Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps Staff working paper 2023-38 Andrea Ugolini, Juan C. Reboredo, Javier Ojea Ferreiro We study whether the credit derivatives of firms reflect the risk from climate transition. We find that climate transition risk has asymmetric and significant economic impacts on the credit risk of more vulnerable firms, and negligible effects on other firms. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C2, C24, G, G1, G12, G3, G32, Q, Q5, Q54 Research Theme(s): Financial system, Financial stability and systemic risk, Household and business credit, Structural challenges, Climate change
CBDC in the Market for Payments at the Point of Sale: Equilibrium Impact and Incumbent Responses Staff working paper 2024-52 Walter Engert, Oleksandr Shcherbakov, André Stenzel We simulate introducing a central bank digital currency (CBDC) and consider consumer adoption, merchant acceptance and usage at the point of sale. Modest adoption frictions significantly inhibit CBDC market penetration along all three dimensions. Incumbent responses to restore pre-CBDC market shares are moderate to small and further reduce the impact of a CBDC. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C51, D, D1, D12, E, E4, E42, L, L1, L14, L5, L52 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Digital assets and fintech, Payment and financial market infrastructures, Retail payments
Equilibrium in Two-Sided Markets for Payments: Consumer Awareness and the Welfare Cost of the Interchange Fee Staff working paper 2022-15 Kim Huynh, Gradon Nicholls, Oleksandr Shcherbakov We construct and estimate a structural two-stage model of equilibrium in a market for payments in order to quantify the network externalities and identify the main determinants of consumer and merchant decisions. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C51, D, D1, D12, E, E4, E42, L, L1, L14 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Payment and financial market infrastructures, Retail payments
Financial Distress and Hedging: Evidence from Canadian Oil Firms Staff discussion paper 2019-4 Kun Mo, Farrukh Suvankulov, Sophie Griffiths The paper explores the link between financial distress and the commodity price hedging behaviour of Canadian oil firms. Content Type(s): Staff research, Staff discussion papers JEL Code(s): G, G3, G32, Q, Q4, Q40 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Household and business credit
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
Banking Regulation and Market Making Staff working paper 2017-7 David Cimon, Corey Garriott We model how securities dealers respond to regulations on leverage, position and liquidity such as those imposed by the Basel III framework. We show that while asset prices exhibit greater price impact, bid-ask spreads do not change and trading volumes may even increase. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G14, G2, G20, L, L1, L10 Research Theme(s): Financial markets and funds management, Market functioning, Market structure, Financial system, Financial system regulation and oversight
The Role of Beliefs in Entering and Exiting the Bitcoin Market Staff working paper 2024-22 Daniela Balutel, Christopher Henry, Jorge Vásquez, Marcel Voia We develop a model that links investors’ decisions to enter or exit the Bitcoin market with their beliefs about the survival of Bitcoin. Empirical testing using Canadian data reveals that beliefs strongly influence both entries and exits, and this impact varies with time and ownership status. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D8, D83, E, E4, E41, O, O3, O33 Research Theme(s): Financial system, Household and business credit, Models and tools, Econometric, statistical and computational methods, Money and payments, Digital assets and fintech
Global Demand and Supply Sentiment: Evidence from Earnings Calls Staff working paper 2023-37 Temel Taskin, Franz Ulrich Ruch This paper quantifies global demand, supply and uncertainty shocks and compares two major global recessions: the 2008–09 Great Recession and the COVID-19 pandemic. We use two alternate approaches to decompose economic shocks: text mining techniques on earnings calls transcripts and a structural Bayesian vector autoregression model. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C11, C3, C32, E, E3, E32, G, G1, G10 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
The Simple Economics of Global Fuel Consumption Staff working paper 2019-35 Doga Bilgin, Reinhard Ellwanger This paper presents a structural framework of the global oil market that relies on information on global fuel consumption to identify flow demand for oil. We show that under mild identifying assumptions, data on global fuel consumption help to provide comparatively sharp insights on elasticities and other key structural parameters of the global oil market. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C51, L, L7, L71, Q, Q4, Q41, Q43 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
Saving after Retirement and Preferences for Residual Wealth Staff working paper 2024-21 Giulio Fella, Martin B. Holm, Thomas Michael Pugh We estimate a model of households in Norway with bequest motives, health-dependent utility, and uncertain longevity and health. Our estimates imply strong bequest motives for households both with and without offspring. We interpret this as suggestive evidence that utility from residual wealth represents forces beyond an altruistic bequest motive. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D1, D11, D12, D14, E, E2, E21 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Economic models, Monetary policy, Real economy and forecasting, Structural challenges, Demographics and labour supply