Contraintes de liquidité et capital humain dans une petite économie ouverte Staff Working Paper 2004-13 Florian Pelgrin In an overlapping-generations model that represents a small open economy, where agents live two periods, liquidity constraints lead to low economic development when the only accumulable factor is human capital. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models JEL Code(s): I, I2, I20, O, O4, O40
Market Structure and Cost Pass-Through in Retail Staff Working Paper 2013-5 Gee Hee Hong, Nicholas Li We examine the extent to which vertical and horizontal market structure can together explain incomplete retail pass-through. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Monetary policy transmission JEL Code(s): E, E3, E30, E31, L, L1, L11, L16
Liquidation Mechanisms and Price Impacts in DeFi Staff Working Paper 2025-12 Phoebe Tian, Yu Zhu This paper theoretically and empirically examines the price impacts of liquidations in DeFi and how different liquidation mechanisms affect the price impacts. Content Type(s): Staff research, Staff working papers Research Topic(s): Digital currencies and fintech JEL Code(s): D, D4, D44, D47, G, G2, G20, G3, G33
Forecasting Inflation with the M1-VECM: Part Two Staff Working Paper 1998-6 Walter Engert, Scott Hendry A central bank's main concern is the general direction of future inflation, and not transitory fluctuations of the inflation rate. As a result, this paper is concerned with forecasting a simple measure of the trend of inflation, the eight-quarter CPI-inflation rate. The primary objective is to improve the M1-based vector-error-correction model (VECM) developed by Hendry […] Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Inflation and prices, Monetary aggregates JEL Code(s): C, C3, C5, E, E3, E4, E5
June 9, 2022 Financial System Review—2022 Tiff Macklem, Carolyn Rogers, Timothy Lane, Lawrence L. Schembri, Paul Beaudry, Toni Gravelle, Sharon Kozicki The Canadian financial system remains resilient, but vulnerabilities have become more complex and risks have grown. The Bank is carefully watching households’ high levels of mortgage debt, as well as the risks associated with a price correction in Canada’s housing market. Content Type(s): Publications, Financial Stability Report
Repo Market Functioning when the Interest Rate Is Low or Negative Staff Discussion Paper 2017-3 Jean-Sébastien Fontaine, James Hately, Adrian Walton This paper investigates how a low or negative overnight interest rate might affect the Canadian repo markets. The main conclusion is that the repo market for general collateral will continue to function effectively. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial markets, Interest rates, Market structure and pricing JEL Code(s): D, D4, G, G1, G10, G12
Firm Heterogeneity and Adverse Selection in External Finance: Micro Evidence and Macro Implications Staff Working Paper 2025-20 Xing Guo, Pablo Ottonello, Thomas Winberry, Toni Whited We develop a heterogeneous firm macro model with private information and quantify the aggregate relevance of asymmetric information. We find that a spike in private information account for 40% of the decline in aggregate investment during the 2007-2009 financial crisis and made monetary stimulus significantly less effective. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Financial markets, Firm dynamics, Monetary policy JEL Code(s): D, D8, D82, E, E2, E22, E3, E32, E5, E52, G, G3, G30
BoC–BoE Sovereign Default Database: Appendix and References Technical Report No. 125 David Beers, Obiageri Ndukwe, Alex Charron Since 2014, the Bank of Canada (BoC) has maintained a comprehensive database of sovereign defaults to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. The database is posted on the BoC’s website and is updated annually in partnership with the Bank of England (BoE). Content Type(s): Staff research, Technical reports Research Topic(s): Debt management, Development economics, Financial stability, International financial markets JEL Code(s): F, F3, F34, G, G1, G10, G14, G15
Parallel Tempering for DSGE Estimation Staff Working Paper 2024-13 Joshua Brault I develop a population-based Markov chain Monte Carlo algorithm known as parallel tempering to estimate dynamic stochastic general equilibrium models. Parallel tempering approximates the posterior distribution of interest using a family of Markov chains with tempered posteriors. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Economic models JEL Code(s): C, C1, C11, C15, E, E1, E10
Canadian Bank Balance-Sheet Management: Breakdown by Types of Canadian Financial Institutions Staff Discussion Paper 2012-7 David Xiao Chen, H. Evren Damar, Hani Soubra, Yaz Terajima The authors document leverage, capital and liquidity ratios of banks in Canada. These ratios are important indicators of different types of risk with respect to a bank’s balance‐sheet management. Particular attention is given to the observations by different types of banks, including small banks that historically received less attention. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G2, G21, G28