research Topic(s): International topics JEL Code(s): F, F3