Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement Staff Working Paper 2018-21 Elena Goldman, Xiangjin Shen We explore properties of asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) models in the threshold GARCH (GTARCH) family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low-frequency macroeconomic volatility as well as an asymmetric response to past negative news in both autoregressive conditional heteroscedasticity (ARCH) and GARCH terms. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Payment clearing and settlement systems JEL Code(s): C, C5, C58, G, G1, G19, G2, G23, G28
Collateral and Credit Supply Staff Working Paper 2003-11 Joseph Atta-Mensah The author examines the role of collateral in an environment where lenders and borrowers possess identical information and similar beliefs about its future value. Using option-pricing techniques, he shows that a secured loan contract is equivalent to a regular bond and an embedded option to the borrower to default. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Economic models JEL Code(s): E, E5, E51, G, G1, G11, G12, G13
June 13, 2024 Exceptional policies for an exceptional time: From quantitative easing to quantitative tightening Remarks Sharon Kozicki Canadian Association of Business Economics Ottawa, Ontario Deputy Governor Sharon Kozicki discusses the use of exceptional monetary policy tools during the COVID-19 pandemic, as well as the Bank’s commitment to transparency and accountability. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Central bank research, Coronavirus disease (COVID-19), Credibility, Economic models, Financial stability, Inflation and prices, Inflation targets, Interest rates, Monetary policy, Monetary policy and uncertainty, Monetary policy communications, Recent economic and financial developments
Tariffs and the Exchange Rate: Evidence from Twitter Staff Working Paper 2021-36 Dmitry Matveev, Francisco Ruge-Murcia Do tariffs affect exchange rates? We look at President Trump’s tweets during talks on the North American Free Trade Agreement and find that anticipation of higher tariffs on imports from Canada and Mexico led to an appreciation of the US dollar relative to Canadian and Mexican currency. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Trade integration JEL Code(s): F, F1, F13, F3, F31
Market Structure and Cost Pass-Through in Retail Staff Working Paper 2013-5 Gee Hee Hong, Nicholas Li We examine the extent to which vertical and horizontal market structure can together explain incomplete retail pass-through. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Monetary policy transmission JEL Code(s): E, E3, E30, E31, L, L1, L11, L16
What Does the Convenience Yield Curve Tell Us about the Crude Oil Market? Staff Working Paper 2014-42 Ron Alquist, Gregory Bauer, Antonio Diez de los Rios Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures the value of storing crude oil over the borrowing period. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, International topics JEL Code(s): C, C5, C53, G, G1, G12, G13, Q, Q4, Q43
Central Bank Digital Currency and Monetary Policy Staff Working Paper 2018-36 Mohammad Davoodalhosseini Many central banks are contemplating whether to issue central bank digital currency. This piece explores the implications as well as potential motivators of such a step. Content Type(s): Staff research, Staff working papers Research Topic(s): Digital currencies and fintech, Monetary policy JEL Code(s): E, E4, E42, E5, E50
June 23, 2005 Understanding the Benefits and Risks of Synthetic Collateralized Debt Obligations Financial System Review - June 2005 Jim Armstrong, John Kiff Content Type(s): Publications, Financial System Review articles
2018 Bitcoin Omnibus Survey: Awareness and Usage Staff Discussion Paper 2019-10 Christopher Henry, Kim Huynh, Gradon Nicholls, Mitchell Nicholson The Bank of Canada continues to use the Bitcoin Omnibus Survey (BTCOS) to monitor trends in Canadians’ awareness, ownership and use of Bitcoin. The most recent iteration was conducted in late 2018, following an 85 percent decline in the price of Bitcoin throughout the year. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods JEL Code(s): C, C1, C12, E, E4, O, O5, O51
Bank Lending, Credit Shocks, and the Transmission of Canadian Monetary Policy Staff Working Paper 2003-9 Joseph Atta-Mensah, Ali Dib The authors use a dynamic general-equilibrium model to study the role financial frictions play as a transmission mechanism of Canadian monetary policy, and to evaluate the real effects of exogenous credit shocks. Financial frictions, which are modelled as spreads between deposit and loan interest rates, are assumed to depend on economic activity as well as on credit shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E3, E32, E4, E5, E51