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2166 Results

February 23, 2012

Household Insolvency in Canada

With increasing levels of household debt in recent years, the number of households that may be vulnerable to a negative economic shock is rising as well. Decisions made by both the debtor and the creditor can contribute to insolvency. This article presents some stylized facts about insolvency in Canada’s household sector and analyzes the role of creditors in insolvencies. The average debt of an individual filing for bankruptcy is more than 1.5 times that of an average Canadian household; bankruptcy filers tend to be unemployed or in low-wage jobs, and are typically renters. The article reports that banks that approve more loans per branch, which is interpreted as less-intensive use of soft information (such as the loan officer’s assessment of the applicant’s character), experience more client bankruptcies. This finding has important policy implications, because financial institutions that do not use soft information risk further deterioration in their lending portfolios.
Content Type(s): Publications, Bank of Canada Review articles JEL Code(s): D, D4, G, G2

The Share of Systematic Variations in the Canadian Dollar—Part II

Staff analytical note 2017-1 Jean-Sébastien Fontaine, Guillaume Nolin
This analytical note examines how much of the systematic variation in the Canadian dollar is attributable to its sensitivity to commodity prices. We introduce a new “oil” portfolio that captures systematic variations when the exchange rates of commodity exporters and commodity importers move in opposite directions.

Patterns and Determinants of Global Cryptocurrency Flows

Staff working paper 2026-15 Christian Friedrich, Laura Zhao
This paper analyzes cross-border cryptocurrency flows, focusing on Bitcoin and four major stablecoins. Using data for 162 countries, we identify the key determinants, including responses to weak economic conditions and demand for remittances. A COVID-19 case study supports these findings and emphasizes the role of cryptocurrencies in global finance.
Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, F, F3, F32, F38, F5, F51, G, G1, G15, G2, G23 Research Theme(s): Money and payments, Digital assets and fintech

Understanding the Cross‐Country Effects of US Technology Shocks

Staff working paper 2017-23 Thuy Lan Nguyen, Wataru Miyamoto
Business cycles are substantially correlated across countries. Yet most existing models are not able to generate substantial transmission through international trade. We show that the nature of such transmission depends fundamentally on the features determining the responsiveness of labor supply and labor demand to international relative prices.

Methodology for Assigning Credit Ratings to Sovereigns

Staff discussion paper 2017-7 Philippe Muller, Jérôme Bourque
The investment of foreign exchange reserves or other asset portfolios requires an assessment of the credit quality of investment counterparties. Traditionally, foreign exchange reserve and asset managers have relied on credit rating agencies (CRAs) as the main source for credit assessments.

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.

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.

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.

Crude Oil Prices and Fixed-Asset Cash Spending in the Oil and Gas Industry: Findings from VAR Models

Staff analytical note 2016-8 Farrukh Suvankulov
This note investigates the relationship between crude oil prices and investment in the energy sector. We employ a set of vector autoregression (VAR) models (unconstrained VAR, vector error-correction and Bayesian VAR) to formalize the relationship between the West Texas Intermediate (WTI) benchmark and fixed-asset cash spending in the oil and gas extraction and support activities sector of the Canadian economy.

Global Commodity Markets and Rebalancing in China: The Case of Copper

Given that China accounts for about half of global copper consumption, it is reasonable to expect that any significant change in Chinese copper consumption will have an impact on the global market.
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