January 27, 2012 Simulation Analysis: A Tool for Examining the Balance between Safety and Efficiency in Canada’s Large Value Transfer System Financial System Review - December 2005 Neville Arjani Content Type(s): Publications, Financial System Review articles
Should Banks Be Worried About Dividend Restrictions? Staff working paper 2023-49 Josef Schroth A regulator would want to restrict dividends to force banks to rebuild capital during a crisis. But such a policy is not time-consistent. A time-consistent policy would let banks gradually rebuild capital and pay dividends even when their equity remains below pre-crisis levels. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E1, E13, E3, E32, E4, E44 Research Theme(s): Financial system, Financial stability and systemic risk, Financial system regulation and oversight
Accounting for Real Exchange Rates Using Micro‐Data Staff working paper 2017-12 Mario J. Crucini, Anthony Landry The classical dichotomy predicts that all of the time-series variance in the aggregate real exchange rate is accounted for by non-traded goods in the consumer price index (CPI) basket because traded goods obey the Law of One Price. In stark contrast, Engel (1999) claimed the opposite: that traded goods accounted for all of the variance. Content Type(s): Staff research, Staff working papers JEL Code(s): F, F3 Research Theme(s): Financial markets and funds management, International markets and currencies, Structural challenges, International trade, finance and competitiveness
How do Canadian Corporate Bond Mutual Funds Meet Investor Redemptions? Staff analytical note 2018-14 Guillaume Ouellet Leblanc, Rohan Arora When investors redeem their fund shares for cash, fixed-income fund managers can choose whether to draw on their liquid holdings or sell bonds in the secondary market. We analyze the liquidity-management decisions of Canadian corporate bond mutual funds, focusing on the strategies they use to meet investor redemptions. Content Type(s): Staff research, Staff analytical notes JEL Code(s): G, G1, G2, G20, G23 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial institutions and intermediation, Financial stability and systemic risk
(Optimal) Monetary Policy with and without Debt Staff working paper 2021-5 Boris Chafwehé, Rigas Oikonomou, Romanos Priftis, Lukas Vogel How should policy be designed at high debt levels, when fiscal authorities have little room to adjust taxes? Assigning the monetary authority a role in achieving debt sustainability makes it less effective in stabilizing inflation and output. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C11, E, E3, E31, E5, E52, E58, E6, E62 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission, Monetary policy tools and implementation, Real economy and forecasting
Credit Crunches from Occasionally Binding Bank Borrowing Constraints Staff working paper 2017-57 Tom D. Holden, Paul Levine, Jonathan Swarbrick We present a model in which banks and other financial intermediaries face both occasionally binding borrowing constraints and costs of equity issuance. Near the steady state, these intermediaries can raise equity finance at no cost through retained earnings. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E2, E22, E3, E32, E5, E51, G, G2 Research Theme(s): Financial system, Financial institutions and intermediation, Household and business credit, Models and tools, Economic models
Monetary Policy Transmission Through Shadow and Traditional Banks Staff working paper 2024-8 Amina Enkhbold I investigate how monetary policy transmits to mortgage rates via the mortgage market concentration channel for both traditional and shadow banks in the United States from 2009 to 2019. On average, shadow and traditional banks exhibit only a slight disparity in transmitting monetary shocks to mortgage rates. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E44, E5, E52, G, G2, G21 Research Theme(s): Financial system, Financial institutions and intermediation, Household and business credit, Monetary policy, Monetary policy framework and transmission
Understanding the Systemic Implications of Climate Transition Risk: Applying a Framework Using Canadian Financial System Data Staff discussion paper 2023-32 Gabriel Bruneau, Javier Ojea Ferreiro, Andrew Plummer, Marie-Christine Tremblay, Aidan Witts Our study aims to gain insight on financial stability and climate transition risk. We develop a methodological framework that captures the direct effects of a stressful climate transition shock as well as the indirect—or systemic—implications of these direct effects. We apply this framework using data from the Canadian financial system. Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C6, C63, G, G0, G01, G1, G10, G2, G20, Q, Q5, Q54 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Economic models, Structural challenges, Climate change
News-Driven International Credit Cycles Staff working paper 2021-66 Galip Kemal Ozhan This paper examines the implications of positive news about future asset values that turn out to be incorrect at a later date in an open economy model with banking. The model captures the patterns of bank credit and current account dynamics in Spain between 2000 and 2010. The model finds that the use of unconventional policies leads to a milder bust. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E44, F, F3, F32, F4, F41, G, G1, G15, G2, G21 Research Theme(s): Financial system, Financial stability and systemic risk, Household and business credit, Models and tools, Economic models, Structural challenges, International trade, finance and competitiveness
Beating the “pros” with a semi-structural model of their own inflation forecasts Staff working paper 2026-11 Sergio A. Lago Alves, Waldyr Dutra Areosa, Carlos Viana de Carvalho How can Surveys of Professional Forecasters (SPF) be used to improve inflation forecasts? By using US historical quarterly data on SPF forecasts, we provide better understanding of how we can use forecast disagreement to improve our own forecasts. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C11, C5, C53, E, E3, E31, E37 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting