Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector Staff Working Paper 2006-47 Miroslav Misina, David Tessier, Shubhasis Dey Stress testing, at its most general level, is an investigation of the performance of an entity under abnormal operating conditions. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability JEL Code(s): C, C1, C15, G, G2, G21, G3, G33
Systemic Risk and Collateral Adequacy Staff Working Paper 2019-23 Radoslav Raykov Many derivatives markets use collateral requirements calculated with industry-standard but dated methods that are not designed with systemic risk in mind. This paper explores whether the conservative nature of conventional collateral requirements outweighs their lack of consideration of systemic risk. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial markets JEL Code(s): G, G1, G10, G2, G20
What Drags and Drives Mobility: Explaining Canada’s Aggregate Migration Patterns Staff Working Paper 2012-28 David Amirault, Daniel de Munnik, Sarah Miller Using census data at the economic region level from 1991 to 2006 and a gravity model framework, this paper examines the factors that influence migration within Canada. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Labour markets, Regional economic developments JEL Code(s): J, J6, J61, R, R2, R23
The Impact of Liquidity on Bank Profitability Staff Working Paper 2010-38 Étienne Bordeleau, Christopher Graham The recent crisis has underlined the importance of sound bank liquidity management. In response, regulators are devising new liquidity standards with the aim of making the financial system more stable and resilient. In this paper, the authors analyse the impact of liquid asset holdings on bank profitability for a sample of large U.S. and Canadian banks. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G2, G21, G3, G32, G33
Endogenous Borrowing Constraints and Consumption Volatility in a Small Open Economy Staff Working Paper 2006-37 Carlos De Resende Consumption volatility relative to output volatility is consistently higher in emerging economies than in developed economies. Content Type(s): Staff research, Staff working papers Research Topic(s): International topics JEL Code(s): F, F3, F32, F34, F4, F41
House Price Dynamics: Fundamentals and Expectations Staff Working Paper 2012-12 Eleonora Granziera, Sharon Kozicki We investigate whether expectations that are not fully rational have the potential to explain the evolution of house prices and the price-to-rent ratio in the United States. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Domestic demand and components, Economic models JEL Code(s): E, E3, E6, E65, R, R2, R21
A Model of Housing Stock for Canada Staff Working Paper 2010-19 David Dupuis, Yi Zheng Using an error-correction model (ECM) framework, the authors attempt to quantify the degree of disequilibrium in Canadian housing stock over the period 1961–2008 for the national aggregate and over 1981–2008 for the provinces. Content Type(s): Staff research, Staff working papers Research Topic(s): Domestic demand and components JEL Code(s): E, E2, E21, J, J0, J00
Can Media and Text Analytics Provide Insights into Labour Market Conditions in China? Staff Working Paper 2018-12 Jeannine Bailliu, Xinfen Han, Mark Kruger, Yu-Hsien Liu, Sri Thanabalasingam The official Chinese labour market indicators have been seen as problematic, given their small cyclical movement and their only-partial capture of the labour force. In our paper, we build a monthly Chinese labour market conditions index (LMCI) using text analytics applied to mainland Chinese-language newspapers over the period from 2003 to 2017. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics, Labour markets JEL Code(s): C, C3, C38, C5, C55, E, E2, E24, E27
Understanding Inflation Dynamics: The Role of Government Expenditures Staff Working Paper 2023-30 Chang Liu, Yinxi Xie We study the impact government expenditure has on inflation. We find that changes in government expenditure account for a substantial portion of inflation variations. We also find that inflation and inflation expectations respond negatively to fiscal spending shocks, reaffirming the supply-side channel through which inflation responds to fiscal expansions. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Fiscal policy, Inflation and prices JEL Code(s): E, E3, E6, E62, E63
Long-Term Determinants of the Personal Savings Rate: Literature Review and Some Empirical Results for Canada Staff Working Paper 2000-3 Gilles Bérubé, Denise Côté This paper examines the structural determinants of the personal savings rate in Canada over the last 30 years, using cointegration techniques. The main finding is that the real interest rate, expected inflation, the ratio of the all-government fiscal balances to nominal GDP, and the ratio of household net worth to personal disposable income are the most […] Content Type(s): Staff research, Staff working papers Research Topic(s): Domestic demand and components JEL Code(s): C, C2, C22, E, E2, E21