Opaque Assets and Rollover Risk Staff working paper 2016-17 Benjamin Nelson, Toni Ahnert We model the asset-opacity choice of an intermediary subject to rollover risk in wholesale funding markets. Greater opacity means investors form more dispersed beliefs about an intermediary’s profitability. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G0, G01, G2 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial institutions and intermediation, Financial stability and systemic risk
November 16, 2017 Factors Behind the 2014 Oil Price Decline Bank of Canada Review - Autumn 2017 Reinhard Ellwanger, Benjamin Sawatzky, Konrad Zmitrowicz Oil prices have declined sharply over the past three years. While both supply and demand factors played a role in the large oil price decline of 2014, global supply growth seems to have been the predominant force. The most important drivers were likely the surprising growth of US shale oil production, the output decisions of the Organization of the Petro-leum Exporting Countries and the weaker-than-expected global growth that followed the 2009 global financial crisis. Content Type(s): Publications, Bank of Canada Review articles JEL Code(s): Q, Q4, Q41, Q43
Price-Level Dispersion versus Inflation-Rate Dispersion: Evidence from Three Countries Staff working paper 2017-3 David Fielding, Christopher Hajzler, James (Jim) C. MacGee Inflation can affect both the dispersion of commodity-specific price levels across locations (relative price variability, RPV) and the dispersion of inflation rates (relative inflation variability, RIV). Some menu-cost models and models of consumer search suggest that the RIV-inflation relationship could differ from the RPV-inflation relationship. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E3, E31, E5, E50 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
Child Skill Production: Accounting for Parental and Market-Based Time and Goods Investments Staff working paper 2020-36 Elizabeth Caucutt, Lance Lochner, Joseph Mullins, Youngmin Park Can daycare replace parents’ time spent with children? We explore this by using data on how parents spend time and money on children and how this spending is related to their child’s development. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D1, D13, H, H3, H31, J, J2, J22, J24 Research Theme(s): Monetary policy, Real economy and forecasting, Structural challenges, Demographics and labour supply
November 19, 2015 Bank of Canada Review - Autumn 2015 In this issue, Bank researchers discuss the muted recovery from the 2007–09 financial crisis and possible causes. There are also discussions about the Bank’s new Canadian survey of household expectations, measuring both durable goods and housing prices in the CPI and how regulatory changes may affect monetary policy operating frameworks. In the final article, improvements to the management of Canada’s foreign exchange reserves are introduced. Content Type(s): Publications, Bank of Canada Review
A Horse Race of Alternative Monetary Policy Regimes Under Bounded Rationality Staff discussion paper 2022-4 Joel Wagner, Tudor Schlanger, Yang Zhang We introduce bounded rationality in a canonical New Keynesian model calibrated to match Canadian macroeconomic data since Canada’s adoption of inflation targeting. We use the model to quantitatively assess the macroeconomic impact of alternative monetary policy regimes. Content Type(s): Staff research, Staff discussion papers JEL Code(s): E, E2, E27, E3, E4, E5, E52, E58 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission
Business Closures and (Re)Openings in Real Time Using Google Places Staff working paper 2022-1 Thibaut Duprey, Daniel E. Rigobon, Philip Schnattinger, Artur Kotlicki, Soheil Baharian, T. R. Hurd The COVID-19 pandemic highlighted the need for policy-makers to closely monitor disruptions to the retail and food business sectors. We present a new method to measure business opening and closing rates using real-time data from Google Places, the dataset behind the Google Maps service. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C55, C8, C81, D, D2, D22, E, E3, E32 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
What Does Structural Analysis of the External Finance Premium Say About Financial Frictions? Staff working paper 2019-38 Jelena Zivanovic I use a structural vector autoregression (SVAR) with sign restrictions to provide conditional evidence on the behavior of the US external finance premium (EFP). The results indicate that the excess bond premium, a proxy for the EFP, reacts countercyclically to supply and monetary policy shocks and procyclically to demand shocks. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E3, E32, E4, E44 Research Theme(s): Financial system, Financial institutions and intermediation, Financial stability and systemic risk, Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission
June 8, 2017 Financial System Review - June 2017 This issue of the Financial System Review reflects the Bank’s judgment that household indebtedness and housing market imbalances–the most important vulnerabilities for the Canadian financial system–have moved higher over the past six months. However, the financial system remains resilient, and macroeconomic conditions continue to improve. Other vulnerabilities discussed in this FSR are fragile fixed-income market liquidity and the capacity of an interconnected financial system to mitigate cyber threats. Content Type(s): Publications, Financial Stability Report
Imperfect Banking Competition and Macroeconomic Volatility: A DSGE Framework Staff working paper 2021-12 Jiaqi Li How do banks adjust their loan rate markup in response to macroeconomic shocks? Content Type(s): Staff research, Staff working papers JEL Code(s): E, E3, E32, E4, E44, G, G2, G21, L, L1, L13 Research Theme(s): Financial system, Financial institutions and intermediation, Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission