Tail Risk in a Retail Payment System: An Extreme-Value Approach Staff discussion paper 2018-2 Héctor Pérez Saiz, Blair Williams, Gabriel Xerri The increasing importance of risk management in payment systems has led to the development of an array of sophisticated tools designed to mitigate tail risk in these systems. In this paper, we use extreme value theory methods to quantify the level of tail risk in the Canadian retail payment system (ACSS) for the period from 2002 to 2015. Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C5, C58, G, G2, G21, G23 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods, Money and payments, Payment and financial market infrastructures
A Microfounded Design of Interconnectedness-Based Macroprudential Policy Staff working paper 2016-6 Jose Fique To address the challenges posed by global systemically important banks (G-SIBs), the Basel Committee on Banking Supervision recommended an “additional loss absorbency requirement” for these institutions. Along these lines, I develop a microfounded design of capital surcharges that target the interconnectedness component of systemic risk. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D8, D82, D85, G, G2, G21, G28 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Financial system regulation and oversight, Models and tools, Economic models
Optimal Conventional and Unconventional Monetary Policy Mix Staff working paper 2026-18 Sami Alpanda, Serdar Kabaca, Kostas Mavromatis We show that in a heterogeneous economy, optimal policy after cost-push shocks raises short-term rates to curb inflation while lowering long-term rates to support indebted households, speeding investment and output recovery while increasing consumption inequality. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E40, E43, E5, E52 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission, Monetary policy tools and implementation
Networking the Yield Curve: Implications for Monetary Policy Staff working paper 2021-4 Tatjana Dahlhaus, Julia Schaumburg, Tatevik Sekhposyan We study how different monetary policies affect the yield curve and interact. Our study highlights the importance of the spillover structure across the yield curve for policy-making. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C18, C2, C21, C5, C53, E, E4, E43, E44, E5, E52 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Monetary policy framework and transmission, Monetary policy tools and implementation
Technology Adoption in Input-Output Networks Staff working paper 2019-51 Xintong Han, Lei Xu We study how input-output networks affect the speed of technology adoption. In particular, we model the decision to adopt the programming language Python 3 by software packages. Python 3 provides advanced features but is not backward compatible with Python 2, which implies it comes with adoption costs. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C6, C61, L, L2, L23, L8, L86, O, O1, O14, O3, O33 Research Theme(s): Models and tools, Economic models, Structural challenges, Digitalization and productivity
Why Fixed Costs Matter for Proof-of-Work Based Cryptocurrencies Staff working paper 2020-27 Rodney J. Garratt, Maarten van Oordt Can Bitcoin survive? Some say it will become vulnerable to attacks as the rewards for processing Bitcoin transactions continue to decline. The economics of fixed costs suggest the specialized hardware used to mine Bitcoin may be key to its survival. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G10, L, L1, L11 Research Theme(s): Financial markets and funds management, Market functioning, Money and payments, Digital assets and fintech
Banking Competition and Access to Cash and Retail Banking Services in Rural Canada Staff working paper 2026-19 Hongyu Xiao, Robert Petrunia, Sarah Lucky We study access to Canadian retail banking and cash services in rural, localized markets using the Bresnahan-Reiss entry threshold framework. We find that the first retail banking services branch entry requires about 500 residents in an average market, whereas the first cash services location requires about 80 residents. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D1, D14, G, G2, G21, L, L1, L10, L13 Research Theme(s): Financial system, Financial institutions and intermediation, Financial system regulation and oversight, Money and payments, Cash and bank notes
U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields Staff working paper 2024-12 Bingxin Ann Xing, Bruno Feunou, Morvan Nongni-Donfack, Rodrigo Sekkel Using two complementary approaches, we investigate the importance of U.S. macroeconomic news in driving low-frequency fluctuations in the term structure of interest rates in Canada, Sweden and the United Kingdom. We find that U.S. macroeconomic news is particularly important to explain changes in the expectation components of the nominal, real and break-even inflation rates of small open economies. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E43, E44, E47, G, G1, G14 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Monetary policy framework and transmission, Structural challenges, International trade, finance and competitiveness
Are Working Hours Complements in Production? Staff working paper 2022-47 Lin Shao, Faisal Sohail, Emircan Yurdagul Using Canadian matched employer-employee data, we show that working hours of different workers are gross complements in production rather than perfect substitutes, as is typically assumed by macroeconomic models of production. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E2, E23, J, J2, J22, J23, J3, J31 Research Theme(s): Models and tools, Economic models, Monetary policy, Real economy and forecasting, Structural challenges, Demographics and labour supply
May 17, 1996 The Transmission of Monetary Policy Gordon Thiessen, Bruce Montador, Kevin Clinton, Kevin Fettig, Donna Howard, Charles Freedman, Pierre Duguay, Stephen S. Poloz, Tim Noël Text of major 1995 lecture by Bank Governor Gordon Thiessen, plus articles from Bank of Canada Review and other sources Content Type(s): Publications, Books and monographs JEL Code(s): E, E5