Comparison of Bayesian and Sample Theory Parametric and Semiparametric Binary Response Models Staff working paper 2022-31 Xiangjin Shen, Iskander Karibzhanov, Hiroki Tsurumi, Shiliang Li We use graphic processing unit computing to compare Bayesian and sample theory semiparametric binary response models. Our findings show that optimal bandwidth does not outperform regular bandwidth in binary semiparametric models. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C14, C3, C35, C5, C51, C6, C63, D, D1 Research Theme(s): Financial system, Household and business credit, Models and tools, Econometric, statistical and computational methods
February 8, 2018 At the Crossroads: Innovation and Inclusive Growth Remarks Carolyn A. Wilkins G7 Symposium on Innovation and Inclusive Growth Montebello, Quebec Senior Deputy Governor Carolyn A. Wilkins discusses technological progress and how policy-makers can harness it for economic growth that benefits everyone. Content Type(s): Press, Speeches and appearances, Remarks Subject(s): Currency, Digital currency, Financial system, Financial stability, Fintech, Monetary policy, Economy/Economic growth
March 2, 2017 Thermometer Rising—Climate Change and Canada’s Economic Future Remarks Timothy Lane Finance and Sustainability Initiative Montréal, Quebec Deputy Governor Tim Lane discusses the implications of climate change—and actions to address it—for Canada’s economy and financial system. Content Type(s): Press, Speeches and appearances, Remarks Subject(s): Financial system, Financial markets, Financial stability, Monetary policy, Economic models, Economy/Economic growth
June 7, 2018 The Bank of Canada’s Financial System Survey Financial System Review - June 2018 Guillaume Bédard-Pagé, Ian Christensen, Scott Kinnear, Maxime Leboeuf This report presents the details of a new semi-annual survey that will improve the Bank of Canada’s surveillance across the financial system and deepen efforts to engage with financial system participants. The survey collects expert opinions on the risks to and resilience of the Canadian financial system as well as on emerging trends and financial innovations. The report presents an overview of the survey and provides high-level results from the spring 2018 survey. Content Type(s): Publications, Financial System Review articles JEL Code(s): C, C8, C83, G, G1, G11, G18, G2, G28, G3, G32
Credit Risk Transfer and Bank Insolvency Risk Staff working paper 2017-59 Maarten van Oordt The present paper shows that, everything else equal, some transactions to transfer portfolio credit risk to third-party investors increase the insolvency risk of banks. This is particularly likely if a bank sells the senior tranche and retains a sufficiently large first-loss position. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G2, G21, G28, G3, G32 Research Theme(s): Financial system, Financial institutions and intermediation, Financial stability and systemic risk, Household and business credit
A Market-Based Approach to Reverse Stress Testing the Financial System Staff working paper 2025-32 Javier Ojea Ferreiro This article examines what market conditions lead to extreme losses in global financial systems. Using a reverse stress testing approach, it introduces two measures of systemic risk by starting from the tail losses and working backward to identify the events most closely associated with them. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C0, C02, C3, C32, C5, C58, G, G2, G21 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial institutions and intermediation, Financial stability and systemic risk
International Portfolio Rebalancing and Fiscal Policy Spillovers Staff working paper 2023-56 Sami Alpanda, Uluc Aysun, Serdar Kabaca We evaluate, both empirically and theoretically, the spillover effects that debt-financed fiscal policy interventions of the United States have on other economies. We consider a two-country model with international portfolio rebalancing effects. We show that US fiscal expansions would increase global long-term rates and hinder economic activity in the rest of the world. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E3, E32, E6, E62, F, F4, F41, F44 Research Theme(s): Financial markets and funds management, International markets and currencies, Financial system, Financial stability and systemic risk, Models and tools, Economic models, Structural challenges, International trade, finance and competitiveness
What Drives Episodes of Settlement Fails in the Government of Canada Bond Market? Staff working paper 2017-54 Jean-Sébastien Fontaine, James Pinnington, Adrian Walton We study settlement fails for trades in the Government of Canada bond market. We find that settlement fails do not occur independently. Using a novel and comprehensive dataset, we examine three drivers of fails. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, G, G1, G2, G21, L, L1 Research Theme(s): Financial markets and funds management, Market functioning, Money and payments, Payment and financial market infrastructures
Comparing Forward Guidance and Neo-Fisherianism as Strategies for Escaping Liquidity Traps Staff analytical note 2016-16 Robert Amano, Thomas J. Carter, Rhys R. Mendes What path should policy-makers select for the nominal rate when faced with a liquidity trap during which the effective lower bound binds? Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E4, E5 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission
Privacy as a Public Good: A Case for Electronic Cash Staff working paper 2019-24 Rodney J. Garratt, Maarten van Oordt Cash gives users a high level of privacy when making payments, but the use of cash to make payments is declining. People increasingly use debit cards, credit cards or other methods to pay. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E42, G, G2, G28 Research Theme(s): Money and payments, Cash and bank notes, Digital assets and fintech, Retail payments