The Global Effects of U.S. Fiscal Policy Staff Discussion Paper 2008-8 Kimberly Beaton The author examines the global impact of U.S. fiscal policy using the Bank of Canada's Global Economy Model (Lalonde and Muir 2007). In particular, she examines the global macroeconomic implications of the expiration of major tax cuts in the United States and of expected increases in U.S. entitlement program expenditures. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Fiscal policy, International topics, Regional economic developments JEL Code(s): H, H0, H2, H3
Guarding Against Large Policy Errors under Model Uncertainty Staff Working Paper 2006-13 Gino Cateau How can policy-makers avoid large policy errors when they are uncertain about the true model of the economy? Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy and uncertainty JEL Code(s): D, D8, D81, E, E5, E58
Risk, Entropy, and the Transformation of Distributions Staff Working Paper 2002-11 Mark Reesor, Don McLeish The exponential family, relative entropy, and distortion are methods of transforming probability distributions. We establish a link between those methods, focusing on the relation between relative entropy and distortion. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, Market structure and pricing JEL Code(s): C, C0, C1, D, D8, G, G0
Governance and Financial Fragility: Evidence from a Cross-Section of Countries Staff Working Paper 2003-34 Michael Francis The author explores the role of governance mechanisms as a means of reducing financial fragility. First, he develops a simple theoretical general-equilibrium model in which instability arises due to an agency problem resulting from a conflict of interest between the borrower and lender. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Financial markets JEL Code(s): G, G0
Characterizing the Canadian Financial Cycle with Frequency Filtering Approaches Staff Analytical Note 2018-34 Andrew Lee-Poy In this note, I use two multivariate frequency filtering approaches to characterize the Canadian financial cycle by capturing fluctuations in the underlying variables with respect to a long-term trend. The first approach is a dynamically weighted composite, and the second is a stochastic cycle model. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial stability, Monetary and financial indicators, Recent economic and financial developments JEL Code(s): C, C0, C01, C1, C13, C14, C18, C3, C32, C5, C51, C52, E, E3, E32, E6, E66, G, G0, G01, G1, G18
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
January 25, 2005 Bank of Canada Review - Winter 2004-2005 Cover page Promissory Notes The notes featured on the cover measure approximately 21 cm x 8 cm and form part of the National Currency Collection, Bank of Canada. Photography by Gord Carter, Ottawa Content Type(s): Publications, Bank of Canada Review
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
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
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