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2126 Results

Housing Market Dynamics and Macroprudential Policy

Staff working paper 2016-31 Gabriel Bruneau, Ian Christensen, Césaire Meh
We perform an analysis to determine how well the introduction of a countercyclical loanto- value (LTV) ratio can reduce household indebtedness and housing price fluctuations compared with a monetary policy rule augmented with house price inflation.

Mandatory Retention Rules and Bank Risk

Staff working paper 2023-3 Yuteng Cheng
This paper studies, theoretically and empirically, the unintended consequences of mandatory retention rules in securitization. It proposes a novel model showing that while retention strengthens monitoring, it may also encourage banks to shift risk.

Analyzing the house price boom in the suburbs of Canada’s major cities during the pandemic

Staff analytical note 2022-7 Louis Morel
We assess how location affects house prices in Canada. The gap in prices between suburbs and downtown was closing gradually before the pandemic. The gap has been closing faster since spring 2020. This finding reflects a shift in preferences toward more living space.

Assessing Global Potential Output Growth: October 2020

This paper presents updated estimates of potential output growth for the global economy through 2022. Global potential output growth is expected to decline sharply in the aftermath of the COVID-19 pandemic and recover partially by the end of the projection horizon of the October 2020 Monetary Policy Report.

Banking Regulation and Market Making

Staff working paper 2017-7 David Cimon, Corey Garriott
We model how securities dealers respond to regulations on leverage, position and liquidity such as those imposed by the Basel III framework. We show that while asset prices exhibit greater price impact, bid-ask spreads do not change and trading volumes may even increase.

Capital Structure, Pay Structure and Job Termination

Staff working paper 2016-12 Jason Allen, James R. Thompson
We develop a model to analyze the link between financial leverage, worker pay structure and the risk of job termination. Contrary to the conventional view, we show that even in the absence of any agency problem among workers, variable pay can be optimal despite workers being risk averse and firms risk neutral.

Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps

Staff working paper 2023-38 Andrea Ugolini, Juan C. Reboredo, Javier Ojea Ferreiro
We study whether the credit derivatives of firms reflect the risk from climate transition. We find that climate transition risk has asymmetric and significant economic impacts on the credit risk of more vulnerable firms, and negligible effects on other firms.

Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data

Staff working paper 2017-30 Jose Fique
In complex and interconnected banking systems, counterparty risk does not depend only on the risk of the immediate counterparty but also on the risk of others in the network of exposures.

Trade Flows and Exchange Rates: Importers, Exporters and Products

Staff working paper 2019-41 Michael Devereux, Wei Dong, Ben Tomlin
Using highly disaggregated transaction-level trade data, we document the importance of new firm-level trade partner relationships and the addition of new products to existing relationships in driving aggregate trade flows.

Cash in the Pocket, Cash in the Cloud: Cash Holdings of Bitcoin Owners

Staff working paper 2022-26 Daniela Balutel, Christopher Henry, Kim Huynh, Marcel Voia
We estimate the effect that owning Bitcoin has on the amount of cash held by Canadian consumers. Our results question the view that adopting certain new technologies, such as Bitcoin, leads to a decline in cash holdings.
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