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. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C6, C63, D, D8, D85, G, G2, G21 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial institutions and intermediation, Financial stability and systemic risk
Assessing Global Potential Output Growth: October 2020 Staff discussion paper 2020-10 Xin Scott Chen, Ali Jaffery, Guillaume Nolin, Karim Salhab, Peter Shannon, Subrata Sarker 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. Content Type(s): Staff research, Staff discussion papers JEL Code(s): E, E1, E10, E2, E20, O, O4 Research Theme(s): Monetary policy, Real economy and forecasting, Structural challenges, Demographics and labour supply, Digitalization and productivity
Uncovered Return Parity: Equity Returns and Currency Returns Staff working paper 2018-22 Edouard Djeutem, Geoffrey R. Dunbar We propose an uncovered expected returns parity (URP) condition for the bilateral spot exchange rate. URP implies that unilateral exchange rate equations are misspecified and that equity returns also affect exchange rates. Fama regressions provide evidence that URP is statistically preferred to uncovered interest rate parity (UIP) for nominal bilateral exchange rates between the US dollar and six countries (Australia, Canada, Japan, Norway, Switzerland and the UK) at the monthly frequency. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G15 Research Theme(s): Financial markets and funds management, International markets and currencies, Market functioning, Market structure, Models and tools, Economic models
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. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G2, G21, G28 Research Theme(s): Financial system, Financial institutions and intermediation, Financial system regulation and oversight, Household and business credit
The Global Benefits of Low Oil Prices: More Than Meets the Eye Staff analytical note 2016-13 Robert Fay, Justin-Damien Guénette, Louis Morel Between mid-2014 and early 2016, oil prices fell by roughly 65 per cent. This note documents the channels through which this oil price decline is expected to affect the global economy. One important and immediate channel is through higher expenditures, especially in net oil-importing countries. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E3, E32, E37, F, F0, F01, Q, Q4, Q43 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Real economy and forecasting, Structural challenges, International trade, finance and competitiveness
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. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E3, E31, E4, E42, H, H2, H23 Research Theme(s): Financial system, Financial stability and systemic risk, Household and business credit, Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission
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. Content Type(s): Staff research, Staff working papers JEL Code(s): F, F1, F4 Research Theme(s): Financial markets and funds management, International markets and currencies, Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission, Structural challenges, International trade, finance and competitiveness
Combining Large Numbers of Density Predictions with Bayesian Predictive Synthesis Staff working paper 2023-45 Tony Chernis I show how to combine large numbers of forecasts using several approaches within the framework of a Bayesian predictive synthesis. I find techniques that choose and combine a handful of forecasts, known as global-local shrinkage priors, perform best. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C11, C5, C52, C53, E, E3, E37 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
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. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C2, C24, G, G1, G12, G3, G32, Q, Q5, Q54 Research Theme(s): Financial system, Financial stability and systemic risk, Household and business credit, Structural challenges, Climate change
October 25, 2005 Bank of Canada Review - Autumn 2005 Cover page Ready References The book is part of the National Currency Collection, Bank of Canada. Photography by Gord Carter, Ottawa. Content Type(s): Publications, Bank of Canada Review